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Stock Returns and Dividend Yields: Some More Evidence · Study

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ArticleStock Returns and Dividend Yields: Some More Evidence

Marshall E. Blume1980

Article1980

Stock Returns and Dividend Yields: Some More Evidence

Marshall E. Blume

215 citations·0/0 files stored·The Review of Economics and Statistics

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1972The capital asset pricing model: Some empirical tests 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS 1979The effect of personal taxes and dividends on capital asset prices 1973A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL 1975BETAS AND THEIR REGRESSION TENDENCIES

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2006ECONOMIC FUNDAMENTALS IN LOCAL HOUSING MARKETS: EVIDENCE FROM U.S. METROPOLITAN REGIONS 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium 1985Dividend yields and stock returns: Implications of abnormal January returns 1995Calendar effects in the London Stock Exchange FT–SE indices 2009Tax Changes and Asset Pricing 1989Stock market anomalies 1998

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1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 6 shared references 1991Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchangesarticle · 6 shared references 1998Alternative 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'.1article · 5 shared references 1982On the exclusion of assets from tests of the two-parameter modelarticle · 5 shared references 2000Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varyingpreprint · 5 shared references 2009

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Year1980

Typearticle

Published1980-11-01

VenueThe Review of Economics and Statistics

ISSN-L0034-6535

Languageen

Citations215

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2307/1924781

openalex_workW2009989271

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Stock Returns, Dividend Yields, and Taxes

1996Dividend policy and stock price volatility: Australian evidence

The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?article · 5 shared references