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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

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  • JACOB BOUDOUKH
  • RONI MICHAELY
  • MATTHEW RICHARDSON
  • MICHAEL R. ROBERTS

Abstract

We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor. Copyright 2007 by The American Finance Association.

Suggested Citation

  • Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael R. Roberts, 2007. "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," Journal of Finance, American Finance Association, vol. 62(2), pages 877-915, April.
  • Handle: RePEc:bla:jfinan:v:62:y:2007:i:2:p:877-915
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    References listed on IDEAS

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    1. Miller, Merton H & Rock, Kevin, 1985. " Dividend Policy under Asymmetric Information," Journal of Finance, American Finance Association, vol. 40(4), pages 1031-1051, September.
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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