Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability
研究发现传统股息价格比预测股票收益效果不佳，是因为支付股息的公司越来越少；调整后的股息价格比考虑了这种长期关系的时变性，预测能力更强，且优于随机游走模型。
The conventional dividend–price ratio is highly persistent, and the literature reports mixed evidence on its role in predicting stock returns. We argue that the decreasing number of firms with a traditional dividend‐payout policy is responsible for these results, and develop a model in which the long‐run relationship between the dividends and stock price is time varying. An adjusted dividend–price ratio that accounts for the time‐varying long‐run relationship is considerably less persistent. Furthermore, the predictive regression model that employs the adjusted dividend–price ratio as a regressor outperforms the random‐walk model. These results are robust with respect to the firm size.