Testing the Predictive Power of Dividend Yields
用自助法和模拟检验股息率预测长期股票收益的能力，发现观测统计量在95%置信区间内，没有强证据表明股息率能预测股票收益。
ABSTRACT This paper reexamines the ability of dividend yields to predict long‐horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Overall there is no strong statistical evidence indicating that dividend yields can be used to forecast stock returns.