Testing The Predictive Power Of Dividend Yields
AbstractThis paper reexamines the ability of dividend yields to predict long-horizon stock returns. The authors 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. They find that the empirically observed statistics are well within the 95 percent bounds of their simulated distributions. Overall there is no strong statistical evidence indicating that dividend yields can be used to forecast stock returns. Copyright 1993 by American Finance Association.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number fb-_90-12.
Length: 22 pages
Date of creation: 1990
Date of revision:
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Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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econometric models ; long term ; capital gains ; time factor;
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