dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in …

This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the … price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected … future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are …

values of returns, dividend growth, the dividend-price ratio, and all Campbell-Shiller-style regression results involving …

their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model …

We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine … interaction effect.The abnormal return corresponding to any earnings or dividend announcement depends upon the value of the other … more credence to unanticipated dividend increases or decreases when earnings are also above or below expectations, and vice …