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 …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend … ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are …

conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in …

firm shifts its dividend risk to the upside, which amplifies the overvaluation and explains the premium. Second, we argue … market through a higher share price, but is inefficient from the perspective of dividend value …

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit …-in equity is distributable as a tax-free return of capital. Consistent with dividend tax capitalization, firm-level results for … addition, differences in dividend tax rates across U.S. tax regimes are associated with predictable differences in the …

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 …