Stock Market Performance: Variance Decomposition of Price-Earnings Ratio, Dividend Yield and Tobin's Q

V. Sum
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引用次数: 2

Abstract

This study examines the relative importance of percentage change in price-to-earnings ratio (PE), percentage change in dividend yield (DY) and change in aggregate Tobin’s q ratio (∆TBQ) in forecasting returns on the S&P 500 (SP). The results from the variance decomposition analysis of quarterly data from 1951Q4 to 2012Q4 show that ∆TBQ beats out PE and DY in forecasting SP. While PE and DY together only forecast about 3.2% of SP at the two-quarter to eight-quarter horizons, ∆TBQ does so at about 66%. The Granger-causality test results reveal that ∆TBQ Granger-causes PE and DY. The generalized impulse response functions of the three variables are also estimated.
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股票市场表现:市盈率、股息率和托宾Q的方差分解
本研究考察了市盈率(PE)百分比变化、股息收益率(DY)百分比变化和总托宾q比率(∆TBQ)变化在预测标准普尔500指数(SP)回报中的相对重要性。对1951Q4至2012Q4季度数据进行方差分解分析的结果表明,∆TBQ在预测SP方面优于PE和DY。PE和DY加在一起只能预测2季度至8季度范围内SP的3.2%左右,而∆TBQ的预测效果约为66%。格兰杰因果检验结果表明,∆TBQ格兰杰导致PE和DY,并估计了这三个变量的广义脉冲响应函数。
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