Universität zu Köln

Jank, Stephan (2015). Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability. Manage. Sci., 61 (6). S. 1362 - 1378. CATONSVILLE: INFORMS. ISSN 1526-5501

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Abstract

This paper documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the predictability of stock market returns: the adjusted dividend-price ratio is less persistent, in-sample evidence for predictability is more pronounced, there is greater parameter stability in the predictive regression (particularly during the 1990s), and there is evidence of out-of-sample predictability. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1883.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Jank, Stephan UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-402791
DOI:	10.1287/mnsc.2013.1883
Journal or Publication Title:	Manage. Sci.
Volume:	61
Number:	6
Page Range:	S. 1362 - 1378
Date:	2015
Publisher:	INFORMS
Place of Publication:	CATONSVILLE
ISSN:	1526-5501
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language BOOK-TO-MARKET; STOCK RETURNS; EQUITY PREMIUM; EXCHANGE-RATES; TIME-SERIES; REGRESSIONS; CONSUMPTION; SAMPLE; FUNDAMENTALS; YIELDS Multiple languages Management; Operations Research & Management Science Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/40279