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Dividend yields and stock returns: Evidence from the Tokyo Stock Exchange
16 references·1 citing·35 second hop
Dividend yields and stock returns: Evidence from the Tokyo Stock Exchange (1992)Dividend yields and stock returns: Eviden…Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies i…Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects (1985)Patterns in Japanese Common S…Stock return seasonalities and the tax-loss selling hypothesis (1983)Stock return seasonalities an…Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…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 relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Stock Returns and Dividend Yields: Some More Evidence (1980)Stock Returns and Dividend Yi…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The effects of dividend yield and dividend policy on common stock prices and returns (1974)The effects of dividend yield…Estimation of linear models with crossed-error structure (1974)Estimation of linear models w…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets (2018)Empirical analysis of interte…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)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)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The World Price of Covariance Risk (1991)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)Statistical principles in experimental design. (1962)Book Review: Time Series Analysis: Forecasting and Control (1977)Predicting returns in the stock and bond markets (1986)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)The Use of Error Components Models in Combining Cross Section with Time Series Data (1969)Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Multinationality and Firm Performance: The Moderating Role of R&D and Marketing Capabilities (2002)Is Market Orientation a Source of Sustainable Competitive Advantage or Simply the Cost of Competing? (2010)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)Financial Theory and Corporate Policy. (1980)Dividend yields and expected stock returns (1988)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)
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References

  • 1981The relationship between return and market value of common stocks5,999 cited
  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 1981Misspecification of capital asset pricing1,327 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,255 cited
  • 1976Capital market seasonality: The case of stock returns1,252 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 Evidence684 cited
  • 1983Stock market seasonality590 cited
  • 1974Estimation of linear models with crossed-error structure478 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited
  • 1983Stock return seasonalities and the tax-loss selling hypothesis387 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices338 cited
  • 1985Seasonal and Size Anomalies in the Japanese Stock Market256 cited
  • 1985Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects246 cited

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  • 1980Stock Returns and Dividend Yields: Some More Evidence215 cited
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    • 2018Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets15 cited