Dividend Dynamics, Learning, and Expected Stock Index Returns
Cancelled
Event details
| Date | 11.11.2016 |
| Hour | 10:30 › 12:00 |
| Speaker | Ravi JAGANNATHAN (Northwestern Kellogg) |
| Location | |
| Category | Conferences - Seminars |
We show that, in a frictionless and efficient market, an asset pricing model that better describes investors' behavior should better forecast stock index returns. We propose a dividend model that predicts, out-of-sample, 31.3% of the variation in annual dividend growth rates (1976-2015). Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample, 22.4% of the variation in annual stock index returns (1976-2015). This supports the view that both investors' aversion to long-run risks and learning about these risks are important in determining asset prices and expected returns.
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- Informed public
- Free