Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks
研究发现，股息率的变化在整体股市中主要反映预期收益，但在小盘股和价值股中却主要预示未来股息变化，揭示了股息率方差分解在股票截面上的异质性。
Abstract There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth, for example, Cochrane’s (2011) presidential address. We show that this pattern, although valid for the aggregate stock market, is not true for portfolios of small and value stocks, where dividend yields are related mainly to future dividend changes. Thus, the variance decomposition associated with the aggregate dividend yield has important heterogeneity in the cross section of equities. Our results are robust to different forecasting horizons, econometric methodology (long-horizon regressions or first-order vector autoregression), and alternative decomposition based on excess returns.