Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/22665
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation
Authors: McMillan, David
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Stock Returns
Predictability
Time-Variation
Dividend Growth
Panel
C22
C23
G12
Issue Date: Dec-2014
Publisher: New York University Salomon Center and Wiley-Blackwell
Citation: McMillan D (2014) Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation, Financial Markets, Institutions and Instruments, 23 (5), pp. 273-302.
Abstract: Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation is linked to economic and market factors. Furthermore, the strength and nature of those links are themselves time-varying. The inclusion of this time-variation in the predictive equation increases the predictive power compared to the standard constant parameter predictive model. Evidence is also reported for time-varying dividend growth predictability. Long-horizon predictability is also examined with evidence reported that the nature of the factors affecting time-varying predictability changes with horizon. The results here, while directly contributing to the returns predictability debate, in particular regarding its existence and source, may also inform the discussion that links time-varying expected returns (and risk premium) to economic factors.
Type: Journal Article
URI: http://hdl.handle.net/1893/22665
DOI Link: http://dx.doi.org/10.1111/fmii.12021
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Accounting and Finance

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