Cash-flow or return predictability at long horizons? The case of earnings yield

Journal of Empirical Finance - Tập 59 - Trang 172-192 - 2020
Paulo Maio1, Danielle Xu2
1Department of Finance and Economics, Hanken School of Economics, Finland
2School of Business Administration, Gonzaga University, United States of America

Tài liệu tham khảo

Ang, 2012, Predicting dividends in log-linear present value models, Pac.-Basin Financ. J., 20, 151, 10.1016/j.pacfin.2011.08.005 Ang, 2007, Stock return predictability: is it there?, Rev. Financ. Stud., 20, 651, 10.1093/rfs/hhl021 Asimakopoulos, 2017, Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets, J. Financ. Quant. Anal., 52, 2305, 10.1017/S0022109017000643 Bali, 2008, Aggregate earnings, firm-level earnings, and expected stock returns, J. Financ. Quant. Anal., 43, 657, 10.1017/S0022109000004245 Bandi, 2019, The scale of predictability, J. Econometrics, 208, 120, 10.1016/j.jeconom.2018.09.008 Bansal, 2014, Volatility, the macroeconomy, and asset prices, J. Financ., 69, 2471, 10.1111/jofi.12110 Bhansali, 2002, Multi-step forecasting Bianchi, D., Tamoni, A., 2016. The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling. SSRN Working Paper. Binsbergen, 2010, Predictive regressions: a present-value approach, J. Financ., 65, 1439, 10.1111/j.1540-6261.2010.01575.x Boudoukh, 2008, The myth of long-horizon predictability, Rev. Financ. Stud., 21, 1577, 10.1093/rfs/hhl042 Brav, 2005, Payout policy in the 21st century, J. Financ. Econ., 77, 483, 10.1016/j.jfineco.2004.07.004 Campbell, 1993, What moves the stock and bond markets? A variance decomposition for long-term asset returns, J. Financ., 48, 3, 10.1111/j.1540-6261.1993.tb04700.x Campbell, 2013, Hard times, Rev. Asset Pricing Stud., 3, 95, 10.1093/rapstu/ras026 Campbell, 2018, An intertemporal CAPM with stochastic volatility, J. Financ. Econ., 128, 207, 10.1016/j.jfineco.2018.02.011 Campbell, 1988, Stock prices, earnings, and expected dividends, J. Financ., 43, 661, 10.1111/j.1540-6261.1988.tb04598.x Campbell, 1988, The dividend price ratio and expectations of future dividends and discount factors, Rev. Financ. Stud., 1, 195, 10.1093/rfs/1.3.195 Campbell, 1998, Valuation ratios and the long-run stock market outlook, J. Portf. Manag., 24, 11, 10.3905/jpm.24.2.11 Campbell, 2008, Predicting excess stock returns out of sample: can anything beat the historical average?, Rev. Financ. Stud., 21, 1509, 10.1093/rfs/hhm055 Campbell, 2004, Bad beta, good beta, Amer. Econ. Rev., 94, 1249, 10.1257/0002828043052240 Campbell, 2006, Efficient tests of stock return predictability, J. Financ. Econ., 81, 27, 10.1016/j.jfineco.2005.05.008 Chen, 2009, On the reversal of return and dividend growth predictability: a tale of two periods, J. Financ. Econ., 92, 128, 10.1016/j.jfineco.2008.04.004 Chen, 2012, Dividend smoothing and predictability, Manage. Sci., 58, 1834, 10.1287/mnsc.1120.1528 Cochrane, 1992, Explaining the variance of price–dividend ratios, Rev. Financ. Stud., 5, 243, 10.1093/rfs/5.2.243 Cochrane, 2008, The dog that did not bark: a defense of return predictability, Rev. Financ. Stud., 21, 1533, 10.1093/rfs/hhm046 Cochrane, 2011, Presidential address: discount rates, J. Financ., 66, 1047, 10.1111/j.1540-6261.2011.01671.x Cohen, 2003, The value spread, J. Financ., 58, 609, 10.1111/1540-6261.00539 Engsted, 2010, The dividend-price ratio does predict dividend growth: international evidence, J. Empir. Financ., 17, 585, 10.1016/j.jempfin.2010.01.003 Engsted, 2012, The log-linear return approximation, bubbles, and predictability, J. Financ. Quant. Anal., 47, 643, 10.1017/S0022109012000191 Fama, 1988, Dividend yields and expected stock returns, J. Financ. Econ., 22, 3, 10.1016/0304-405X(88)90020-7 Fama, 1989, Business conditions and expected returns on stocks and bonds, J. Financ. Econ., 25, 23, 10.1016/0304-405X(89)90095-0 Fama, 2001, Disappearing dividends: changing firm characteristics or lower propensity to pay?, J. Financ. Econ., 60, 3, 10.1016/S0304-405X(01)00038-1 Gonçalves, 2020, Reinvestment risk and the equity term structure, J. Financ. Guo, 2020, Monetary policy and corporate bond returns, Rev. Asset Pricing Stud., 10, 441, 10.1093/rapstu/raaa005 Guo, 2020, ICAPM And the accruals anomaly, Q. J. Financ., 10, 10.1142/S2010139220500147 Hayashi, 2000 Jordà, 2005, Estimation and inference of impulse responses by local projections, Am. Econ. Rev., 95, 161, 10.1257/0002828053828518 Jordà, 2011, Estimation and inference by the method of projection minimum distance: an application to the new keynesian hybrid Phillips curve, Int. Econ. Rev., 52, 461, 10.1111/j.1468-2354.2011.00635.x Keim, 1986, Predicting returns in the stock and bond markets, J. Financ. Econ., 17, 357, 10.1016/0304-405X(86)90070-X Koijen, 2011, Predictability of returns and cash flows, Annual Rev. Financ. Econ., 3, 467, 10.1146/annurev-financial-102710-144905 Lamont, 1998, Earnings and expected returns, J. Financ., 53, 1563, 10.1111/0022-1082.00065 Larrain, 2008, Does firm value move too much to be justified by subsequent changes in cash flow?, J. Financ. Econ., 87, 200, 10.1016/j.jfineco.2007.01.002 Leary, 2011, Determinants of dividend smmothing: empirical evidence, Rev. Financ. Stud., 24, 3197, 10.1093/rfs/hhr072 Lettau, 2001, Consumption, aggregate wealth, and expected stock returns, J. Financ., 56, 815, 10.1111/0022-1082.00347 Lettau, 2008, Reconciling the return predictability evidence, Rev. Financ. Stud., 21, 1607, 10.1093/rfs/hhm074 Lewellen, 2004, Predicting returns with financial ratios, J. Financ. Econ., 74, 209, 10.1016/j.jfineco.2002.11.002 Maio, 2013, Intertemporal CAPM with conditioning variables, Manage. Sci., 59, 122, 10.1287/mnsc.1120.1557 Maio, 2013, Return decomposition and the intertemporal CAPM, J. Bank. Financ., 37, 4958, 10.1016/j.jbankfin.2013.08.021 Maio, 2013, The fed model and the predictability of stock returns, Rev. Financ., 17, 1489, 10.1093/rof/rfs025 Maio, 2014, Another look at the stock return response to monetary policy actions, Rev. Financ., 18, 321, 10.1093/rof/rfs050 Maio, 2014, Don’t fight the fed!, Rev. Financ., 18, 623, 10.1093/rof/rft005 Maio, 2016, Cross-sectional return dispersion and the equity premium, J. Financ. Mark, 29, 87, 10.1016/j.finmar.2015.09.001 Maio, 2015, Macro variables and the components of stock returns, J. Empir. Financ., 33, 287, 10.1016/j.jempfin.2015.03.004 Maio, 2012, Multifactor models and their consistency with the ICAPM, J. Financ. Econ., 106, 586, 10.1016/j.jfineco.2012.07.001 Maio, 2015, Dividend yields, dividend growth, and return predictability in the cross-section of stocks, J. Financ. Quant. Anal., 50, 33, 10.1017/S0022109015000058 Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Polk, 2006, Cross-sectional forecasts of the equity premium, J. Financ. Econ., 81, 101, 10.1016/j.jfineco.2005.03.013 Rangvid, 2014, Dividend predictability around the world, J. Financ. Quant. Anal., 49, 1255, 10.1017/S0022109014000477 Sabbatucci, R., 2015. Are Dividends and Stock Returns Predictable? New Evidence Using M & a Cash Flows. SSRN Working Paper. Stambaugh, 1999, Predictive regressions, J. Financ. Econ., 54, 375, 10.1016/S0304-405X(99)00041-0 Valkanov, 2003, Long-horizon regressions: theoretical results and applications, J. Financ. Econ., 68, 201, 10.1016/S0304-405X(03)00065-5 Welch, 2008, A comprehensive look at the empirical performance of equity premium prediction, Rev. Financ. Stud., 21, 1455, 10.1093/rfs/hhm014