Persistent variations of the log price-to-dividend ratio (PD) in the US and their potential economic determinants have attracted a lively discussion in the literature. Adopting a  present value model, we suggest a gradually time-varying state process to govern the persistence of the PD. In comparison with models  presuming a constant mean or discrete mean shifts, the adopted state space approach offers favourable model diagnostics, and finds particular support in out-of-sample stock return prediction. Regarding potential economic trends behind the persistence of the PD during the past 60 years, we show that  this slowly evolving mean process  is jointly shaped by the consumption risk, the demographic structure of the population and the proportion of firms with traditional dividend payout policy. In particular, the volatility of consumption growth plays the dominant role.