Guidolin, Massimo; McMillan, David G.; Wohar, Mark E. - In: Finance Research Letters 10 (2013) 1, pp. 34-40
This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of...