Year: 1990
Type: conference-abstract
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.
Source: The Journal of Business
DOI: 10.1086/296493
Authors: Nai-Fu Chen, Bruce Grundy, Robert F. Stambaugh
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2040354841