Local Trends in Price‐to‐Dividend Ratios—Assessment, Predictive Value, and Determinants
研究提出一个随时间缓慢变化的状态过程来解释价格股息比的持续性，发现该过程受消费风险、人口结构和传统股息政策公司比例共同影响，且消费增长波动性起主导作用。
Persistent variations of the log price‐to‐dividend ratio (PD) and their economic determinants have attracted a lively discussion in the literature. We suggest a gradually time‐varying state process to govern the persistence of the PD. The adopted state‐space approach offers favorable model diagnostics and finds particular support in out‐of‐sample stock return prediction. We show that this slowly evolving mean process is jointly shaped by the consumption risk, the demographic structure, and the proportion of firms with traditional dividend payout policy during the past 60 years. In particular, the volatility of consumption growth plays the dominant role.