| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10651 |
| 来源ID | Working Paper 10651 |
| On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing | |
| Jacob Boudoukh; Roni Michaely; Matthew Richardson; Michael Roberts | |
| 发表日期 | 2004-07-26 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w10651 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568280 |
| 推荐引用方式 GB/T 7714 | Jacob Boudoukh,Roni Michaely,Matthew Richardson,et al. On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10651.pdf（465KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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