fully-franked dividend. This is a problem because a sample of security prices, unfranked dividends and franked dividends … necessarily leads to the simultaneous estimation of the value of a cash dividend and an imputation credit. We measure the value of …

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 …

Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In … order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope … with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple …

A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never …

This paper establishes dividend volatility as a fundamental risk metric that prices assets. We theoretically … incorporate dividend volatility clustering into a model in which narrow-framing investors are loss averse over fluctuations in the … value of their investments. Our model shows that dividend volatility positively predicts future asset returns, with the …

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or … upward sloping. Related, these models predict that the term structures of expected returns and volatilities on dividend … suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes …

dividend yield (DY) and change in aggregate Tobin's q ratio (∆TBQ) in forecasting returns on the S&P 500 (SP). The results from …

This paper proposes an equilibrium model for evaluating equity with optimal dividend policy in a jump-diffusion market … dividend policy. Numerical examples show that the aggregate consumption process and the investor's risk aversion have a … significant impact on the equity price and the dividend policy. This model provides a structural explanation of equity risk …

access to updated dividend discount models (DDMs). To address this need, we introduce a new “super annuity formula” that can …