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 … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor …

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 … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor …

This study extends the Grullon, Michaely and Swaminathan (2002) analysis by incorporating default risk. Using data for … firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in … default risk. This reduction is shown to be a priced risk factor beyond the Fama and French (1993) risk measures, and that it …