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1、TheDividend-PriceRatioandExpectationsofFutureDividendsandDiscountFactorsJohnY.CampbellPrincetonUniversityRobertJ.ShillerYaleUniversityAdividend-ratiomodelisintroducedherethatmakesthelogofthedividend-priceratioonastocklinearinoptimallyforecastfutureone-periodrealdiscountratesandfut
2、ureone-periodgrowthratesofrealdiv-idends.Ifexpostdiscountratesareobservable,thismodelcanbetestedbyusingvectorautoregressivemethods.Fourversionsofthelinearizedmodel,dif-feringinthemeasureofdiscountrates,aretestedforU.S.timeseries1871-1986and1926-1986:aver-sionthatimposesconstantrea
3、ldiscountrates,andversionsthatmeasurediscountratesfromrealinterestratedata,aggregaterealconsumptiondata,andreturnvariancedata.Theresultsyieldametrictojudgetherelativeimportanceofrealdividendgrowth,measuredrealdiscountrates,andunex-plainedfactorsindeterminingthedividend-priceratio.
4、Whataccountsforthevariationthroughtimeinthedividend-priceratiooncorporatestocks?Thedividend-AnearlierversionofthispaperwascirculatedasNBERWorkingPaper2100.ThisresearchwassupportedbytheNSFandtheJohnM.OlinFellowshipattheNBER(Campbell).Anyopinionsexpressedherearethoseoftheauthorsandd
5、onotnecessarilyrepresenttheviewsoftheinstitutionswithwhichtheyareaffiliated.WearegratefultoMichaelBrennan,SteveBrown,DavidHendry,GregMankiw,SamOuliaris,PeterPhillips,MarkWatson,andanonymousref-ereesforhelpfulcomments.WeareparticularlygratefultoJimPoterbaforassistancewiththedataand
6、toAndreaBeltratiforcorrectinganerrorinourunitrootstestprogram.AddressreprintrequeststoJohnY.Campbell,WoodrowWilsonSchool,PrincetonUniversity,Princeton,NJ08544.TheReviewofFinancialStudies1989,Volume1,number3,pp.195-228©1989TheReviewofFinancialStudies0893-9454/89/$1.50priceratioisof
7、teninterpretedasreflectingtheoutlookfordividends:whendividendscanbeforecasttodecreaseorgrowunusuallyslowly,thedivi-dend-priceratioshouldbehigh.Alternatively,theratioisinterpretedasreflectingtherateatwhichfuturedividendsarediscountedtotodaysprice:whendiscountratesarehigh,thedividen
8、d-priceratioishigh.Inprinciple,th
