Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
Carlo Favero (),
Arie E. Gozluklu and
No 360, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
This paper documents the existence of a slowly evolving trend in the dividendprice ratio, dpt , determined by a demographic variable, MY : the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The relation between MY and dpt is a prediction of an overlapping generation model. The joint significance of MY and dpt in longhorizon forecasting regressions for market returns explain the mixed evidence on the ability of dpt to predict stock returns and provide a model-based interpretation of statistical corrections for breaks in the mean of this financial ratio.
New Economics Papers: this item is included in nep-fmk and nep-for
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Journal Article: Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns (2011)
Working Paper: Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:igi:igierp:360
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University via Rontgen, 1 - 20136 Milano (Italy).
Bibliographic data for series maintained by ().