On the importance of measuring payout yield: Implications for empirical asset pricing

• 成果类型: Article
• 署名作者: Boudoukh, Jacob; Michaely, Roni; Richardson, Matthew; Roberts, Michael R.
• 署名单位: National Bureau of Economic Research; Cornell University; New York University; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01226.x
• 发表日期: 2007
• 页码: 877-915
• 关键词: variance bounds tests; stock returns; dividend yields; time-series; MARKET; RISK; prices; share; regressions; variability

摘要

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.