Stock price and expected dividends: evidence from Singapore

Abstract

The Campbell-Shiller ‘dividend-ratio’ model is used to determine the extent to which the level and volatility of aggregate stock prices in Singapore deviate from their fundamental values. The results find support for the hypothesis that the past dividend-price ratio provides additional information in predicting future changes in dividend and the actual dividend-price ratio tracks its theoretical values as well. However volatility is larger than implied by the model.