Predictive Regressions: A Present‐Value Approach
在现值模型中用潜变量方法估计股票市场的预期回报和预期股息增长率，利用价格股息比和股息增长率的历史信息进行预测，发现两者均具有持续性且预期回报更持久。
ABSTRACT We propose a latent variables approach within a present‐value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price‐dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates.