{
  "title": "Stock-Market Equilibrium and the Dividend Yield",
  "publication": "IMF Working Papers, August 1, 1996",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921",
  "overlayPath": "/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/index.md",
  "summary": "Can fundamentals account for the recent performance of the U.S. stock market? The price/earnings ratio is out of line with historical averages, and the dividend/price ratio has recently reached a historic low.",
  "sections": [
    {
      "heading": "Research question and scope",
      "content": "- Can fundamentals account for the recent performance of the U.S. stock market?\n- Focuses on deviations of the price/earnings ratio from historical averages and a historic low in the dividend/price ratio.\n- Assesses the recent rise in the stock market using a model for the equilibrium dividend/price ratio."
    },
    {
      "heading": "Main findings",
      "content": "- Economic variables can account for most of the recent fall in the dividend/price ratio.\n- Mutual-fund inflows have some marginal explanatory power for the recent rise in stock prices.\n- Implication: while fundamentals explain a large share of movements in the dividend/price ratio, flows into mutual funds contributed additionally, though marginally."
    },
    {
      "heading": "Model components and key concepts examined",
      "content": "- Equilibrium dividend/price ratio (central model variable).\n- Consideration of:\n  - dividend growth\n  - inflation rate\n  - default premium\n  - log dividend yield\n  - mutual-fund inflow\n  - price ratio\n  - steepening yield curve\n  - Treasury bills and bonds (implied through yield curve and related terms)"
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subject: Asset prices, Financial institutions, Financial markets, Financial services, Prices, Stock markets, Stocks, Treasury bills and bonds, Yield curve\n- Keywords: Asset prices, default premium, dividend growth, inflation rate, log dividend yield, mutual-fund inflow, price ratio, steepening yield curve, Stock markets, Stocks, Treasury bills and bonds, WP, Yield curve\n\nIMF Working Papers — \"Stock-Market Equilibrium and the Dividend Yield\" by Charles Frederick Kramer, Working Paper No. 1996/090.\n\n---\n\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/bundle-manifest.json)",
    "Authors: Charles Frederick Kramer",
    "Published: August 1, 1996",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451951981.001",
    "Can fundamentals account for the recent performance of the U.S. stock market?",
    "Focuses on deviations of the price/earnings ratio from historical averages and a historic low in the dividend/price ratio.",
    "Assesses the recent rise in the stock market using a model for the equilibrium dividend/price ratio.",
    "Economic variables can account for most of the recent fall in the dividend/price ratio.",
    "Mutual-fund inflows have some marginal explanatory power for the recent rise in stock prices.",
    "Implication: while fundamentals explain a large share of movements in the dividend/price ratio, flows into mutual funds contributed additionally, though marginally.",
    "Equilibrium dividend/price ratio (central model variable).",
    "Consideration of:",
    "Subject: Asset prices, Financial institutions, Financial markets, Financial services, Prices, Stock markets, Stocks, Treasury bills and bonds, Yield curve",
    "Keywords: Asset prices, default premium, dividend growth, inflation rate, log dividend yield, mutual-fund inflow, price ratio, steepening yield curve, Stock markets, Stocks, Treasury bills and bonds, WP, Yield curve"
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/index.md",
    "json": "/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/30/stock-market-equilibrium-and-the-dividend-yield-1921/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-17T07:34:41.412Z"
}