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Stock Returns and Dividend Yields: Some More Evidence
7 references·16 citing·35 second hopsampled
Stock Returns and Dividend Yields: Some More Evidence (1980)Stock Returns and Dividend Yields: Some M…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL (1973)A NEW LOOK AT THE CAPITAL ASS…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Do dividends matter more in declining markets? (2011)Do dividends matter more in d…Tax Changes and Asset Pricing (2009)Tax Changes and Asset PricingECONOMIC FUNDAMENTALS IN LOCAL HOUSING MARKETS: EVIDENCE FROM U.S. METROPOLITAN REGIONS (2006)ECONOMIC FUNDAMENTALS IN LOCA…Did the 2003 Tax Act Reduce the Cost of Equity Capital? (2006)Did the 2003 Tax Act Reduce t…Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts (2003)Dividend Taxes and Share Pric…Revisiting managerial perspectives on dividend policy (2002)Revisiting managerial perspec…Stock Returns, Dividend Yields, and Taxes (1998)Stock Returns, Dividend Yield…Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets (1998)Growth versus Value and Large…Security price anomalies in the London International Stock Exchange: a 60 year perspective (1997)Security price anomalies in t…Dividend policy and stock price volatility: Australian evidence (1996)Dividend policy and stock pri…Calendar effects in the London Stock Exchange FT–SE indices (1995)Calendar effects in the Londo…Changing Risk, Changing Risk Premiums, and Dividend Yield Effects (1990)Changing Risk, Changing Risk …Stock market anomalies (1989)Stock market anomaliesDividend yields and stock returns: Implications of abnormal January returns (1985)Dividend yields and stock ret…To Pay or Not to Pay Dividend (1982)To Pay or Not to Pay DividendDividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)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)The Econometrics of Financial Markets (1997)Analysis of Panel Data (2003)Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions (2005)Why do households without children support local public schools? Linking house price capitalization to school spending (2008)The Econometrics of Financial Markets (2012)What Drives House Price Cycles? International Experience and Policy Issues (2021)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Dividend Policy, Growth, and the Valuation of Shares (1961)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)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)On the exclusion of assets from tests of the two-parameter model (1982)The implied cost of capital: A new approach (2011)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1973A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL563 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited

Cited by

  • 2006ECONOMIC FUNDAMENTALS IN LOCAL HOUSING MARKETS: EVIDENCE FROM U.S. METROPOLITAN REGIONS293 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium207 cited
  • 1985Dividend yields and stock returns: Implications of abnormal January returns195 cited
  • 1995Calendar effects in the London Stock Exchange FT–SE indices189 cited
  • 2009Tax Changes and Asset Pricing178 cited
  • 1989Stock market anomalies174 cited
  • 1998Stock Returns, Dividend Yields, and Taxes167 cited
  • 1996Dividend policy and stock price volatility: Australian evidence

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151 cited
  • 2006Did the 2003 Tax Act Reduce the Cost of Equity Capital?136 cited
  • 1998Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets132 cited
  • 1997Security price anomalies in the London International Stock Exchange: a 60 year perspective126 cited
  • 2002Revisiting managerial perspectives on dividend policy124 cited
  • 1982To Pay or Not to Pay Dividend124 cited
  • 2011Do dividends matter more in declining markets?114 cited
  • 1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects90 cited
  • 2003Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts88 cited