This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997-2008. Empirical findings indicate that the stock dividend effect appears twice. The average abnormal return is 0.88% on the stock dividend proposal date and 0.35% on the stock...

There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997-2008. Empirical findings indicate that the stock dividend effect appears twice. The average abnormal return is 0.88% on the stock dividend proposal date and 0.35% on the stock...