This article examines predictability of returns and volatily in three major stock markets, the U.S., U.K., and Japan, using the Vector Autoregrassive and the Autoregressive…
Abstract
This article examines predictability of returns and volatily in three major stock markets, the U.S., U.K., and Japan, using the Vector Autoregrassive and the Autoregressive Conditional Heteroskedastic (ARCH) approaches. We find that in all three markets dividendprice ratios and/or dividend growth rates predict returns. Moreover, there is persistence in the variance of stock returns attribute to the innovations related to the same variables.
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This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling”…
Abstract
This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling” hypothesis of dividends along with the efficient market hypothesis is considered to : a) explain the strong relationship between stock returns and the determinants of stock prices, b) show that our results cannot be considered as evidence against market efficiency.