股利政策能否引领经济?

IF 1.2 3区 经济学 Q3 BUSINESS, FINANCE
PAULO MAIO
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引用次数: 0

摘要

我研究了总股息支付率()对未来经济活动的预测作用。基于向量自回归的方差分解显示,股利增长的长期可预测性是其主要驱动力,而股息增长的可预测性则是次要驱动力。与这一结果相一致的是,长期回归结果表明,股息增长是未来总体商业条件的重要预测因素,尤其是在中长期预测范围内。重要的是,它优于文献中几种常用的股票和债券预测指标。在样本外预测分析中,其预测能力保持稳健。总体而言,它传递了有关经济的重要信息。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does Dividend Policy Lead the Economy?
I investigate the predictive role of the aggregate dividend–payout ratio () for future economic activity. A vector‐autoregression‐based variance decomposition shows that the main driving force of is long‐run predictability of earnings growth, with dividend growth predictability assuming a secondary role. Consistent with this result, long‐horizon regressions indicate that is a significant predictor, especially at intermediate and long forecasting horizons, of future aggregate business conditions. Critically, outperforms several popular equity and bond predictors from the literature. The predictive ability of remains robust in an out‐of‐sample forecasting analysis. Overall, conveys important information about the economy.
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来源期刊
CiteScore
2.90
自引率
6.70%
发文量
98
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