Dividend Dynamics, Learning, and Expected Stock Index Returns
提出了一个股息潜在变量模型，在1975-2016年间样本外预测了39.5%至41.3%的年度股息增长率变化；将学习机制纳入长期风险模型后，预测了25.3%至27.1%的年度股票指数收益变化，其中学习贡献了约一半的可预测性。
ABSTRACT We present a latent variable model of dividends that predicts, out‐of‐sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long‐run risks model, the model predicts, out‐of‐sample, 25.3% to 27.1% of the variation in annual stock index returns over the same time horizon, with learning contributing approximately half of the predictability in returns. These findings support the view that investors' aversion to long‐run risks and their learning about these risks are important in determining stock index prices and expected returns.