Di Carlo, Michael; Mondria, Jordi; Tsiakas, Ilias - 2022
The rate of capital gains of the market portfolio is vastly more volatile than the dividend yield. As a result … dividend yield factor and find that this factor carries a significant negative premium in the post-1978 period that coincides … with the persistent decline in the number of US dividend-paying firms. We motivate this finding by proposing a theoretical …