On the importance of measuring payout yield
Subtitle: implications for empirical asset pricing
By: Jacob Boudoukh ... [et al.].
Contributors: Boudoukh, Jacob.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10651; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10651.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Previous research showed that the dividend price ratio process changed remarkably during the 1980's and 1990's, but that the total payout ratio (dividends plus repurchases over price) changed very little.  We investigate implications of this difference for asset pricing models.  In particular, the widely documented decline in the predictive power of dividends for excess stock returns in time series regressions in recent data is vastly overstated.  Statistically and economically significant predictability is found at both short and long horizons when total payout yield is used instead of dividend yield.  We also provide evidence that total payout yield has information in the cross-section for expected stock returns exceeding that of dividend yield and that the high minus low payout yield portfolio is a priced factor.  The evidence throughout is shown to be robust to the method of measuring total payouts"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/11/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.