计量经济分析 = Econometric analysis

Investor Psychology and Security Market Under- and Overreactions

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess retu...

The Strategic and Tactical Value of Commodity Futures

International Momentum Strategies

Neural networks are used in business organizations for providing intelligent decision support. The ABI/Inform bibliographic database has over 1 000 publications on business-related research in neur...

A bibliometric analysis

We investigate whether dividend policy, as observed in the payout ratio of the U.S. equity market portfolio, forecasts future aggregate earnings growth. The historical evidence strongly suggests that expected future earnings growth is fastest when current payout ratios are high and slowest when payout ratios are low. This relationship is not subsumed by other factors, such as simple mean reversion in earnings. Our evidence thus contradicts the views of many who believe that substantial reinvestment of retained earnings will fuel faster future earnings growth. Rather, it is consistent with anecdotal tales about managers signaling their earnings expectations through dividends or engaging, at times, in inefficient empire building. Our findings offer a challenge to market observers who see the low dividend payouts of recent times as a sign of strong future earnings to come.

/pdf/surprise-higher-dividends-higher-earnings-growth-v2qxq1lk1n.pdf

Surprise! Higher Dividends = Higher Earnings Growth

The goal of this article is an estimate of the objective forward-looking U.S. equity risk premium relative to bonds through history—specifically, since 1802. For correct evaluation, such a complex topic requires several careful steps: To gauge the risk premium for stocks relative to bonds, we need an expected real stock return and an expected real bond return. To gauge the expected real bond return, we need both bond yields and an estimate of expected inflation through history. To gauge the expected real stock return, we need both stock dividend yields and an estimate of expected real dividend growth. Accordingly, we go through each of these steps. We demonstrate that the long-term forward-looking risk premium is nowhere near the level of the past; today, it may well be near zero, perhaps even negative.

/pdf/what-risk-premium-is-normal-ih6zhg9pm3.pdf

What Risk Premium Is “Normal”?

(1989). A Total Differential Approach to Equity Duration. Financial Analysts Journal: Vol. 45, No. 5, pp. 30-37.

https://www.jstor.org/stable/pdfplus/4479256.pdf

A Total Differential Approach to Equity Duration

Is Your Alpha Big Enough To Cover Its Taxes

The authors contend that most of the institutional investing community is expecting far higher returns than are realistic from current market levels. Extrapolating the past is the easiest, and worst, way to forecast the future. Unfortunately, most investors9 return expectations are shaped by a simple extrapolation of either recent or long–term past returns. If, instead, the constituent parts of equity market returns are examined, we find that it is remarkably difficult to make a case for a positive equity risk premium (the premium of future stock market returns relative to bond yields) from current market levels. None of this analysis is contingent on any assumption that market P/E ratios or dividend yields should return to historical levels. If market levels are fair and are fully sustained in the years ahead, there is still little or no room for a positive equity risk premium. If there is not a positive risk premium, then actuarial return assumptions are likely to be too optimistic, with far–reaching implications for pension funding ratios, corporate earnings, future pension contributions, and appropriate asset allocation policy.

Robert D. Arnott

Papers

Surprise! Higher Dividends = Higher Earnings Growth

What Risk Premium Is “Normal”?

A Total Differential Approach to Equity Duration

Is Your Alpha Big Enough To Cover Its Taxes

The Death of the Risk Premium