Journal of Financial & Quantitative Analysis. Volume 50, Issue 1-2 April 2015

横街面上股息率、股息增长率与股票收益率的可预测性

作者：Paulo Maio (Hanken School of Economics, Department of Finance and Statistics)

Pedro Santa-Clara (Universidade Nova de Lisboa, Nova School of Business and Economics)

摘要：学界通常认为股息率的变动仅仅与预期收益率相关而与股息增长率无关，例如，Cochrane( 2011)在主席报告中就提出了这样的观点。我们在文章中展示了这一模式，尽管对整个市场而言有效，但对小市值和价值股投资组合而言并不成立。在这些股票组合中，股息率主要与未来股息的变动有关。因此，与整体股息率相关的方差分解在股票横截面具有严重的异方差性。我们的结果在不同的预测时间长度，计量方法（序列回归或一阶向量自回归），和基于超额收益率的可选择分解方式下都是稳健的。

Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks

Paulo Maio (Hanken School of Economics, Department of Finance and Statistics)

Pedro Santa-Clara (Universidade Nova de Lisboa, Nova School of Business and Economics)

ABSTRACT

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth, for example, Cochrane’s (2011) presidential address. We show that this pattern, although valid for the aggregate stock market, is not true for portfolios of small and value stocks, where dividend yields are related mainly to future dividend changes. Thus, the variance decomposition associated with the aggregate dividend yield has important heterogeneity in the cross section of equities. Our results are robust to different forecasting horizons, econometric methodology (long-horizon regressions or first-order vector autoregression), and alternative decomposition based on excess returns.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/dividend-yields-dividend-growth-and-return-predictability-in-the-cross-section-of-stocks/B7C19C1C7CCD100D42C5B233345F203A

翻译：汪国颂