The authors investigate the cross-sectional relation between dividend yield and expected return and attempt to include various effects of changing risk measures and changing risk premiums. A stock's risk is measured by its sensitivities to two factors, a market factor and a changing-risk-premium factor. After analyzing dividend-related changes in risk measures, the authors investigate the presence of dividend effects in expected returns using four methods, each imposing a different structure on the temporal behavior of risk measures and risk premiums. For each method, they find no reliable cross-sectional relation between dividend yield and risk-adjusted expected return. Copyright 1990 by the University of Chicago.
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Article provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 63 (1990) Issue (Month): 1 (January) Pages: S51-70 Download reference. The following formats are available: HTML
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