Financial Analyst Journal, Volume 73, Issue 3, Third Quarter 2017

股票收益的长期驱动因素:总支出和实体经济

作者：Philip U. Straeh (Morningstar Investment Management LLC), Roger G. Ibbotson (Yale School of Management)

摘要：本文对1871-2014年的数据进行研究，提出了基于理论和实证两方面的证据，发现总支出（即股息和回购）是股票市场长期收益的关键因素。我们发现随着生产率的增长，每股（根据回购比例调整）的总支出也随之增长，而总支出与GDP的增长是一致的。同时我们发现，基于当前收益率和历史增长率的股息贴现模型(DDM)低估了相对于总支付模型的预期回报。最后，我们证明了，经周期调整的总收益(CATY)所预测的预期回报的变化至少和经周期调整的市盈率(CAPE)的变化相同。

The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy

Philip U. Straeh (Morningstar Investment Management LLC), Roger G. Ibbotson (Yale School of Management)

ABSTRACT

We provide theoretical and empirical evidence over 1871–2014 that total payouts (dividends plus buybacks) are the key drivers of long-run stock market returns. We show that total payouts per share (adjusted for the share decrease from buybacks) grew in line with economic productivity, whereas aggregate total payouts grew in line with GDP. We also show that a dividend discount model (DDM) based on current yields and historical growth rates underestimates expected returns relative to the total payout model. Finally, we demonstrate that the cyclically adjusted total yield (CATY) predicts changes in expected returns at least as well as the cyclically adjusted price-to-earnings ratio (CAPE).

原文链接：

http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n3.4

翻译：秦秀婷