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

Preprint OPEN
John Y. Campbell; Robert J. Shiller;
(1986)
  • Subject: Dividend-Price ratio, rational expectations, present value, vector autoregression, dividends, stock prices, discount rate

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 ... View more
  • References (1)

    Data set 1871-1986, VAR Sample period 1875-1986 Mean return 0.079, mean dividend growth rate 0.013, p - 0.936 5 dt J I

  • Metrics
    No metrics available
Share - Bookmark