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, with the first 20 years used to initialize estimates of a1 and a2, so that predictions start in 1891), the dividend -price ratio, dividend yield , earnings-price ratio, and book -to- market ratio have negative out ...
of the portfolio separately. This is necessary, below, because we examine the Fama-French factors as “data reduction tools” for understanding the cross-section of expected returns .8 The log dividend yield ...
Purpose – The purpose of this paper is to examine cross‐sectional differences in the profits, returns and risk of high‐ and low‐ market ‐to‐ book ratios (M/B) stocks before and after the initiation ...
into the aggregate market -capitalization-weighted return time series. Therefore, this study adds to the understanding of asset pricing. We make the resultant data for the market portfolio publicly available, so ...
on dividends than on capital gains, other things being equal, a larger dividend yield is associated with a larger pretax return [Brennan (1970)]. Elton and Gruber (1970) and Litzenberger and Ramaswamy (1979 ...
the organization of the book , introduces the notation, and provides some useful background and basic facts about prices, returns , compounding, and the ideas of market efficiency. Chapter 2. The Predictability ...
is the ratio of book value of equity to market value. Return on assets (ROA) is the ratio of EBITDA to sales. Cash over assets is total liquid assets, divided by lagged book assets. We also collect measures ...
the estimated risk premium. Estimates of risk premia in the US stock market as of early 2000 making a range of assumptions about the expected growth rate of dividends are shown in Table 1.3 They are obtained ...
(2008). EP is the log earnings-to-price ratio. DP is the log dividend -to-price ratio. BM is the book -to- market ratio. TBL is the 30-day T-bill rate. TMS is the difference between long term yield ...
in extensive intercorporate trading and reciprocal shareholding.2 We expect these and other features in the Japanese markets to affect trading and price behavior around ex- dividend days. We find that, unlike ...
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