Stock Return Predictability: Is it There?
检验股息率对超额收益、现金流和利率的预测能力，发现股息率仅在短期与短期利率一起预测收益，且短期利率强烈负向预测收益；而盈利收益率显著预测未来现金流。
We examine the predictive power of the dividend yields for forecasting excess returns, cash flows, and interest rates. Dividend yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive power. At short horizons, the short rate strongly negatively predicts returns. These results are robust in international data and are not due to lack of power. A present value model that matches the data shows that discount rate and short rate movements play a large role in explaining the variation in dividend yields. Finally, we find that earnings yields significantly predict future cash flows.