Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem
应用一种新的统计方法（子抽样）来检验股票收益是否可由股息收益率预测，发现没有令人信服的证据支持可预测性。
The problem of whether stock returns can be predicted from dividend yields is discussed. I apply a new statistical method for finding reliable confidence intervals for regression parameters in the context of dependent and possibly heteroscedastic data, called subsampling. The method works under very weak conditions and avoids the pitfalls of having to choose a structural model to fit to observed data. Appropriate simulation studies suggest that it has better small-sample properties than the generalized method of moments, which is also model free and works under weak conditions. Applying the subsampling method to three datasets, I do not find convincing evidence for the predictability of stock returns.