A Longer Look at Dividend Yields

Posted: 25 Aug 1998

See all articles by Philippe Jorion

Philippe Jorion

University of California, Irvine - Paul Merage School of Business

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Abstract

This article re-examines the evidence on the ability of dividend yields to predict long-horizon stock returns. We use two new series beginning in 1871, a monthly series for the United States, and an annual series for the United Kingdom. Conditional on survival over the entire 122 years, dividend yields display only marginal ability to predict stock market returns in either country. We also argue that tests over long periods may be affected by survivorship. Simulations show that regression statistics based on a sample drawn solely from surviving markets can be seriously biased towards finding predictability.

JEL Classification: G00

Suggested Citation

Jorion, Philippe and Goetzmann, William N., A Longer Look at Dividend Yields. Journal of Business, Vol. 68, Issue 4, October 1995. Available at SSRN: https://ssrn.com/abstract=6576

Philippe Jorion (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Campus Drive
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949-824-5245 (Phone)
949-824-8469 (Fax)

William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

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P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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