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Expected Returns and Expected Dividend Growth : Time to Rethink an Established Empirical Literature

Ma, Jun - 2014

This paper examines various state-space and VAR model specifications to investigate the contributions of expected returns and expected dividend growth to movements in the price-dividend ratio. We show that both models involve serious inference problems that need to be dealt with carefully. We...

Persistent link: https://www.econbiz.de/10013068462