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Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
16 references·16 citing·32 second hopsampled
Changing Risk, Changing Risk Premiums, and Dividend Yield Effects (1990)Changing Risk, Changing Risk Premiums, an…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…An exploratory investigation of the firm size effect (1985)An exploratory investigation …On interpreting security returns during the ex-dividend period (1984)On interpreting security retu…Dividend yields are equity risk premiums (1984)Dividend yields are equity ri…The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects? (1982)The Effects of Dividends on C…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Dividends and taxes (1978)Dividends and taxesThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…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…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Did the 2003 Tax Act Increase Capital Investments by Corporations? (2013)Did the 2003 Tax Act Increase…Public Policy Investment: Risk and Return in British Politics (2012)Public Policy Investment: Ris…Debt and Taxes: Evidence from the Real Estate Industry (2012)Debt and Taxes: Evidence from…The Smallest Firm Effect: An International Study (2011)The Smallest Firm Effect: An …Why Some Double Taxation Might Make Sense: The Special Case of Inter-corporate Dividends (2003)Why Some Double Taxation Migh…Dividend taxes and firm valuation: (2003)Dividend taxes and firm valua…Chapter 17 Microstructure and asset pricing (2003)Chapter 17 Microstructure and…Payout Policy (2002)Payout PolicyEvidence of Tax-Clientele-Related Trading following Dividend Increases (2001)Evidence of Tax-Clientele-Rel…Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts (2001)Dividend Taxes and Share Pric…Do capital gain tax rate increases affect individual investors’ trading decisions? (2000)Do capital gain tax rate incr…Dividends and Taxes: A Re-Examination (2000)Dividends and Taxes: A Re-Exa…The Share Price Effects of Dividend Taxes and Tax Imputation Credits (1998)The Share Price Effects of Di…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)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Investment, Financing, and Valuation of the Corporation (1963)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Determinants of corporate borrowing (1977)Industry costs of equity (1997)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1978Dividends and taxes760 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited
  • 1984Dividend yields are equity risk premiums388 cited
  • 1984On interpreting security returns during the ex-dividend period

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296 cited

Cited by

  • 2000Dividends and Taxes: A Re-Examination81 cited
  • 2011The Smallest Firm Effect: An International Study79 cited
  • 2012Public Policy Investment: Risk and Return in British Politics67 cited
  • 1995Chapter 25 Dividend policy63 cited
  • 2003Dividend taxes and firm valuation:56 cited
  • 2012Debt and Taxes: Evidence from the Real Estate Industry47 cited
  • 2000Do capital gain tax rate increases affect individual investors’ trading decisions?44 cited
  • 2001Evidence of Tax-Clientele-Related Trading following Dividend Increases40 cited
  • 2013Did the 2003 Tax Act Increase Capital Investments by Corporations?39 cited
  • 2003Why Some Double Taxation Might Make Sense: The Special Case of Inter-corporate Dividends36 cited
  • 2001Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts35 cited
  • 2003Chapter 17 Microstructure and asset pricing32 cited
  • 1997A tax motivation for smoothing dividends31 cited
  • 1998The Share Price Effects of Dividend Taxes and Tax Imputation Credits28 cited
  • 1994The changing functional relation between stock returns and dividend yields27 cited
  • 2002Payout Policy26 cited