Title

The Predictive Ability of Dividend and Earnings Yields for Long-Term Stocks Returns

Publication Type

Journal Article

Publication Date

2000

Abstract

This study uses empirical models to examine the predictive ability of dividend and earnings yields for long-term stock returns. Results show that dividend and earnings yields share a similar predictive power for future stock returns and growth. It finds that the predictive power of dividend yields increases with the return horizon, but that yields forecast future returns and growth over a much longer horizon. Dividend and earnings yields exhibit high autocorrelation and strong contemporaneous relations.

Discipline

Business

Research Areas

Finance

Publication

Financial Review

Volume

35

Issue

2

First Page

97

Last Page

123

ISSN

0732-8516

Identifier

10.1111/j.1540-6288.2000.tb01416.x

Publisher

Wiley