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The Predictive Ability of Dividend and Earnings Yields for Long-Term Stock Returns

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  • Wu, Chunchi
  • Wang, Xu-Ming

Abstract

We use empirical models to examine the predictive ability of dividend and earnings yields for long-term stock returns. Results show that dividend and earnings yields share a similar predictive power for future stock returns and growth. We find that the predictive power of dividend yields increases with the return horizon, but that yields forecast future returns and growth over a much longer horizon. Finally, dividend and earnings yields exhibit high autocorrelation and strong contemporaneous relations. Copyright 2000 by MIT Press.

Suggested Citation

  • Wu, Chunchi & Wang, Xu-Ming, 2000. "The Predictive Ability of Dividend and Earnings Yields for Long-Term Stock Returns," The Financial Review, Eastern Finance Association, vol. 35(2), pages 97-123, May.
    • Handle: RePEc:bla:finrev:v:35:y:2000:i:2:p:97-123
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    Cited by:

    1. Chyi-Lun Chiou, 2015. "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 148-157.
    2. Georgeta Vintila & Elena Alexandra Nenu, 2015. "An Analysis of Determinants of Corporate Financial Performance: Evidence from the Bucharest Stock Exchange Listed Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 732-739.

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