Motivated by the Campbell-Shiller present-value identity, we propose a new method of forecasting dividend growth that combines out-of-sample forecasts from 14 individual predictive regressions based on common return predictors. Combination forecast methods generate robust out-of-sample...

Motivated by the Campbell-Shiller present-value identity, we propose a new method of forecasting dividend growth that combines out-of-sample forecasts from 14 individual predictive regressions based on common return predictors. Combination forecast methods generate robust out-of-sample...

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...