Date of this Version
The Journal of Business
We 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, we 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, we find no reliable cross-sectional relation between dividend yield and risk-adjusted expected return.
© 1990 by The University of Chicago. The published version is available at: http://www.jstor.org/stable/2353260.
Chen, N., Grundy, B., & Stambaugh, R. F. (1990). Changing Risk, Changing Risk Premiums, and Dividend Yield Effects. The Journal of Business, 63 (1), S51-S70. Retrieved from https://repository.upenn.edu/fnce_papers/411
Date Posted: 27 November 2017
This document has been peer reviewed.