The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

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ID: 289762
1988
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Abstract
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for U. S. time series 1871-1986: versions using real interest rate data, aggregate real consumption data, and return variance data. The results yield a metric to judge the relative importance of real dividend growth, measured real discount rates and unexplained factors in determining the dividend-price ratio.
Reference Key
openalex_W2123518587 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors John Y. Campbell, Robert J. Shiller
Journal review of financial studies
Year 1988
DOI
10.1093/rfs/1.3.195
URL
https://doi.org/10.1093/rfs/1.3.195
Keywords Keywords not found

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