Dividend growth and equity premium predictability
Zhu, Min, Chen, Rui, Du, Ke, & Wang, You-Gan (2018) Dividend growth and equity premium predictability. International Review of Economics and Finance, 56, pp. 125-137.
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Description
This paper studies dividend growth predictability without restricting the conditioning information set to dividend yield alone. We highlight that predictability crucially hinges on how dividend growth is constructed. While there is little predictability in the market-reinvested dividend growth, the pure dividend growth is significantly predictable both in-sample and out-of-sample by a number of economic fundamentals. This strong pure dividend growth predictability leads to improved equity premium prediction under the present-value framework.
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| ID Code: | 223656 | ||||
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| Item Type: | Contribution to Journal (Journal Article) | ||||
| Refereed: | Yes | ||||
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| Measurements or Duration: | 13 pages | ||||
| Keywords: | Dividend growth, Equity premium, Predictability | ||||
| DOI: | 10.1016/j.iref.2017.10.020 | ||||
| ISSN: | 1059-0560 | ||||
| Pure ID: | 33343828 | ||||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Past > QUT Faculties & Divisions > Science & Engineering Faculty Current > Schools > School of Economics & Finance |
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| Copyright Owner: | 2017 Elsevier Inc | ||||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to [email protected] | ||||
| Deposited On: | 06 Nov 2021 18:00 | ||||
| Last Modified: | 19 Feb 2025 08:05 |
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