References contributed by pfo235-9381
Ackert, L. and Smith, B. (1993). ‘Stock price volatility, ordinary dividends, and other cash flows to shareholders’, Journal of Finance, Vol. 48, pp. 1147–1160. Bagwell, L. and Shoven, J. (1989). ‘Cash distributions to shareholders’, Journal of Economic Perspectives, Vol. 3, pp. 129–140.
Bossaerts, P. and Hillion, P. (1999). ‘Implementing statistical criteria to select return forecasting models: what do we learn’, Review of Financial Studies, Vol .12, pp. 405–428.
Boudoukh, J., Michaely, R., Richardson, M. and Roberts, M. R. (2007). ‘On the importance of measuring payout yield: implications for empirical asset pricing’, Journal of Finance, Vol. 62, pp. 877–916.
- Bureau of Economic Analysis (1977). Historical Statistics of the United States, Colonial Times to 1970, US Census Bureau.
Paper not yet in RePEc: Add citation now
Campbell, J. and Shiller, R. (1988). ‘The dividend–price ratio and expectations of future dividends and discount factors’, Review of Financial Studies, Vol. 1, pp. 195–227.
Campbell, J. and Yogo, M. (2006). ‘Efï¬cient tests of stock return predictability’, Journal of Financial Economics, Vol. 81, pp. 27–60.
- Campbell, J. Y. and Shiller, R. J. (1998). ‘Valuation ratios and the long-run stock market outlook’, Journal of Portfolio Management, Vol. 28, pp. 11–26.
Paper not yet in RePEc: Add citation now
- Cochrane, J. H. (2001). Asset Pricing, Princeton University Press, Princeton, NJ.
Paper not yet in RePEc: Add citation now
Davidson, R. and Flachaire, E. (2001). The Wild Bootstrap: Tamed at Last, DARP Discussion Paper no. 58, February.
Fama, E. and French, K. (1988). ‘Dividend yields and expected stock returns’, Journal of Financial Economics, Vol. 22, pp. 3–25.
Fama, E. and French, K. (2001). ‘Disappearing dividends: changing ï¬rm characteristics or lower propensity to pay?’, Journal of Financial Economics, Vol. 60, pp. 3–43.
Foster, F. D., Smith, T. and Whaley, R. (1997). ‘Assessing goodness-of-ï¬t of asset pricing models: the distribution of the maximal R2’, Journal of Finance, Vol. 52, pp. 591–607.
- Franklin ,A. and Michaely, R. (2003). ‘Payout policy’, Handbook of the economics of ï¬nance, Corporate Finance, Vol. 1A, pp. 337–429.
Paper not yet in RePEc: Add citation now
Goetzmann, W. N. and Jorion, P. (1993). ‘Testing the predictive power of dividend yields’, Journal of Finance, Vol. 48, pp. 663–679.
Goyal, A. and Welch, I. (2003). ‘Predicting the equity premium with dividend ratios’, Management Science, Vol. 49, pp. 639–654.
Grullon, G. and Michaely, R. (2002). ‘Dividends, share repurchases and the substitution hypothesis’, Journal of Finance, Vol. 57, pp. 1649–1684.
Jegadeesh, N. (1990). ‘Evidence of predictable behavior of security returns’, Journal of Finance, Vol. 45, pp. 881–898.
Jiang, X. and Lee, B. (2005). ‘An empirical test of the accounting-based residual income model and the traditional dividend discount model’, Journal of Business, Vol. 78, pp. 1465–1504.
Johansen, S. (1988). ‘Statistical analysis of cointegration vectors’, Journal of Economic Dynamics and Control, Vol. 12, pp. 231–254.
Johansen, S. (1991). ‘Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models’, Econometrica, Vol. 59, pp. 1551–1580.
Johansen, S. (2000). ‘A Bartlett correction factor for tests on the cointegrating relations’, Econometric Theory, Vol. 16, pp. 740–778.
Kirby, C. (1997). ‘Measuring the predictable variations in stock and bond returns’,Review of Financial Studies, Vol. 10, pp. 579–630.
Lee, B. S. and Rui, O. (2007). ‘Time-series behavior of share repurchases and dividends’, Journal of Financial and Quantitative Analysis, Vol. 42, pp. 119–142.
- Lewellen, J. (2004). ‘Predicting returns with ï¬nancial ratios’, Journal of Financial Economics, Vol. 74, pp. 209–235.
Paper not yet in RePEc: Add citation now
- Liang, J. N. and Sharpe, S. A. (1999). Share Repurchases and Employee Stock Options and their Implications for S&P 500 Share Retirements and Expected Returns, Board of Governors of the Federal Reserve System, Discussion Paper.
Paper not yet in RePEc: Add citation now
- Mehra, R. (1998). ‘On the volatility of stock prices: an exercise in quantitative theory’, International Journal of Systems Science, Vol. 29, pp. 1203–1211.
Paper not yet in RePEc: Add citation now
- Miller, M. H. (1963). ‘Stabilisation policies’, edited by the Commission: Commission on Money and Credit, Stabilization Policies, Prentice-Hall, Englewood Cliffs, NJ.
Paper not yet in RePEc: Add citation now
Miller, M. H. and Modigliani, F. (1961). ‘Dividend policy, growth, and the valuation of shares’, Journal of Business, Vol. 34, pp. 411–433.
Nelson, C. R. and Kim, M. J. (1993). ‘Predictable stock returns: the role of small sample bias’, Journal of Finance, Vol. 48, pp. 641–661.
Pesaran, M. H. and Timmermann, A. F. (1995). ‘Predictability of stock returns: robustness and economic signiï¬cance’, Journal of Finance, Vol. 50, pp. 1201–1228.
Robertson, D. and Wright, S. (2006). ‘Dividends, total cash flow to shareholders, and predictive return regressions’, Review of Economics and Statistics, Vol. 88, pp. 91–99.
- Stambaugh, R. F. (1999). ‘Predictive regressions’,Journal of Financial Economics, Vol. 54, pp. 375–421.
Paper not yet in RePEc: Add citation now
Wright, S. (2004). ‘Measures of stock market value and returns for the US nonï¬nancial corporate sector, 1900–2000’, Review of Income and Wealth, Vol. 50, pp. 561–584.