Stock Prices, Earnings, and Expected Dividends

John Campbell and Robert Shiller

Scholarly Articles from Harvard University Department of Economics

Abstract: Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871-1986), a vector-autoregressive forecast of the present value of future dividends is, for each year, roughly a weighted average of moving-average earnings and current real price, with between two thirds and three fourths of the weight on the earnings measure. We develop the implications of this for the present-value model of stock prices and for recent results that long-horizon stock returns are highly forecastable.

Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (966)

Published in Journal of Finance

Downloads: (external link)
http://dash.harvard.edu/bitstream/handle/1/3224293 ... ckpricesearnings.pdf (application/pdf)

Related works:
Working Paper: Stock Prices, Earnings and Expected Dividends (1988)
Working Paper: STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS (1988)
Working Paper: Stock Prices, Earnings and Expected Dividends (1988)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3224293

Access Statistics for this paper

More papers in Scholarly Articles from Harvard University Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Office for Scholarly Communication ().