Kellogg School of Management
2001 Sheridan Road
Evanston, IL 60208
NBER Working Papers and Publications
|September 2015||Dividend Dynamics, Learning, and Expected Stock Index Returns|
with Ravi Jagannathan: w21557
We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample, 25.3% to 27.1% of the variation in annual stock index returns over the same time horizon, and learning contributes approximately half of the predictability in returns. These findings support the view that both investors' aversion to long-run risks and their learning about these risks are important in determining the stock index prices and expected returns.
forthcoming in the Journal of Finance
|May 2014||Matching Capital and Labor|
with Jonathan B. Berk, Jules H. van Binsbergen: w20138
We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. At least 30% of the value mutual fund managers add can be attributed to the firm's role in efficiently allocating capital amongst its mutual fund managers. We find no evidence of a similar effect when a firm hires managers from another firm. We conclude that an important reason why firms exist is the private information that derives from the firm's ability to better assess the skill of its own employees.
Published: JONATHAN B. BERK & JULES H. van BINSBERGEN & BINYING LIU, 2017. "Matching Capital and Labor," The Journal of Finance, vol 72(6), pages 2467-2504.