Associate Professor of Finance
Benjamin Golez is an Associate Professor of Finance at the University of Notre Dame and a Faculty Fellow at the Notre Dame Institute for Global Investing. His research aims to better understand how and why prices of financial assets move over time and across countries. In his recent work, he and his coauthor construct a long time series of prices and dividends spanning the most important equity markets since the beginning of the modern financial markets in 17th century Amsterdam. In another recent paper, he analyzes the relation between national media coverage and asset prices across the US, Germany, and Japan. His work has appeared in the Review of Financial Studies, the Journal of Financial Economics, and the Management Science, and has been presented at the American Finance Association, the Western Finance Association, the National Bureau of Economic Research Meeting, and the News and Finance Conference at the Columbia University. His work was also featured in the Financial Times and Bloomberg Business Week. Benjamin teaches courses on investments and financial derivatives to undergraduate and MBA students. He received a Ph.D. and MSc. degree in Finance from the Universitat Pompeu Fabra (Barcelona, Spain) and holds a Bachelor’s degree in Economics from the University of Ljubljana (Slovenia).
“Four centuries of return predictability” with Peter Koudijs, Journal of Financial Economics 2018.
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates.