indices ignore dividends thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days …

(using short-term a discrete event). After a firm has declared a dividend (i.e., after the news release), but in the few days … that precede the payment date, an investor in the traded equity owns a claim to the dividend cash plus the remaining firm … equity within the corporate shell. After the payment date, the shell contains only the dividend-sans-cash firm equity. The …

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

dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend … ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend … growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend …

The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A … state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different … by the price-dividend ratio with R2 11.7% if the probability of being in the first regime exceeds 50%; and dividend …