Risk, return and dividends
By: Andrew Ang, Jun Liu.
Contributors: Jun, Liu; Ang, Andrew; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 12843; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12843.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices.  In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two.  For example, together with dividends, the stock volatility process fully determines the dynamics of the expected return and the price-dividend ratio.  By parameterizing one or more of expected returns, volatility, or prices, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables.  Our relations are useful for understanding the risk-return trade-off, as well as characterizing the predictability of stock returns"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 3/23/2007.

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