The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
线性化理性预期现值模型，得出对数股息价格比与未来股息增长和贴现率预期之间的关系，并用美国1871-1986年数据检验三种贴现率版本，判断各因素对股息价格比的相对重要性。
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for U. S. time series 1871-1986: versions using real interest rate data, aggregate real consumption data, and return variance data. The results yield a metric to judge the relative importance of real dividend growth, measured real discount rates and unexplained factors in determining the dividend-price ratio.