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Dividend yields and stock returns: Implications of abnormal January returns
16 references·16 citing·42 second hopsampled
Dividend yields and stock returns: Implications of abnormal January returns (1985)Dividend yields and stock returns: Implic…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…Size-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…Biases in computed returns (1983)Biases in computed returnsThe Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…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…Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…Dividends and taxes (1978)Dividends and taxesThe 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…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…CAPM: An Absurd Model (2015)CAPM: An Absurd ModelThe Smallest Firm Effect: An International Study (2011)The Smallest Firm Effect: An …SMEs, foreign direct investment and financial constraints: The case of Belgium (2011)SMEs, foreign direct investme…New Evidence on the Relation between the Enterprise Multiple and Average Stock Returns (2011)New Evidence on the Relation …Do dividends matter more in declining markets? (2011)Do dividends matter more in d…Tax Changes and Asset Pricing (2009)Tax Changes and Asset PricingInvestment Analysis and Portfolio Management (2005)Investment Analysis and Portf…Dividends and Taxes: A Re-Examination (2000)Dividends and Taxes: A Re-Exa…Stock Returns, Dividend Yields, and Taxes (1998)Stock Returns, Dividend Yield…Real Estate Investment Trusts and Calendar Anomalies (1997)Real Estate Investment Trusts…Chapter 25 Dividend policy (1995)Chapter 25 Dividend policyChapter 17 On the predictability of common stock returns: World-wide evidence (1995)Chapter 17 On the predictabil…Dividend yield and expected returns (1990)Dividend yield and expected r…Changing Risk, Changing Risk Premiums, and Dividend Yield Effects (1990)Changing Risk, Changing Risk …Stock market anomalies (1989)Stock market anomaliesThe market valuation of cash dividends (1986)The market valuation of cash …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)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A transaction data study of weekly and intradaily patterns in stock returns (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)The Behavior of Stock Prices Around Institutional Trades (1995)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)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)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Is Information Risk a Determinant of Asset Returns? (2002)The Investment, Financing, and Valuation of the Corporation (1963)The effect of personal taxes and dividends on capital asset prices (1979)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)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)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)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

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1974The effects of dividend yield and dividend policy on common stock prices and returns1,002 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1983Biases in computed returns771 cited
  • 1978Dividends and taxes760 cited
  • 1982Dividends and Taxes: Some Empirical Evidence677 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices337 cited
  • 1980Stock Returns and Dividend Yields: Some More Evidence215 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium

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Cited by

  • 2009Tax Changes and Asset Pricing178 cited
  • 1989Stock market anomalies174 cited
  • 1998Stock Returns, Dividend Yields, and Taxes167 cited
  • 2011New Evidence on the Relation between the Enterprise Multiple and Average Stock Returns152 cited
  • 2011SMEs, foreign direct investment and financial constraints: The case of Belgium121 cited
  • 2011Do dividends matter more in declining markets?114 cited
  • 1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects90 cited
  • 1990Dividend yield and expected returns81 cited
  • 2000Dividends and Taxes: A Re-Examination81 cited
  • 2011The Smallest Firm Effect: An International Study79 cited
  • 1995Chapter 25 Dividend policy63 cited
  • 2005Investment Analysis and Portfolio Management62 cited
  • 2015CAPM: An Absurd Model61 cited
  • 1986The market valuation of cash dividends58 cited
  • 1995Chapter 17 On the predictability of common stock returns: World-wide evidence56 cited
  • 1997Real Estate Investment Trusts and Calendar Anomalies54 cited