The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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DOI：
10.1093/rfs/1.3.195
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发表时间：
1988-07-01
影响因子：
8.2
通讯作者：
Shiller, Robert J.
中科院分区：
文献类型：
--
作者：
Campbell, John Y.;Shiller, Robert J.
本文引入了一个股息率模型，使股票的股息价格比的对数线性化，用于最优预测未来一期真实的股息折现率和未来一期真实的股息增长率。如果事后贴现率是可观察的，这个模型可以用向量自回归方法进行检验。四个版本的线性化模型，不同的贴现率的措施，美国时间序列1871-1986年和1926-1986年进行了测试：一个版本，施加恒定的真实的贴现率，和版本，衡量贴现率从真实的利率数据，总真实的消费数据，和回报方差数据。结果产生一个度量来判断的相对重要性的真实的股息增长，测量的真实的贴现率，并在确定股息价格比的原因不明的因素。
A dividend-ratio model is introduced here that makes the log of the dividend-price ratio on a stock linear in optimally forecast future one-period real discount rates and future one-period growth rates of real dividends. If ex post discount rates are observable, this model can be tested by using vector autoregressive methods. Four versions of the linearized model, differing in the measure of discount rates, are tested for U.S. time series 1871-1986 and 1926-1986: a version that imposes constant real discount rates, and versions that measure discount rates from real interest rate data, aggregate real consumption data, and return variance data. The results yield a metric to judge the relative importance of real dividend growth, measured real discount rates, and unexplained factors in determining the dividend-price ratio.