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Dividends and price momentum
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1
Price Reactions to
Dividend
Initiations and Omissions : Overreaction or Drift?
Michaely, Roni
-
1994
Initiations and omissions of
dividend
payments are important changes in corporate financial policy. This paper …). However, we show that, when we control for the change in the magnitude of
dividend
yield (which is larger for omissions), the … significant negative market-adjusted return for firms omitting dividends of -11.0%. However, the post
dividend
omission drift is …
Persistent link: https://www.econbiz.de/10012474141
Saved in:
2
Explaining the Variance of Price
Dividend
Ratios
Cochrane, John H.
-
1989
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 …
Persistent link: https://www.econbiz.de/10012475884
Saved in:
3
Earnings and
Dividend
Announcements is there a Corroboration Effect?
Kane, Alex
-
1983
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 …
Persistent link: https://www.econbiz.de/10012477849
Saved in:
4
Dividend
Yields and Stock Returns : A Test for Tax Effects
Hess, Patrick J.
-
1981
This paper examines the empirical relation between stock returns and
dividend
yields. Several equilibrium pricing …
Persistent link: https://www.econbiz.de/10012478472
Saved in:
5
Taxation and the Stock Market Valuation of Capital Gains and Dividends : Theory and Empirical Results (Rev)
Gordon, Roger H.
-
1979
Dividends seem to be more heavily taxed than capital gains. Why then do corporations pay dividends rather than repurchasing shares or retaining earnings? Either corporations are not acting in the interests of shareholders, or else shareholders desire dividends sufficiently for nontax reasons to...
Persistent link: https://www.econbiz.de/10012478738
Saved in:
6
Risk, Return and Dividends
Ang, Andrew
-
2007
, with a given
dividend
process, one of the processes of the expected return, the stock volatility, or the price-
dividend
… the dynamics of the expected return and the price-
dividend
ratio. By parameterizing one or more of expected returns …
Persistent link: https://www.econbiz.de/10012465813
Saved in:
7
Inflation Illusion and Stock Prices
Campbell, John Y.
-
2004
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 …
Persistent link: https://www.econbiz.de/10012468430
Saved in:
8
Expected Returns and Expected
Dividend
Growth
Lettau, Martin
-
2003
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
…
Persistent link: https://www.econbiz.de/10012469093
Saved in:
9
Risk, Mispricing, and Asset Allocation : Conditioning on
Dividend
Yield
Shanken, Jay
-
2001
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 …
Persistent link: https://www.econbiz.de/10012470049
Saved in:
10
Testing Asset Pricing Theory on Six Hundred Years of Stock Returns : Prices and Dividends for the Bazacle Company from 1372 to 1946
Bris, David le
-
2014
The company's unique full-payout
dividend
policy allows us to estimate an asset pricing model with fundamentally …
dividend
yield in real terms was slightly in excess of is 5% per annum, while the long-term price growth was near zero …
Persistent link: https://www.econbiz.de/10012458466
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