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...

Extensive reforms of India‟s indirect taxes at the central and the state levels has prepared the necessary ground for the implementation of a comprehensive goods and services tax (GST). The Empowered Committee of the State Finance Ministers in their First Discussion Paper and the Thirteenth Finance Commission in their recently submitted report have suggested GST models which are quite different...

We propose a model for the aggregate stock market together with its dividend yield and earnings yield so that the ex-ante risk premium could be extracted in an unobserved component modelling framework. We posit the model as a linked stochastic differential equation system and the linking variable is the ex-ante risk premium. By hypothesising a realistic dynamic structure for the ex-ante risk pr...

We present a new approach to examining the dividend signalling hypothesis by investigating dividend resumptions by former payers. Evidence regarding the signalling hypothesis has been mixed to date. In support of previous work, we find that dividend policy is sticky, whereby the achievement of profitability does not necessarily lead to the resumption of dividend payment. We find no evidence of ...

High dividend yields imply that either future dividend growth must be low, or future discount rates must be high, or both. While previous studies have focused on the predictability of expected returns from dividend yields, dividend yields also strongly predict future dividends, and the predictability of dividend growth is much stronger than discount rates returns at a 1-year horizon. Inference ...

According to the present value model, the long-run expected return on stocks, stock yield, is the dividend yield on stocks plus a weighted average of expected future growth rates in dividends. We construct a measure of the expected stock yield using the realized dividend yield and a weighted average growth rate proxy from sell-side analysts near-term earnings forecasts. During 1977-2012, this s...

Though the value of a right should be not lower than zero, negative voting premiums often appear in recent empirical evidence. The present paper highlights some possible measurement errors and contemporary proposes a new measure, the vote segment, which incorporates all dividend privileges. Results from Italian non-voting shares listed in the 1999-2008 period show that the more accurate measure...

Most studies of managed fund performance use measures that are susceptible to bias caused by common time variation in risks and risk premia. Ferson and Schadt (1996) propose a conditional performance measure that controls for the common variation. Their results suggest that incorporating lagged public information variables that have been shown to predict stock returns, such as interest rates an...

This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We establish the uniform consistency and asymptotic normality of the series estimator. The Monte Carlo simulation results show that the performance of the estimator is numerically satisfactory. We then apply the estimator to estimate the stock return predictive function. The out–of–s...