EconPapers    
Economics at your fingertips  
 

Predictive Regressions: A Present-value Approach

Jules van Binsbergen () and Ralph Koijen

No 16263, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates.

JEL-codes: C22 G11 G12 G17 (search for similar items in EconPapers)
Date: 2010-08
New Economics Papers: this item is included in nep-mic
Note: AP HC
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (105) Track citations by RSS feed

Published as van Binsbergen, Jules H. and Ralph S.J. Koijen, Predictive Regressions: A Present-Value Approach, Journal of Finance, August 2010, 65(4), 1439-1471.

Downloads: (external link)
http://www.nber.org/papers/w16263.pdf (application/pdf)

Related works:
Journal Article: Predictive Regressions: A Present‐Value Approach (2010) Downloads
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:nbr:nberwo:16263

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w16263

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-07-09
Handle: RePEc:nbr:nberwo:16263