Dividend Behavior for the Aggregate Stock Market
نویسندگان
چکیده
We develop and estimate a model of the dynamic behavior of aggregate corporate dividends as a function of the change in permanent earnings of firms. Although structured along the lines of the Lintner-Brittain-FamaBabiak models of individual-firm dividend behavior, the model uses changes in stock prices instead of accounting earnings to measure permanent earnings changes. The performance of the model is compared with both the accounting earnings-based models and the trend-autoregressive model associated with Shiller (1981a).
منابع مشابه
The Influence of Agency Costs on Dividend Policy in an Emerging Market: Evidence from the Tehran Stock Exchange
Dividend policy has long been an issue of interest in the financial literature. To date, a number of studies published on agency costs and dividend policy but most of them are on developed markets, It is well known that the emerging markets are quite different from developed markets in all respects. So, the existing published evidence is of limited relevance in identifying the influence of agen...
متن کاملEquilibrium Driven by Discounted Dividend Volatility
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process that we call the ”rate of discounting volatility” and show that, in equilibrium, the size of market p...
متن کاملThe Predictive Power of the Dividend Risk Premium
We show that the dividend growth rate implied by the futures market is informative about (i) the expected dividend growth rate and (ii) the expected dividend risk premium. We model the dividend risk premium and explore its implications for the predictability of dividend growth and aggregate stock returns. We show that accounting for the dividend risk premium strengthens the predictability of di...
متن کاملValuation Ratios and the Long-Run Stock Market Outlook: An Update By
The use of price–earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that these ratios should be useful in forecasting future dividend growth, future earnings growth, or future...
متن کاملConsumption, Aggregate Wealth and Expected Stock Returns
This paper studies the role of detrended wealth in predicting stock returns. We call a transitory movement in wealth one that produces a deviation from its shared trend with consumption and labor income. Using U.S. quarterly stock market data we find that these trend deviations in wealth are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find ...
متن کامل