Naranjo, Andy; Nimalendran, M.; Ryngaert, Mike - In: Journal of Finance 53 (1998) 6, pp. 2029-2057
Using an improved measure of a common stock's annualized dividend yield, we document that risk-adjusted NYSE stock returns increase in dividend yield during the period from 1963 to 1994. This relation between return and yield is robust to various specifications of multifactor asset pricing...