Equity duration and predictability
研究发现，股息价格比的变化主要由预期收益率驱动，而非股息增长率，且这一现象在1945年后才出现。通过现值模型，作者提出权益久期普遍增加可以解释该现象，并提供了来自股息剥离、时间序列和股票横截面的实证证据。
One of the most puzzling findings in asset pricing is that expected returns dominate variation in the dividend-to-price ratio, leaving little room for dividend growth rates. Even more puzzling is that this dominance only emerged after 1945. We develop a present value model to argue that a general increase in equity duration can explain these findings. As cash flows to investors accrue further into the future, shocks to highly persistent expected returns become relatively more important than shocks to growth rates. We provide supportive empirical evidence from dividend strips, the time-series, and the cross-section of stocks.