Dividend growth predictability and the price-dividend ratio
Asymptotic tests over-reject the null of no predictability in present-value models. We develop a nonparametric testing approach in state space models, implying reliable finite sample inference under weak assumptions on price-dividend ratio and dividend shocks. We find sharp evidence of return predic...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Izdano: |
INFORMS
2019
|