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, 46 (05). pp. 1493-1520. ISSN 0022-1090
Full text not available from this repository.Abstract
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: | Article |
|---|---|
| Official URL: | http://www.jfqa.org/ |
| Additional Information: | © 2011 Michael G. Foster School of Business, University of Washington, SEATTLE, WA 98195 |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G10 - General |
| Date Deposited: | 08 Aug 2012 12:14 |
| Last Modified: | 02 Oct 2024 03:39 |
| URI: | http://eprints.lse.ac.uk/id/eprint/45245 |
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