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SUMMARY:Dividend Dynamics\, Learning\, and Expected Stock Index Returns
DTSTART:20161111T103000
DTEND:20161111T120000
DTSTAMP:20260406T164623Z
UID:d3e87071427152180e5dd232fcb25964637e4f719cad31a04f40b6e2
CATEGORIES:Conferences - Seminars
DESCRIPTION:Ravi JAGANNATHAN (Northwestern Kellogg)\nWe show that\, in a f
 rictionless and efficient market\, an asset pricing model that better desc
 ribes investors' behavior should better forecast stock index returns. We p
 ropose a dividend model that predicts\, out-of-sample\, 31.3% of the varia
 tion 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 in
 dex returns (1976-2015). This supports the view that both investors' avers
 ion to long-run risks and learning about these risks are important in dete
 rmining asset prices and expected returns.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CANCELLED
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