Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Testing the Predictive Power of Dividend Yields

William N. Goetzmann and Philippe Jorion
The Journal of Finance
Vol. 48, No. 2 (Jun., 1993), pp. 663-679
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328917
Stable URL: http://www.jstor.org/stable/2328917
Page Count: 17
  • Read Online (Free)
  • Download ($33.95)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Testing the Predictive Power of Dividend Yields
Preview not available

Abstract

This paper reexamines the ability of dividend yields to predict long-horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Overall there is no strong statistical evidence indicating that dividend yields can be used to forecast stock returns.

Page Thumbnails

  • Thumbnail: Page 
663
    663
  • Thumbnail: Page 
664
    664
  • Thumbnail: Page 
665
    665
  • Thumbnail: Page 
666
    666
  • Thumbnail: Page 
667
    667
  • Thumbnail: Page 
668
    668
  • Thumbnail: Page 
669
    669
  • Thumbnail: Page 
670
    670
  • Thumbnail: Page 
671
    671
  • Thumbnail: Page 
672
    672
  • Thumbnail: Page 
673
    673
  • Thumbnail: Page 
674
    674
  • Thumbnail: Page 
675
    675
  • Thumbnail: Page 
676
    676
  • Thumbnail: Page 
677
    677
  • Thumbnail: Page 
678
    678
  • Thumbnail: Page 
679
    679