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Dividend yield and expected returns
13 references·11 citing·38 second hop
Dividend yield and expected returns (1990)Dividend yield and expected returnsDividend yields and stock returns: Implications of abnormal January returns (1985)Dividend yields and stock ret…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects? (1982)The Effects of Dividends on C…Dividends and Taxes: Some Empirical Evidence (1982)Dividends and Taxes: Some Emp…The Rise and Fall of the Shah (1980)The Rise and Fall of the ShahTaxation and the stock market valuation of capital gains and dividends (1980)Taxation and the stock market…Stock Returns and Dividend Yields: Some More Evidence (1980)Stock Returns and Dividend Yi…Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results (Rev) (1979)Taxation and the Stock Market…The effects of dividend yield and dividend policy on common stock prices and returns (1974)The effects of dividend yield…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…Taxes and company dividends: a micro-econometric investigation exploiting cross-section variation (2017)Taxes and company dividends: …The Smallest Firm Effect: An International Study (2011)The Smallest Firm Effect: An …The Relationship Between Financial Factors and Firm Performance: Empirical Evidence from U.S. Restaurant Firms (2008)The Relationship Between Fina…Dividend Policy and Market Movements (2006)Dividend Policy and Market Mo…The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield (2004)The Role of Payout Ratio in t…Dividend-Yield Strategies in the Canadian Stock Market (2003)Dividend-Yield Strategies in …Taxes, dividend yields and returns in the UK equity market (1998)Taxes, dividend yields and re…Dividend yield strategies in the British stock market (1997)Dividend yield strategies in …A tax motivation for smoothing dividends (1997)A tax motivation for smoothin…Chapter 25 Dividend policy (1995)Chapter 25 Dividend policyThe changing functional relation between stock returns and dividend yields (1994)The changing functional relat…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Dividend Policy, Growth, and the Valuation of Shares (1961)Asset pricing and the bid-ask spread (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The capital asset pricing model: Some empirical tests (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)ECONOMIC FUNDAMENTALS IN LOCAL HOUSING MARKETS: EVIDENCE FROM U.S. METROPOLITAN REGIONS (2006)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy (1979)Evaluating the Performance of International Mutual Funds (1990)A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994)The Cross-section of Expected Stock Returns (2015)Financial Theory and Corporate Policy. (1980)The relationship between return and market value of common stocks (1981)Anatomy of Initial Public Offerings of Common Stock (1988)Market Expectations in the Cross‐Section of Present Values (2013)Common Risk Factors in Cryptocurrency (2022)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)New Evidence That Taxes Affect the Valuation of Dividends (1984)On interpreting security returns during the ex-dividend period (1984)Tax-induced trading around ex-dividend days (1986)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Does Academic Research Destroy Stock Return Predictability? (2015)The capital asset pricing model and the liquidity effect: A theoretical approach (2000)The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research? (2009)Trade Sanctions As Policy Instruments: A Re-Examination (1986)Moving money banking and finance in the industrialized world (2002)China and Iran: ancient partners in a post-imperial world (2007)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1974The effects of dividend yield and dividend policy on common stock prices and returns1,002 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1982Dividends and Taxes: Some Empirical Evidence677 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1980The Rise and Fall of the Shah253 cited
  • 1980Stock Returns and Dividend Yields: Some More Evidence215 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium207 cited
  • 1985Dividend yields and stock returns: Implications of abnormal January returns195 cited
  • 1980Taxation and the stock market valuation of capital gains and dividends106 cited
  • 1979Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results (Rev)99 cited

Cited by

  • 2011The Smallest Firm Effect: An International Study79 cited
  • 1995

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Chapter 25 Dividend policy
63 cited
  • 2003Dividend-Yield Strategies in the Canadian Stock Market52 cited
  • 1998Taxes, dividend yields and returns in the UK equity market51 cited
  • 2004The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield38 cited
  • 1997Dividend yield strategies in the British stock market38 cited
  • 1997A tax motivation for smoothing dividends31 cited
  • 2017Taxes and company dividends: a micro-econometric investigation exploiting cross-section variation27 cited
  • 1994The changing functional relation between stock returns and dividend yields27 cited
  • 2008The Relationship Between Financial Factors and Firm Performance: Empirical Evidence from U.S. Restaurant Firms26 cited
  • 2006Dividend Policy and Market Movements20 cited