预期股息growthand估值比率——我t服务.docVIP

Expected Dividend Growth, Valuation Ratios and Rational Optimism Gary Santoni Department of Economics Ball State University Muncie, IN, 47306 Email: gsantoni@ Alex Tabarrok George Mason University Tabarrok@ Published as: Santoni, G. and A. Tabarrok. 2002. Expected Dividend Growth, Valuation Ratios and Rational Optimism. Journal of Financial and Economic Practice 1 (1): 110-119.  Stock market valuation ratios reached historically unprecedented levels in the late 1990s and continue to be very high today.1 Chart 1 shows the behavior of the price earnings ratio for stocks contained in the Standard and Poor’s Index. The data, which are updated from Shiller (1996), are annual for the years 1871-2000. As indicated, the P/E ratio of 28 recorded in 2000 had never before been attained in the previous 130 years. The data in Chart 2 show that the recent behavior of the dividend price ratio relative to its historical norm is even more stark. As of this writing (late 2001), stock prices have fallen, especially in the once high-flying Internet sector. The various ratios have fallen to more reasonable levels but are still high relative to historical averages. While prices have fallen so have dividends and earnings and the issue raised in the literature concerns the ratio of prices to various measures of the fundamentals. As Chart 3 shows, these ratios are independent of the level of prices. The dividend price ratio, for example, (which in late 2001 stands at 0.017), is still below its 1996 level of 0.024 when Federal Reserve Chairman Alan Greenspan characterized market participants as “irrational,” and well below its historical average of 0.048. In addition, it is also clear from Charts 1 and 2 that there are times other than the late 1990s (for example, 1893-96, 1930-34, 1960-72, and 1991-93) when the P/E ratio was unusually high and the dividend price ratio unusually low.2 This paper uses the Gordon growth model to explain variation in these valuation