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
Full text not available from this repository.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: |
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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: |
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URI: | http://kups.ub.uni-koeln.de/id/eprint/40279 |
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