Predictive regressions
Subtitle: a present-value approach
By: Jules H. van Binsbergen, Ralph S.J. Koijen
Contributors: Koijen, Ralph S. J.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16263; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16263.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
Description: "The NBER Bulletin on Aging and Health provides summaries of publications like this.  You can sign up to receive the NBER Bulletin on Aging and Health by email.  We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market.  This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates.  We find that returns and dividend growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates.  Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 9/23/2010.

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