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 …

This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of … dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that … the ex-dividend day premium increased from 2002 to 2004 when the dividend tax rate was cut. Consistent with the signalling …

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 empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2 …) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth …

This paper examines the empirical relation between stock returns and dividend yields. Several equilibrium pricing …

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 …

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 …

dividend yield in real terms was slightly in excess of is 5% per annum, while the long-term price growth was near zero. The … company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally persistent …

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on … aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend … growth make an important contribution to fluctuations in the U.S. stock market, despite the failure of the dividend …