Predicting the Equity Premium with Dividend Ratios
提出一种递归残差图形方法，评估股息比率对股权溢价的预测能力，发现其预测能力在1990年前已不存在，且仅由1973和1974两年驱动；股息价格比率的持续性增加是预测失效的主因。
Our paper suggests a simple, recursive residuals (out-of-sample) graphical approach to evaluating the predictive power of popular equity premium and stock market time-series forecasting regressions. When applied, we find that dividend ratios should have been known to have no predictive ability even prior to the 1990s, and that any seeming ability even then was driven by only two years, 1973 and 1974. Our paper also documents changes in the time-series processes of the dividends themselves and shows that an increasing persistence of dividend-price ratio is largely responsible for the inability of dividend ratios to predict equity premia. Cochrane's (1997) accounting identity—that dividend ratios have to predict long-run dividend growth or stock returns—empirically holds only over horizons longer than 5–10 years. Over shorter horizons, dividend yields primarily forecast themselves.