BIROn - Birkbeck Institutional Research Online

    Dividends, total cash flow to shareholders, and predictive return regressions

    Wright, Stephen and Robertson, D. (2006) Dividends, total cash flow to shareholders, and predictive return regressions. Review of Economics and Statistics 88 (1), pp. 91-99. ISSN 0034-6535.

    Text (Refereed)
    Dividends.pdf - Published Version of Record

    Download (420kB) | Preview


    This paper provides new evidence on the predictive power of dividend yields for U.S. aggregate stock returns. Following Miller and Modigliani, we construct a measure of the dividend yield that includes all cash flows to shareholders. We show that this alternative cash-flow yield has strong and stable predictive power for returns, and appears robust to a battery of tests that have been proposed in recent critiques of the predictability literature.


    Item Type: Article
    School: Birkbeck Faculties and Schools > Faculty of Science > School of Computing and Mathematical Sciences
    Depositing User: Sarah Hall
    Date Deposited: 18 May 2020 14:16
    Last Modified: 09 Aug 2023 12:48


    Activity Overview
    6 month trend
    6 month trend

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item