Dividend Variability and Stock Market Swings
研究投资者对未来股利不确定性如何影响股价波动，发现股利增长预测的变化解释了股利价格比可预测变动的90%以上，且股利和贴现率过程的不稳定性显著影响长期股票收益的可预测性。
This paper examines the extent to which swings in stock prices can be related to variations in the discounted value of expected future dividends when investors face uncertainty about their future behaviour. I develop an econometric model that accounts for the instability of U.S. dividend growth and discount rates during the past 120 years. Estimates of the model reveal that changing forecasts of future dividend growth account for more than 90% of the predictable variations in dividend-prices. The estimates also imply that instability in the dividend and discount rate processes contribute significantly to the predictability of long-horizon stock returns.