A Longer Look at Dividend Yields

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A Longer Look at Dividend Yields

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Philippe Jorion () (General)
William N. Goetzmann () (Yale University, School of Management)

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Abstract

This article re-examines the evidence on the ability of dividend yields to predict long-horizon stock returns. We use two new series beginning in 1871, a monthly series for the United States, and an annual series for the United Kingdom. Conditional on survival over the entire 122 years, dividend yields display only marginal ability to predict stock market returns in either country. We also argue that tests over long periods may be affected by survivorship. Simulations show that regression statistics based on a sample drawn solely from surviving markets can be seriously biased towards finding predictability.

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm41.

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Date of creation: 25 Aug 1998
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Handle: RePEc:ysm:somwrk:ysm41

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Article
- Goetzmann, William N & Jorion, Philippe, 1995. "A Longer Look at Dividend Yields," Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October. [Downloadable!] (restricted)

Find related papers by JEL classification:
G00 - Financial Economics - - General - - - General

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- GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
- GONÇALVES, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
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Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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- Kandel, Shmuel & Stambaugh, Robert F, 1996. " On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June. [Downloadable!] (restricted)
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Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management. [Downloadable!]
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J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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Min Hwang & John Quigley, 2006. "Economic Fundamentals in Local Housing Markets: Evidence from U.S. Metropolitan Regions," Berkeley Program on Housing and Urban Policy, Working Paper Series 1050, Berkeley Program on Housing and Urban Policy. [Downloadable!]
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- Min Hwang & John M. Quigley, 2006. "Economic Fundamentals In Local Housing Markets: Evidence From U.S. Metropolitan Regions," Journal of Regional Science, Blackwell Publishing, vol. 46(3), pages 425-453. [Downloadable!] (restricted)
William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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- William N. Goetzmann & Philippe Jorion, 1998. "Re-emerging Markets," Yale School of Management Working Papers ysm50, Yale School of Management. [Downloadable!]
- Philippe Jorion & William N. Goetzmann, 1998. "Re-Emerging Markets," Yale School of Management Working Papers ysm111, Yale School of Management. [Downloadable!]
William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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- Philippe Jorion & William N. Goetzmann, 2000. "A Century of Global Stock Markets," NBER Working Papers 7565, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm53, Yale School of Management. [Downloadable!]
- William N. Goetzmann & Philippe Jorion, 2004. "A Century of Global Stock Markets," Yale School of Management Working Papers ysm16, Yale School of Management. [Downloadable!]

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