premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk free rate and price-dividend …

markups such as 60 percent dividends become procyclical, the price-dividend ratio countercyclical, and the equity risk premia …

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 …

the impacts of dividend fluctuations and the risk aversion of the investor to the market equilibrium. It is shown that … dividend processes generate Jensen's alpha that can be interpreted as the small cap premium …

. The ability to explain the dividend strips puzzle, the term structure of interest rates and the predictive behavior of the …

on the state of the economy. For recessions the results are clear-cut. Dividend yields vary entirely due to return … predictability. However, in expansions, the "dog that did not bark" effect is present with respect to both return and dividend growth … predictability. Dividend yields vary much less during stable periods of economic booms and returns and dividend growth seem only …

redistribute to investors. How do the funds manage these dividend flows, and does such management have spillover effects on other … financial markets? In this paper, we document a new stylized fact of the "ETF dividend cycle:" ETFs gradually invest in money … market funds (MMFs) when they accumulate dividend receipts and periodically withdraw from MMFs when they distribute dividends …

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …