Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets

Michael J Gombola and Feng-Ying L Liu

The Financial Review, 1993, vol. 28, issue 3, 303-27

Abstract: This study documents persistent shifts in the relationship between stock returns and dividend yields over bull and bear markets. The shift in this relationship appears as a separate effect, distinct from the January effect, and after controlling for firm size and systematic risk. After controlling for these other factors, dividend yield is positively related to return during bear markets but negatively related to return during bull markets. This time-varying relationship between dividend yield and stock return helps to explain the anomalous results of earlier studies. Copyright 1993 by MIT Press.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:28:y:1993:i:3:p:303-27

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