英文标题：
《Non-Stationary Dividend-Price Ratios》
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作者：
Vassilis Polimenis and Ioannis Neokosmidis
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最新提交年份：
2019
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英文摘要：
  Dividend yields have been widely used in previous research to relate stock market valuations to cash flow fundamentals. However, this approach relies on the assumption that dividend yields are stationary. Due to the failure to reject the hypothesis of a unit root in the classical dividend-price ratio for the US stock market, Polimenis and Neokosmidis (2016) proposed the use of a modified dividend price ratio (mdp) as the deviation between d and p from their long run equilibrium, and showed that mdp provides substantially improved forecasting results over the classical dp ratio. Here, we extend that paper by performing multivariate regressions based on the Campbell-Shiller approximation, by utilizing a dynamic econometric procedure to estimate the modified dp, and by testing the modified ratios against reinvested dividend-yields. By comparing the performance of mdp and dp in the period after 1965, we are not only able to enhance the robustness of the findings, but also to debunk a possible false explanation that the enhanced mdp performance in predicting future returns comes from a capacity to predict the risk-free return component. Depending on whether one uses the recursive or population methodology to measure the performance of mdp, the Out-of-Sample performance gain is between 30% to 50%.
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中文摘要：
在之前的研究中，股息收益率被广泛用于将股票市场估值与现金流基本面联系起来。然而，这种方法依赖于假设股息收益率是固定的。由于未能拒绝美国股票市场经典股息价格比单位根的假设，Polimenis和Neokosmidis（2016）提出使用修正股息价格比（mdp）作为d和p与长期均衡之间的偏差，并表明mdp提供了比经典股息价格比大幅改善的预测结果。在这里，我们通过基于Campbell-Shiller近似进行多元回归，利用动态计量经济学程序估计修正后的dp，并根据再投资股息收益率测试修正后的比率，来扩展该论文。通过比较mdp和dp在1965年后的表现，我们不仅能够增强研究结果的稳健性，而且还可以揭穿一个可能的错误解释，即mdp在预测未来回报方面的表现增强来自于预测无风险回报成分的能力。根据使用递归还是总体方法来衡量mdp的性能，样本外性能增益在30%到50%之间。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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