Dividend predictability around the world

© Michael G. Foster School of Business, University of Washington 2015. We show that dividend-growth predictability by the dividend yield is the rule rather than the exception in global equity markets. Dividend predictability is weaker, however, in large and developed markets where dividends are smoothed more, the typical firm is large, and volatility is lower. Our findings suggest that the apparent lack of dividend predictability in the United States does not uniformly extend to other countries. Rather, cross-country patterns in dividend predictability are driven by differences in firm characteristics and the extent to which dividends are smoothed

Longevity risk and capital markets: the 2021–22 update

This Special Issue of the Journal of Demographic Economics contains 10 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 16: The Sixteenth International Longevity Risk and Capital Markets Solutions Conference that was held in Helsingør near Copenhagen on 13-14 August 2021. It was hosted by PerCent at Copenhagen Business School and the Pensions Institute at City, University of London

Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted portfolios, we also include industry portfolios in our set of test assets. Our results show that, contrary to the findings of Parker and Julliard (2005), the model falls short of providing an accurate description of the cross-section of returns under our modified empirical approach. At the same time, however, measuring consumption risk over longer horizons typically yields lower risk-aversion estimates. Thus, our results suggest that more plausible parameter estimates - as opposed to lower pricing errors - can be regarded as the main achievement of the long-horizon Consumption CAPM

Increased Instruction Hours and the Widening Gap in Student Performance

Do increased instruction hours improve the performance of all students? Using PISA scores of students in ninth grade, we analyse the effect of a German education reform that increased weekly instruction hours by two hours (6.5 percent) overalmost five years. In the additional time, students are taught new learning content. On average, the reform improves student performance. However, treatment effects are small and differ across the student performance distribution. While low-performing students do not benefit, high-performing students benefit the most. The findings suggest that increases in instruction hours can widen the gap between low- and high-performing students

Deregulation, Privatisation and Marketisation of Nordic Comprehensive Education : Social Changes Reflected in Schooling

Peer reviewe

Forecasting the equity risk premium: The role of technical indicators

Forecasting the Equity Risk Premium: The Role of Technical Indicators Abstract Do existing equity risk premium forecasts ignore useful information, such as technical indicators? Although academics have extensively used macroeconomic variables to forecast the U.S. equity risk premium, they have paid relatively little attention to the technical stock market indicators widely employed by practitioners. Our paper fills this gap by studying the forecasting ability of technical indicators relative to popular macroeconomic variables. We find that technical indicators display statistically and economically significant out-of-sample forecasting power and generate substantial utility gains; moreover, technical indicators tend to detect the typical decline in the equity risk premium near cyclical peaks, while macroeconomic variables more readily pick up the typical rise near cyclical troughs. In line with this cyclical behavior, utilizing information from both technical indicators and macroeconomic variables substantially increases out-of-sample forecasting performance relative to either alone. JEL classification: C53, C58, E32, G11, G12, G1