Finance Papers

Document Type

Journal Article

Date of this Version

1990

Publication Source

The Journal of Business

Volume

63

Issue

1

Start Page

S51

Last Page

S70

Abstract

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.

Copyright/Permission Statement

© 1990 by The University of Chicago. The published version is available at: http://www.jstor.org/stable/2353260.

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Date Posted: 27 November 2017

This document has been peer reviewed.