首页 | 本学科首页   官方微博 | 高级检索  
     检索      


On the Predictability of Japanese Stock Returns Using Dividend Yield
Authors:Kohei Aono  Tokuo Iwaisako
Institution:1.College of Business Administration,Ritsumeikan University,Kusatsu, Shiga,Japan;2.Policy Research Institute, Ministry of Finance,Government of Japan,Chiyoda-ku, Tokyo,Japan;3.Institute of Economic Research,Hitotsubashi University,Kunitachi, Tokyo,Japan
Abstract:The aim of this paper is to provide a critical and comprehensive reexamination of empirical evidence on the ability of the dividend yield to predict Japanese stock returns. Our empirical results suggest that in general, the predictability is weak. However, (1) if the bubble economy period (1986–1998), during which dividend yields were persistently lower than the historical average, is excluded from the sample, and (2) if positive autocorrelation in monthly aggregate returns is taken into account, there is some evidence that the log dividend yield is indeed useful in forecasting future stock returns. More specifically, the log dividend yield contributes to predicting monthly stock returns in the sample after 1990 and when lagged stock returns are included simultaneously.
Keywords:
本文献已被 SpringerLink 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号