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Price Dividend Ratio Factors
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Book Synopsis Price Dividend Ratio Factors by : Ravi Jagannathan
Download or read book Price Dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the empirical support for a broad class of long run risk models using information in factors extracted through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one tracking the volatility of the growth rate in economy wide aggregate consumption, and the other predicting the growth rates in the stock index portfolio dividends and aggregate consumption, consistent with the implications of these models. We show that that the long run risk factor driving expected consumption growth is not recoverable from the cross section of excess returns alone. The price dividend ratio factors perform better than the stock index price dividend ratio and the corporate yield spread, and has information in addition to what is in the slope of the term structure of interest rates, in forecasting the growth rate in real time consumption and stock index dividends. The covariance of excess returns with factor innovations explain the cross section of excess returns on size, book/market, earnings/price ratio, long term reversal, and short term reversal sorted portfolios in a manner robust to look-ahead and useless factor biases. Our findings suggest that the widely used Fama and French (1993) three factor model and the long run risk models studied in the literature are not necessarily inconsistent with each other. They may be representing the same underlying phenomenon, but emphasizing different aspects of reality.
Book Synopsis Long run risks & price/dividend ratio factors by : Ravi Jagannathan
Download or read book Long run risks & price/dividend ratio factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that long run consumption risk models imply that the covariance matrix of the logarithm of price to dividend (P/D) ratios of stocks has a strict factor structure. Factor analysis of the P/D ratios of 25 portfolios formed by sorting stocks based on their size and book to market ratio during the 1943 to 2008 reveals two significant factors. Consistent with theory, these factors predict growth in US aggregate consumption & dividends and consumption growth volatility, and explain the cross section of average excess returns on portfolios based on size, book/market, long term reversal, short term reversal, and earnings to price ratios.
Book Synopsis Price Dividend Ratio Factors by : Ravi Jagannathan
Download or read book Price Dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Run Risk & Price/dividend Ratio Factors by : Ravi Jagannathan
Download or read book Long Run Risk & Price/dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Study Of Factors Affecting Dividend Yield And Dividend Payout Ratio by : Rabia Qamar
Download or read book Study Of Factors Affecting Dividend Yield And Dividend Payout Ratio written by Rabia Qamar and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is regarding factors like profitability, market to book value, financial leverage, lagged value of dividend, stock price and size of firm which has great effect on dividend yield and dividend payout ratio.Dividend is very important activity of an organisation.Dividend value attracts the investor or shareholder towards an organisation, without shareholder investment organisation has no fu
Book Synopsis What Determines the Aggregate Dividend-Price Ratio? Earnings Versus Dividends by : Gil Sadka
Download or read book What Determines the Aggregate Dividend-Price Ratio? Earnings Versus Dividends written by Gil Sadka and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient market, prices should vary only if investors change their expectations about cash flows, discount factors, or both. Prior research showed that dividend yield varies mostly due to variation in expected returns, and contains little information about cash flow. This literature concentrates on dividend growth variation as cash flow information. However, according to Miller and Modigliani (1961) with no taxes, given earnings, dividends are strictly a financing decision and should not affect prices. Consistent with the dividend-policy irrelevance hypothesis, this paper shows that variation in expected profitability growth explains as much as 70% of the variation in the dividend yield. Thus, the dividend yield contains information about cash flows in terms of earnings, not dividends. In addition, this paper finds evidence consistent with a permanent shift in the dividend yield in the 90s. Controlling for this permanent shift, the results indicate that the dividend yield has not lost its ability to predict returns.
Book Synopsis Explaining the Variance of Price-dividend Ratios by : John Howland Cochrane
Download or read book Explaining the Variance of Price-dividend Ratios written by John Howland Cochrane and published by . This book was released on 1990 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Dividend-price Ratio and Expections of Future Dividends and Discount Factors by : John Y. Campbell
Download or read book The Dividend-price Ratio and Expections of Future Dividends and Discount Factors written by John Y. Campbell and published by . This book was released on 1987 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock-Market Equilibrium and the Dividend Yield by : Charles Frederick Kramer
Download or read book Stock-Market Equilibrium and the Dividend Yield written by Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1996-08 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can fundamentals account for the recent performance of the U.S. stock market? The price/earnings ratio is out of line with historical averages, and the dividend/price ratio has recently reached a historic low. These developments and record levels of inflows into mutual funds have led some to conclude that stock prices are above their fundamental levels. This paper assesses the recent rise in the stock market using a model for the equilibrium dividend/price ratio. While economic variables can account for most of the recent fall in the dividend/price ratio, mutual-fund inflows still have some marginal explanatory power.
Book Synopsis Long Run Risks & Price/Dividend Ratio Factors by :
Download or read book Long Run Risks & Price/Dividend Ratio Factors written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Explaining the Variance of Price Dividend Ratios by : John H. Cochrane
Download or read book Explaining the Variance of Price Dividend Ratios written by John H. Cochrane and published by . This book was released on 2010 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are characterized, and the variance bound and variance decomposition are tested for several discount rate models, including the consumption based model, and models based on interest rates plus a constant risk premium.
Book Synopsis THE DIVIDEND-PRICE RATIO AND EXPECTATIONS OF FUTURE DIVIDENS AND DISCOUNT FACTORS by : John Y. Campbell
Download or read book THE DIVIDEND-PRICE RATIO AND EXPECTATIONS OF FUTURE DIVIDENS AND DISCOUNT FACTORS written by John Y. Campbell and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relationship of the Price-dividend Ratio to Capital Appreciation of Securities on the New York Stock Exchange by : Jay Norman Fues
Download or read book The Relationship of the Price-dividend Ratio to Capital Appreciation of Securities on the New York Stock Exchange written by Jay Norman Fues and published by . This book was released on 1954 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analytical Cyclical Price-Dividend Ratios by : Fausto Mignanego
Download or read book Analytical Cyclical Price-Dividend Ratios written by Fausto Mignanego and published by . This book was released on 2017 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: How non-linear are log price-dividend ratios in the fundamental state variables? We work out a novel formula for the price-dividend ratio within a parsimonious affine model to study exactly how much non-linearity is generated by the persistence of the fundamentals. We show that persistence fosters endogenous conditional heteroskedasticity of the stock returns by fuelling the non-linearity of the log price-dividend ratio.
Book Synopsis Persistence of the Price-Dividend Ratio in a Present-Value Model of Stock Prices by : Adam Golinski
Download or read book Persistence of the Price-Dividend Ratio in a Present-Value Model of Stock Prices written by Adam Golinski and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find evidence of antipersistence in returns and dividend growth, while the price-dividend ratio appears to exhibit nonstationary long memory, which seems contradictory in the present-value context. We reconcile these findings by showing that the aggregation of antipersistent expected dividend growth and expected returns gives the price-dividend ratio non-standard properties: a) asymptotically, the moving average coefficients decay hyperbolically at the same rate as the underlying antipersistent expected dividend growth and expected returns series; b) the spectral density at the zero frequency is finite and bounded away from zero as in short memory processes; c) close to zero frequency the spectral density is convex, which can imitate long memory in finite samples. Taking these features into account, we extend and estimate the present-value model by allowing for fractionally integrated processes in expected returns and dividend growth. We show this improves the model's forecasting power in-sample and out-of-sample.
Book Synopsis Dividend Growth Predictability and the Price-dividend Ratio by : Ilaria Piattiy
Download or read book Dividend Growth Predictability and the Price-dividend Ratio written by Ilaria Piattiy and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An International Analysis of Factors Affecting Ex-dividend Day Stock Prices by : J. Thomas Connelly
Download or read book An International Analysis of Factors Affecting Ex-dividend Day Stock Prices written by J. Thomas Connelly and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate stock price changes on the ex-dividend day in 37 countries. We hypothesize that, in addition to taxes, other market frictions should also affect ex-dividend day stock prices in world markets. Empirical results show that mean price drop ratios deviate significantly from their predicted values based on differential tax rates between dividends and capital gains, and that proxies for agency conflicts and information asymmetry also help explain these cross-country deviations. After controlling for these factors, the weighted average of investors' tax rate is reflected in the ex-dividend day price movements. The results are consistent with the idea that agency conflicts, information asymmetry and differential taxation of dividends and capital gains are all important factors affecting ex-dividend day stock prices in world markets.
