Interesting study Jim. I confess, I was highly skeptical.

Me too!
It didn't even dawn on me to check it till I noticed how remarkably flat dividend yield has been for a long time: other than the pandemic dip, basically flat since late 2002, the bottom of the tech bear.
If the yield is flat, and the price is going up and down, then it implies that the price is mean reverting to that flat number.
The implication is not on solid ground: it might not be a causal relationship, or might not be in that direction. But the effect is there in the last 20 years of data, anyway.

I didn't really look at what time frame it is the best predictor for. I just picked 18 months and tested it.
I did average of real total return series endpoints 1-2 years out, divided by its level today, ^(12/18)

It might be a stronger and/or more reliable predictor at 2-4 years, or other time frames.

Jim

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