We examine the return information conveyed by a firm’s dividend surprise, defined as the difference between a firm …’s actual dividend per share (DPS) and investors’ expected DPS. We find that negative-surprise stocks (i.e., stocks in the … lowest dividend surprise quintile) provide 5.64% more in annualized return than positive-surprise stocks (i.e., stocks in the …

In this paper, we derive an intertemporal dividend-surprise-augmented asset-pricing model and show that the expected … risk premium compensates for stock returns’ exposure to (i) the market-wide dividend-surprise hedge portfolio based on … dividend yield surprise and volatilities, in addition to (ii) the excess market return without dividend yield (as in the …

In this paper, we derive an intertemporal dividend-surprise-augmented asset-pricing model and show that the expected … risk premium compensates for stock returns’ exposure to (i) the market-wide dividend-surprise hedge portfolio based on … dividend yield surprise and volatilities, in addition to (ii) the excess market return without dividend yield (as in the …

Chapter from: 'Rising Inequality in China: Challenge to a Harmonious Society', edited by Shi Li, Hiroshi Sato and Terry …

Chapter from: 'Rising Inequality in China: Challenge to a Harmonious Society', edited by Shi Li, Hiroshi Sato and Terry …

Chapter from: 'Rising Inequality in China: Challenge to a Harmonious Society', edited by Shi Li, Hiroshi Sato and Terry …