The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Testing the Predictive Power of Dividend Yields
Abstract
This paper reexamines the ability of dividend yields to predict long‐horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Overall there is no strong statistical evidence indicating that dividend yields can be used to forecast stock returns.
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Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Bootstrap methods: another look at the jackknife
Efron, B. (1979) · The Annals of Statistics · doi:10.1214/aos/1176344552 · Cited by 17,602
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
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Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.2307/2286348 · Cited by 9,106
Spurious regressions in econometrics
Granger, C. W. J., & Newbold, P. (1974) · Journal of Econometrics · doi:10.1016/0304-4076(74)90034-7 · Cited by 6,200
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 3,774
Dividend yields and expected stock returns
Fama, E. F., & French, K. R. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90020-7 · Cited by 3,556
Cited by
A comprehensive look at the empirical performance of equity premium prediction
Welch, I., & Goyal, A. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm014 · Cited by 3,987
The Dog That Did Not Bark: A Defense of Return Predictability
Cochrane, J. H. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm046 · Cited by 1,227
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
Market expectations in the cross-section of present values
KELLY, B., & PRUITT, S. (2013) · The Journal of Finance · doi:10.1111/jofi.12060 · Cited by 584
Macro variables and international stock return predictability
Rapach, D. E., Wohar, M. E., & Rangvid, J. (2005) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2004.05.004 · Cited by 351
Metadata
- Authors
- GOETZMANN, W. N., & JORION, P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1993-06
- Volume
- 48
- Issue
- 2
- Pages
- 663-679
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2153507057
- Cited by
- 373
- References
- 26
- FWCI
- 11.31
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
