A Variance Decomposition for Stock Returns
用向量自回归方法将美国1927-88年月度股票意外收益分解为预期股息变化和预期收益变化两部分，发现各占约三分之一方差，且预期收益变化持久性强，与股息变化负相关。
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns. A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the variance of changing expected returns, and one-third to the covariance of the two components. Changing expected returns have a large effect on stock prices because they are persistent: a 1 percent innovation in the expected return is associated with a 4 or 5 percent capital loss. Changes in expected returns are negatively correlated with changes in expected dividends, increasing the stock market reaction to dividend news. In the period 1952-88, changing expected returns account for larger fraction of stock return variation than they do in the period 1927-51. Copyright 1991 by Royal Economic Society.