samlet årgang - Økonomisk Institut - Københavns Universitet

10
%
5.8
3.8
Figure 2. Dividend-Price Ratio in the OECD.
starting period for each individual country are detailed in the data appendix. The dividend
yield is a real magnitude since it is based on a nominal value divided by another
nominal value and with the same inbuilt deflators. The figure shows, for many perhaps
surprisingly, that the dividend yield has, on average, been close to 5%, which suggests
that dividends have historically been a much more important source of return to equity
than capital gains. Furthermore, the figure shows a structural downward shift in the dividend-yield
at the depth of Great Depression in 1932/33 and again in 1982.
What do these downward shifts in the dividend yield reflect? They reflect either
higher expected real growth in dividends or lower expected returns. This can be seen
by rewriting the Gordon Growth model as a dividend yield relationship, where time
subscripts are omitted for simplicity:
D
⎯ = – g.
Q
NATIONALØKONOMISK TIDSSKRIFT 2003. NR. 1
1.8
1870 1882 1894 1906 1918 1930 1942 1954 1966 1978 1990 2002
A further question is why the right-hand-side of this equation has decreased. The
shift after the Great Depression is likely to reflect an upward shift in expected dividend
growth and certainly not a downward shift in expected returns since the scars from
WWI, the Russian Revolution and the two depressions in the interwar period gave
good reasons for shareholders to ask for higher rather than lower risk premiums. Hence,
the expected growth rate in dividends must have increased in the post Depression
pe riod, which is in turn a result of an upward shift in the retention ratio or an upward shift
in the expected growth in returns to capital. The scant evidence on the retention ratios
for various countries suggests that the retention ratio shifted up after the Depression,