Abstract
This chapter sets the foundation for the following analysis. The aim of this book is to examine the state of stock return predictability and the associated dividend growth predictability. Our overarching aim is to provide an understanding of whether and when such predictability occurs and how this advances our understanding of asset price movement. In doing so, we focus initially on the predictive and forecast power from the dividend yield as a direct representation of the dividend discount model before expanding to include a range of other variables that proxy for expected macroeconomic risk and cash flow. This includes the use of alternative methodologies (including nonlinear approaches) and valuation measures. Again, an overriding theme is time-variation within the model dynamics and its importance in understanding the behaviour of markets.
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McMillan, D.G. (2018). Introduction. In: Predicting Stock Returns. Palgrave Pivot, Cham. https://doi.org/10.1007/978-3-319-69008-7_1
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DOI: https://doi.org/10.1007/978-3-319-69008-7_1
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