IDEAS home Printed from https://ideas.repec.org/a/oup/restud/v65y1998i4p711-740..html
   My bibliography  Save this article

Dividend Variability and Stock Market Swings

Author

Listed:
  • Martin D. D. Evans

Abstract

This paper examines the extent to which swings in stock prices can be related to variations in the discounted value of expected future dividends when investors face uncertainty about their future behaviour. I develop an econometric model that accounts for the instability of U.S. dividend growth and discount rates during the past 120 years. Estimates of the model reveal that changing forecasts of future dividend growth account for more than 90% of the predictable variations in dividend-prices. The estimates also imply that instability in the dividend and discount rate processes contribute significantly to the predictability of long-horizon stock returns.

Suggested Citation

  • Martin D. D. Evans, 1998. "Dividend Variability and Stock Market Swings," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(4), pages 711-740.
    • Handle: RePEc:oup:restud:v:65:y:1998:i:4:p:711-740.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/1467-937X.00065
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:65:y:1998:i:4:p:711-740.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/restud .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.