Dividend Yield and Stock Return in Different Economic Environment: Evidence from Malaysia
This study investigates the relationship between dividend yields and stock returns in bull and bear markets. Evidences from developed countries show that there should be a positive correlation between dividend yields and stock return in bear markets and a negative correlation between dividend yields and stock return during the bull markets. Findings of this study, in emerging market content, show that there is a positive relation between dividend yield and stock returns in both bull and bear markets which are not consistent with previous works.
|Date of creation:||01 Nov 2009|
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- Stewart C. Myers & Nicholas S. Majluf, 1984. "Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have," NBER Working Papers 1396, National Bureau of Economic Research, Inc.
- Myers, Stewart C. & Majluf, Nicholas S., 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Journal of Financial Economics, Elsevier, vol. 13(2), pages 187-221, June.
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- Owain ap Gwilym & Gareth Morgan & Stephen Thomas, 2000.
"Dividend Stability, Dividend Yield and Stock Returns: UK Evidence,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 27(3&4), pages 261-281.
- Owain ap Gwilym & Gareth Morgan & Stephen Thomas, 2000. "Dividend Stability, Dividend Yield and Stock Returns: UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3-4), pages 261-281.
- Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
- Saumitra N. Bhaduri & S. Raja Sethu Durai, 2006. "Asymmetric beta in bull and bear market conditions: evidences from India," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 55-59, January.
- Gombola, Michael J & Liu, Feng-Ying L, 1993. "Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets," The Financial Review, Eastern Finance Association, vol. 28(3), pages 303-327, August.
- Myers, Stewart C. & Majluf, Nicolás S., 1945-, 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Working papers 1523-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Chen, Son-Nan, 1982. "An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(02), pages 265-286, June.
- Lockwood, Larry J. & McInish, Thomas H., 1990. "Tests of stability for variances and means of overnight/intraday returns during bull and bear markets," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1243-1253, December.
- Kim, Moon K. & Zumwalt, J. Kenton, 1979. "An Analysis of Risk in Bull and Bear Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 1015-1025, December.
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