The predictability of returns and dividend growth rates: long-run evidence.

We use a unique Belgian stock and bond return dataset covering almost two centuries to investigate the predictability of stock returns and dividend growth, taking into account economic and institutional factors. We will first investigate whether the dividend yield predicts stock market returns and/or dividend growth and whether the strength of these relations are linked to the institutional and economic environment. Secondly, we will focus on the monetary and interest rate environment to study their impact on the predictability of stock and bond returns.

Keywords:ASSET PRICING, FINANCIAL HISTORY

Disciplines:Applied economics, Business administration and accounting, Financial economics