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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
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Published in Journal of Finance

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Working Paper: Stock Prices, Earnings and Expected Dividends (1988) Downloads
Working Paper: STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS (1988)
Working Paper: Stock Prices, Earnings and Expected Dividends (1988) Downloads
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