Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Wealth Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Wealth Management

The Journal of Wealth Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • LinkedIn
  • Twitter

Dividend-Price Ratio and Interest Rate Movements:
Explaining the Equity Risk Premium

Nicola Zanella
The Journal of Wealth Management Spring 2017, 19 (4) 61-71; DOI: https://doi.org/10.3905/jwm.2017.19.4.061
Nicola Zanella
is the director of the Centre for Research in Financial Markets at YouInvest in Lugano, Switzerland.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: nicola.zanella@youinvest.org
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article shows that, over time and across many countries, only a subset of long-term interest rate fall years is responsible for the high equity premium realized over the following periods. These are the years when the dividend-price ratio increases. This observed price behavior could be due to a tendency for prospective equity risk premium to increase when the interest rate declines. The reverse is true: Only a subset of interest rate rise years is responsible for the low or negative subsequent equity premium. These are the years when the dividend-price ratio decreases and the expected equity risk premium falls. This equity premium predictability is present at the international level over the 1971–2014 period, and contrary to previous studies, it does not appear to be only a recessionary phenomenon.

TOPICS: Fundamental equity analysis, analysis of individual factors/risk premia, global, performance measurement

  • © 2017 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Wealth Management: 19 (4)
The Journal of Wealth Management
Vol. 19, Issue 4
Spring 2017
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Wealth Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Dividend-Price Ratio and Interest Rate Movements: Explaining the Equity Risk Premium
(Your Name) has sent you a message from The Journal of Wealth Management
(Your Name) thought you would like to see the The Journal of Wealth Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Dividend-Price Ratio and Interest Rate Movements:
Explaining the Equity Risk Premium
Nicola Zanella
The Journal of Wealth Management Jan 2017, 19 (4) 61-71; DOI: 10.3905/jwm.2017.19.4.061

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Dividend-Price Ratio and Interest Rate Movements:
Explaining the Equity Risk Premium
Nicola Zanella
The Journal of Wealth Management Jan 2017, 19 (4) 61-71; DOI: 10.3905/jwm.2017.19.4.061
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • EVIDENCE OF STOCK RETURN AND EQUITY PREMIUM PREDICTABILITY
    • DIVIDEND-PRICE RATIOS AND INTEREST RATE MOVEMENTS
    • DATA, EMPIRICAL TESTS, AND RESULTS
    • CONCLUSION
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1534-7524 | E-ISSN: 2374-1368

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy