Changing Risk, Changing Risk Premiums, and Dividend Yield Effects.
The authors investigate the cross-sectional relation between dividend yield and expected return and attempt to include various effects of changing risk measures and changing risk premiums. A stock's risk is measured by its sensitivities to two factors, a market factor and a changing-risk-premium factor. After analyzing dividend-related changes in risk measures, the authors investigate the presence of dividend effects in expected returns using four methods, each imposing a different structure on the temporal behavior of risk measures and risk premiums. For each method, they find no reliable cross-sectional relation between dividend yield and risk-adjusted expected return. Copyright 1990 by the University of Chicago.
Year of publication: |
1990
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Authors: | Chen, Nai-Fu ; Grundy, Bruce ; Stambaugh, Robert F |
Published in: |
The Journal of Business. - University of Chicago Press. - Vol. 63.1990, 1, p. 51-70
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Publisher: |
University of Chicago Press |
Saved in:
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