Testing the predictive power of dividend yields: non-parametric evidence from the G5
AbstractThis paper extends US evidence on the ability of current dividend yields to predict future equity returns in the G5 countries. By using non-parametric methods, evidence of a similar non- linear structure is found in all the countries analysed. This casts doubt on the linear framework adopted in earlier studies. The paper also finds that there is a strong relationship between extremes of dividends and future returns (in that very low/high dividends do predict low/high returns whilst intermediate levels of dividends do not). This non-linear structure strengthens the statistical evidence of a relationship between dividend yields and future returns and may help explain why previous studies have found mixed evidence.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Bank of England in its series Bank of England working papers with number 60.
Date of creation: Apr 1997
Date of revision:
Contact details of provider:
Postal: Publications Group Bank of England Threadneedle Street London EC2R 8AH
Phone: +44 (0)171 601 4030
Fax: +44 (0)171 601 5196
Web page: http://www.bankofengland.co.uk/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Durham, J. Benson, 2001. "Sensitivity analyses of anomalies in developed stock markets," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1503-1541, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Publications Team).
If references are entirely missing, you can add them using this form.