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We show that this pattern, although valid for the aggregate stock market, is not true for portfolios of small and value stocks, where dividend yields are related mainly to future dividend changes. Thus, the variance decomposition associated with the aggregate dividend yield has important heterogeneity in the cross section of equities. Our results are robust to different forecasting horizons, econometric methodology (long-horizon regressions or first-order vector autoregression), and alternative decomposition based on excess returns.<\/jats:p>","DOI":"10.1017\/s0022109015000058","type":"journal-article","created":{"date-parts":[[2015,6,8]],"date-time":"2015-06-08T07:03:30Z","timestamp":1433747010000},"page":"33-60","source":"Crossref","is-referenced-by-count":74,"title":["Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks"],"prefix":"10.1017","volume":"50","author":[{"given":"Paulo","family":"Maio","sequence":"first","affiliation":[]},{"given":"Pedro","family":"Santa-Clara","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2015,6,8]]},"reference":[{"key":"S0022109015000058_ref14","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.04.004"},{"key":"S0022109015000058_ref21","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2010.01.003"},{"key":"S0022109015000058_ref34","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2007.01.002"},{"key":"S0022109015000058_ref28","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90049-4"},{"key":"S0022109015000058_ref39","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs025"},{"key":"S0022109015000058_ref36","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01201.x"},{"key":"S0022109015000058_ref40","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.07.001"},{"key":"S0022109015000058_ref17","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm046"},{"key":"S0022109015000058_ref5","doi-asserted-by":"publisher","DOI":"10.1086\/262026"},{"key":"S0022109015000058_ref41","unstructured":"Maio P. , and Xu D. . \u201cCash-Flow or Return Predictability at Long Horizons? 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