In this paper, we compare the equity returns of dividend-paying and non-dividend paying firms. We find no unconditional … return difference even though non-dividend paying firms have many characteristics that suggest high risk. Equivalently …, because non-dividend paying firms have high risk-metrics, their returns are abnormally low compared with dividend-paying firms …

greater than the influence of current shocks from the USA, and for 16 markets, local past volatility has stronger impact than … volatility from the USA. …We explore the degree to which stock index returns and conditional volatility of 21 frontier markets were affected by …

. The resulting trading strategy remains robust even after controlling for outliers, short-term volatility and the January …

average of real earnings is a good predictor of the present value of future real dividends. This is true even when the … value of future real dividends is roughly a weighted average of moving average earnings and current real price, with between … the behavior of stock prices and returns. We estimate that log dividend-price ratios are more variable than, and virtually …

This paper examines the causal relationship between real dividends and stock market prices for the USA using the Markov … market prices is consistent with the 'dividend irrelevance theory' which posits that dividends do not have predictive power …-switching vector autoregressive model (MS-VAR). The results indicate that both real dividends and stock market prices have one order of …

exclusion of dividends understates the benefits of diversification and has an influence on optimum portfolio selection and …

. The volatility processes are examined based on the squared and the absolute values of the returns series, and the … stability of the parameters across time is also investigated in both the level and the volatility processes. A method that …