Journal of Financial Economics·Volume 127, Issue 2·February 2018

四个世纪的回报可预测性

作者：Benjamin Golez（University of Notre Dame）

Peter Koudijs（Stanford University; NBER）

摘要：我们结合了过去四个世纪最重要股票市场的年度股票市场数据：荷兰和英国（1629-1812），英国（1813-1870）以及美国（1871-2015）。我们的研究显示股息收益率是平稳的，并持续预测收益。有记录的可预测性适用于年度和多年度范围，并在样本内和样本外均可行，从而提供强有力的证据，证明股票市场的预期回报是随时间变化的。部分原因是，这种差异与商业周期有关，预期回报在经济衰退时期会增加。我们还发现，除了1945年以后的时期，股息收益率预测了股息增长率。

关键词：股息价格比，回报可预测性，股息增长的可预测性

Four centuries of return predictability

Benjamin Golez（University of Notre Dame）, Peter Koudijs（Stanford University; NBER）

ABSTRACT

We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates.

Keywords：Dividend-to-price ratio, Return predictability, Dividend growth predictability

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X17303185#!

翻译：何杉