Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth

doi:10.1093/rof/rfu047

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	Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth
	Zhu, Xiaoneng
刊名	REVIEW OF FINANCE
	2015-10
卷号	19 期号:6 页码:2317-2358
ISSN号	1572-3097
DOI	10.1093/rof/rfu047
英文摘要	We propose a regime-switching present-value model with latent variables to jointly investigate the predictability of stock returns and dividend growth. We find that both return predictability and dividend growth predictability are time-varying. Interestingly, the predictability of stock returns and dividend growth is a tug-of-war contest: when dividend growth is highly predictable in the high-volatility regime, stock returns are largely unpredictable; in contrast, when dividend growth is less predictable in the low-volatility regime, stock returns are significantly predictable. We also investigate macroeconomic determinants of regime switches and find that two regimes are intimately related to macroeconomic risk and economic activity.
WOS研究方向	Business & Economics
语种	英语
出版者	OXFORD UNIV PRESS
WOS记录号	WOS:000365537500006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1458]
专题	上海财经大学
通讯作者	Zhu, Xiaoneng
作者单位	Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Xiaoneng. Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth[J]. REVIEW OF FINANCE,2015,19(6):2317-2358.
APA	Zhu, Xiaoneng.(2015).Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth.REVIEW OF FINANCE,19(6),2317-2358.
MLA	Zhu, Xiaoneng."Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth".REVIEW OF FINANCE 19.6(2015):2317-2358.