用调整后的股息价格比预测股票溢价:美国和国际证据

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2021-09-13 DOI:10.1108/raf-10-2020-0311
Mahtab Athari, Atsuyuki Naka, Abdullah M. Noman
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引用次数: 3

摘要

目的本文旨在实现两个主要目标。首先是对传统股息价格比率进行适当调整,这将解决经济计量方面的问题,并提高股票溢价的可预测性。二是比较新引入的调整后股息价格比与传统股息价格比的预测性能。设计/方法/方法作者假设,与传统股息价格比相比,调整后的股息价格比将具有更好的股权溢价预测能力和预测质量。为了验证这一假设,作者在1995年6月至2017年3月期间,对11个发达市场和新兴市场指数的样本进行了两个变量的股票溢价预测。为了适应参数值的时间变化或数据中的结构断裂,作者使用这两个变量进行了固定的窗口滚动回归。应用包括震级和符号精度测量在内的各种预测技术来比较预测的性能。结果表明,与传统股息价格比相比,调整后的股息价格比是稳定的,具有较低的持久性和可变性。作者发现,在预测样本中大多数国家的股权溢价时,与传统股息价格比相比,调整后的股息价格比在规模和符号准确性方面提供了优越的样本外(OOS)性能。研究局限性/含义本文介绍了一种易于遵循的对传统股息价格比的修改,研究人员和从业者都可以复制这种修改。然而,这项研究的局限性在于,它没有捕捉到每个指数中股息支付公司对调整后股息价格比预测能力的影响。实际含义股票溢价可预测性的知识在实施市场时机策略时很重要,可能有利于投资组合和风险管理。新引入的变量很容易使用广泛可用的数据构建,而不需要复杂的计量经济学估计。投资者可以使用这个变量来预测发达市场和新兴市场的股票溢价。本文的研究结果将与金融分析师、投资组合经理、投资者和国际金融研究人员有关。例如,通过使用调整后的股息价格比,投资者对股票溢价的OOS月度预测将提高0.5%。原创性/价值据作者所知,这是第一篇基于最近一个季度的过去观察结果提出调整传统股息价格比率的论文。通过这种方式,本文提供了新的见解,即尽管经过一些调整和修改,股息价格比仍然有助于预测股票溢价。该论文的研究结果将使人们重新对使用股息价格比率作为股票溢价的预测指标产生兴趣。
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Predicting equity premium with adjusted dividend-price ratio: the USA and international evidence
Purpose This paper aims to achieve two main objectives. The first is to introduce a suitable adjustment to the conventional dividend-price ratio, which would address econometric concerns and improve the predictability of the equity premium. The second is to compare the predictive performance of the newly introduced adjusted dividend-price ratio with the conventional dividend-price ratio. Design/methodology/approach The authors hypothesize that the adjusted dividend-price ratio will have better predictive power and forecasting quality for equity premium compared to the conventional dividend-price ratio. To test the hypothesis, the authors predict equity premium with both variables on a sample of 11 developed and emerging market indexes over a period spanning June 1995 to March 2017. To accommodate time variation in parameter values or structural breaks in the data, the authors conducted a fixed window rolling regressions using both variables. A variety of forecast techniques including magnitude and sign accuracy measures are applied to compare the performance of forecasts. Findings The adjusted dividend-price ratio is shown to be stationary and has both lower persistence and variability compared with the conventional dividend-price ratio. The authors find that the adjusted dividend-price ratio provides superior out-of-sample (OOS) performance compared to the conventional dividend-price ratio, for both size and sign accuracy, in forecasting equity premium for the majority of the countries in the sample. Research limitations/implications This paper introduces an easy-to-follow modification in the conventional dividend-price ratio that can be replicated by researchers and practitioners alike. However, the study has a limitation in that it does not capture the impact of dividend-paying firms within each index on the predictive ability of the adjusted dividend-price ratio. Practical implications The knowledge of equity premium predictability is important in implementing market-timing strategies and could be beneficial for portfolio and risk management. The newly introduced variable is easy to construct using widely available data without the need for complex econometric estimation. Investors can use this variable to predict equity premiums in international markets, both developed and emerging. The findings of this paper will be relevant to financial analysts, portfolio managers, investors and researchers in international finance. For example, by using the adjusted dividend-price ratio, investors would see up to 0.5% improvement in their OOS monthly forecasts of the equity premium. Originality/value To the best of the authors’ knowledge, this is the first paper that proposes adjustment in the conventional dividend-price ratio based on the past observations of the most recent quarter. In this way, the paper offers fresh insight that dividend-price ratio is still useful to predict equity premium albeit, after some adjustments and modifications. The findings of the paper would result in renewed interest in using the dividend-price ratio as a predictor of the equity premium.
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