CharacterizingtheAbility of DividendYieldsto PredictFutureDividendsin Log-LinearPresentValue Models

  title={CharacterizingtheAbility of DividendYieldsto PredictFutureDividendsin Log-LinearPresentValue Models},
  author={Andrew Ang},
High dividend yields imply that either future dividend growth must be low, or future discountratesmustbehigh,or both. While previousstudieshave focusedon thepredictability of expectedreturnsfrom dividendyields,dividendyieldsalsostronglypredictfuturedividends, andthepredictabilityof dividendgrowth is muchstrongerthandiscountratesreturnsata1-year horizon. Inferencefrom annualregressionsimputesover 85%of thevariationof log dividend yields to variationsin dividendgrowth, and this attribution is… CONTINUE READING

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