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

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John Y. Campbell; Robert J. Shiller;
  • 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

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