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- Title
Long-horizon equity return predictability: some new evidence for the United Kingdom.
- Authors
Wetherilt, Anne Vila; Wells, Simon
- Abstract
In this paper, the author revisit the issue of long-horizon equity return predictability for the United Kingdom in the context of the dynamic dividend discount model of two social scientists. In the past, this model has received ample support from the data. In particular, the dividend yield appeared to do a reasonably good job at predicting long-horizon excess returns. Moreover, predictability was found to increase with the return horizon. But more recent research has questioned the statistical validity of these claims. In particular, incorrect econometric treatment may have led to over-rejection of the null hypothesis of no predictability.
- Subjects
UNITED Kingdom; MONETARY policy; DIVIDENDS; FINANCIAL ratios; ECONOMETRICS; PRICE-earnings ratio
- Publication
Bank of England Quarterly Bulletin, 2004, Vol 44, Issue 4, p468
- ISSN
0005-5166
- Publication type
Article