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We model the momentum properties of the US stock market between 2000 and 2022, applying recent nonlinear time series developments. Our findings show that dividends, prices and excess returns can explain the persistence of the dividend-price ratio. However, extending this specification to consider the influence of behavioural variables of portfolio holders helps us to better reproduce and model this persistence and momentum effects. Overall, while this finding improves the forecasting of long cycles and tests the hypothesis of mean reversion in US stock prices, our conclusion does not apply to the rapid activation of arbitrage opportunities or the market semi-strong efficiency hypothesis.

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Modelling Momentum Dynamics in the US Dividend-Price Ratio Analysis

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  • 发表日期：

    2026年

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  • Gilles Dufrénot,
  • Fredj Jawadi

摘要

We model the momentum properties of the US stock market between 2000 and 2022, applying recent nonlinear time series developments. Our findings show that dividends, prices and excess returns can explain the persistence of the dividend-price ratio. However, extending this specification to consider the influence of behavioural variables of portfolio holders helps us to better reproduce and model this persistence and momentum effects. Overall, while this finding improves the forecasting of long cycles and tests the hypothesis of mean reversion in US stock prices, our conclusion does not apply to the rapid activation of arbitrage opportunities or the market semi-strong efficiency hypothesis.