Changing Risk, Changing Risk Premiums, and Dividend Yield Effects

Nai-Fu Chen, Bruce Grundy and Robert Stambaugh

The Journal of Business, 1990, vol. 63, issue 1, S51-70

Abstract: The authors investigate the cross-sectional relation between dividend yield and expected return and attempt to include various effects of changing risk measures and changing risk premiums. A stock's risk is measured by its sensitivities to two factors, a market factor and a changing-risk-premium factor. After analyzing dividend-related changes in risk measures, the authors investigate the presence of dividend effects in expected returns using four methods, each imposing a different structure on the temporal behavior of risk measures and risk premiums. For each method, they find no reliable cross-sectional relation between dividend yield and risk-adjusted expected return. Copyright 1990 by the University of Chicago.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:63:y:1990:i:1:p:s51-70

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