Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns

We discovered inconsistencies in our coding for Jagannathan and Liu (2019) that, after addressed, has led to changes in the tables and figures that we reported. These changes do not in anyway affect any of the paper's statements, findings, or conclusions. We report updated tables and figures in this erratum and highlight any statistics where the change is nontrivial by underlining it. The inconsistencies are as follows: In the paper, we mention that our Kalman filter estimation is based on nonoverlapping annual dividend data. However, in the codes we used a mixture of nonoverlapping and overlapping regressions to estimate parameters and state variables in the AR[1] processes of earnings‐to‐dividend ratios and inflation rates. Here, we correct this inconsistency, and use nonoverlapping data throughout all parts of the paper. In Tables III and V in Section I of the paper, we had accidentally lagged the right side variable by six months while estimating the model. This error has now been corrected. In Figure 7 of the paper, we forgot to specify, when reporting summary plots for earnings‐to‐dividend ratios and inflation rates, that these plots were for the variables de‐meaned. Here, we report the figure without de‐meaning. In estimating expected returns from the long‐run risks model, we accidentally mistook inflation lagged by one year as current inflation in some parts of our coding. This has been corrected.