MARC Record from Library of Congress

LEADER: 02054cam a22002777a 4500
001 2005615427
003 DLC
005 20050114142502.0
007 cr |||||||||||
008 050111s2004 mau sb 000 0 eng
010 $a 2005615427
040 $aDLC$cDLC$dDLC
050 00 $aHB1
245 00 $aOn the importance of measuring payout yield$h[electronic resource] :$bimplications for empirical asset pricing /$cJacob Boudoukh ... [et al.].
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004.
490 1 $aNBER working paper series ;$vworking paper 10651
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/11/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
700 1 $aBoudoukh, Jacob.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10651.
856 40 $uhttp://papers.nber.org/papers/W10651