-free rate with lagged aggregate dividend-yield ratios and dividend-price ratios. Prior to 1990, the conditional dividend yield … shows that the dividend ratios could not outperform the prevailing unconditional mean *out-of-sample*, plus any residual … increasing persistence of dividend-price ratio is largely responsible for weak stock return predictability …

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 …

.S. multinationals to test for the importance of alternative strategies. The evidence is generally consistent with the theory …

We model dividend and consumption growth rates as containing a small long-run predictable component and economic … rate, and the ex-post volatilities of the market return, real risk free rate, and the price-dividend ratio. As in the data …, the model also implies that dividend yields predict returns and that market return volatility is stochastic. The main …

Under the new view' of dividend taxation developed in Auerbach (1979), Bradford (1981) and King (1977) the marginal … the new view. We also find that this dividend pattern is weaker for firms with better access to capital markets, as … interpretation of the new view that preserves the main result of dividend-tax irrelevance with respect to the cost of capital …

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 …

We empirically document that stock prices moved inversely with dividend yields during the May, 1997 week, when the … share prices of other firms. Among firms paying dividends, the change in share prices was decreasing in dividend yields. The …

constraint returns help explain returns" following initial public offerings and dividend omissions. We find only limited support …

We propose and implement a new test of the dividend signaling hypothesis that is designed to discriminate between … dividend signaling and other theories that would account for the apparent existence of a dividend preference. Our test refines … the use of data on stock price responses to dividend announcements. In particular, we study the effect of dividend …