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- Publisher Website: 10.1111/j.1540-6261.2007.01226.x
- Scopus: eid_2-s2.0-33947192951
- WOS: WOS:000244885700012
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Article: On the importance of measuring payout yield: Implications for empirical asset pricing
Title | On the importance of measuring payout yield: Implications for empirical asset pricing |
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Authors | |
Issue Date | 2007 |
Citation | Journal of Finance, 2007, v. 62, n. 2, p. 877-915 How to Cite? |
Abstract | We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor. © 2007 by The American Finance Association. |
Persistent Identifier | http://hdl.handle.net/10722/326041 |
ISSN | 2023 Impact Factor: 7.6 2023 SCImago Journal Rankings: 19.139 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Boudoukh, Jacob | - |
dc.contributor.author | Michaely, Roni | - |
dc.contributor.author | Richardson, Matthew | - |
dc.contributor.author | Roberts, Michael R. | - |
dc.date.accessioned | 2023-03-09T09:57:35Z | - |
dc.date.available | 2023-03-09T09:57:35Z | - |
dc.date.issued | 2007 | - |
dc.identifier.citation | Journal of Finance, 2007, v. 62, n. 2, p. 877-915 | - |
dc.identifier.issn | 0022-1082 | - |
dc.identifier.uri | http://hdl.handle.net/10722/326041 | - |
dc.description.abstract | We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor. © 2007 by The American Finance Association. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Finance | - |
dc.title | On the importance of measuring payout yield: Implications for empirical asset pricing | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1111/j.1540-6261.2007.01226.x | - |
dc.identifier.scopus | eid_2-s2.0-33947192951 | - |
dc.identifier.volume | 62 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 877 | - |
dc.identifier.epage | 915 | - |
dc.identifier.eissn | 1540-6261 | - |
dc.identifier.isi | WOS:000244885700012 | - |