Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns
Favero, Carlo A., Gozluklu, Arie E. and Tamoni, Andrea. (2011) Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns. Journal of Financial and Quantitative Analysis, Vol.46 (No.5). pp. 1493-1520. ISSN 0022-1090Full text not available from this repository.
Official URL: http://dx.doi.org/10.1017/S0022109011000329
This paper documents the existence of a slowly evolving trend in the log dividend-price ratio, DPt, determined by a demographic variable, MYt: the middle-aged to young ratio. Deviations of DPt from this long-run component explain transitory but persistent fluctuations in stock market returns. The relation between MYt and DPt is a prediction of an overlapping generation model. The joint significance of MY and DPt in long-horizon forecasting regressions for market returns explains the mixed evidence on the ability of DPt to predict stock returns and provide a model-based interpretation of statistical corrections for breaks in the mean of this financial ratio.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
|Journal or Publication Title:||Journal of Financial and Quantitative Analysis|
|Publisher:||Cambridge University Press|
|Number of Pages:||28|
|Page Range:||pp. 1493-1520|
|Access rights to Published version:||Restricted or Subscription Access|
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