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- W2080874565 abstract "If the dividend–price ratio becomes I(1) while stock returns are I(0), the unbalanced predictive regression makes the predictability test more likely to indicate that the dividend–price ratio has no predictive power. This might explain why the dividend–price ratio evidences strong predictive power during one period, while it exhibits weak or no predictive power at other times. Using international data, this paper demonstrates that the dividend–price ratio generally has predictive power for stock returns when both are I(0). However, this paper also shows that the dividend–price ratio loses its predictive power when it becomes I(1). The results are shown to be robust across countries." @default.
- W2080874565 created "2016-06-24" @default.
- W2080874565 creator A5023233956 @default.
- W2080874565 date "2010-01-01" @default.
- W2080874565 modified "2023-09-27" @default.
- W2080874565 title "When does the dividend–price ratio predict stock returns?" @default.
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- W2080874565 doi "https://doi.org/10.1016/j.jempfin.2009.10.002" @default.
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