search query: @author Ang, A. / total: 5
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| Author: | Ang, A. Liu, J. |
| Title: | Risk, return and dividends |
| Journal: | Journal of Financial Economics
2007 : JUL, VOL. 85:1, p. 1-38 |
| Index terms: | models stock returns risk premium dividends |
| Freeterms: | return pridictability stochastic volatility |
| Language: | eng |
| Abstract: | The findings of this study give insight into the nature of the risk-return relation and the predictability of stock returns. The study demonstrates that given a dividend process, any one of three variables - expected return, return volatility, and the price-dividend ratio - completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, and sometimes counter-factual restrictions on the dynamics of the other variables. |
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