Business, Management and Accounting
3 years ago

Dividend-Growth Equation Test Reveals Flaws in Return Predictability Models

RePEc: Research Papers in Economics
Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog
Erik Hjalmarsson, Tamás Kiss

Paper Summary

The study tested a method for predicting stock returns using dividend growth. The method did not show any power advantages compared to other tests. When the method used the same parameter as a standard estimate, it had size distortions.

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