Regime Shifts in Price‐Dividend Ratios and Expected Stock Returns: A Present‐Value Approach
在现值模型中引入价格股息比率均值的制度转换，发现相比原模型，预期收益的持续性更低、波动性更高，样本内可预测性更强，并指出1990年代中期价格股息比率均值上升主要源于预期收益均值下降。
We incorporate regime shifts in the mean of price‐dividend ratios into the present value model of van Binsbergen and Koijen (2010) who propose a latent variable approach to modeling expected returns and dividend growth rates. We find that accounting for regime shifts results in much lower persistence of expected returns and higher volatility of expected returns, and thus higher in‐sample predictability, when compared to the results from the van Binsbergen and Koijen (2010) model. We also show that the main source of the increase in the mean of price‐dividend ratios in the mid‐1990s is a decrease in the mean of expected returns.