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Dividend Behavior for the Aggregate Stock Market

Terry A. Marsh and Robert C. Merton
The Journal of Business
Vol. 60, No. 1 (Jan., 1987), pp. 1-40
Stable URL: http://www.jstor.org/stable/2352945
Page Count: 40
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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.
Dividend Behavior for the Aggregate Stock Market
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Abstract

We develop and estimate a model of the dynamic behavior of aggregate corporate dividends as a function of the change in permanent earnings of firms. Although structured along the lines of Lintner's, Brittain's, and Fama and Babiak's models of individual firm dividend behavior, the model uses changes in stock prices instead of accounting earnings to measure permanent-earnings changes. The performance of the model is compared with both the accounting-earnings-based models and the trend-autoregressive model associated with Shiller.

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