Dividend Growth Predictability and the Price–Dividend Ratio
研究发现，在现值模型中，传统检验容易错误拒绝无预测性的假设。本文提出一种非参数检验方法，在战后美国数据中发现回报可预测性的强证据，但股息可预测性仅在特定现金流代理下显著，从而调和了不同结论。
Asymptotic tests over-reject the null of no predictability in present-value models. We develop a nonparametric testing approach in state-space models, implying reliable finite sample inference under weak assumptions on price–dividend ratio and dividend shocks. We find sharp evidence of return predictability in postwar U.S. data but less consistent evidence of dividend predictability, which is significant only using cash-flow proxies reflecting information from mergers and acquisitions. These findings reconcile the diverging conclusions of present-value models and common predictive regressions in a way that is robust to the choice of the predictive variables, the sample period, and alternative cash-flow proxies. This paper was accepted by Gustavo Manso, finance.