Dividend Yield and Return Predictability in Sweden Evidence Across Market Uncertainty Regimes

Sammanfattning

This thesis examines whether dividend yield predicts future Swedish stock market returns andwhether this relationship varies across market uncertainty regimes. Using monthly data from2004 to 2025, the study applies simple Fama-French inspired predictive regressions which arealso extended with uncertainty regimes based on VSTOXX percentiles. The simple baselineresults provide no evidence of full-sample dividend-yield predictability. However, theuncertainty-regime results suggest that the dividend-yield-return relationship changes acrossuncertainty regimes, with partial support for the idea that dividend yield becomes more alignedwith risk-premium logic during elevated uncertainty.