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Journal of Finance Vol. 62 No. 2 2007

On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing

Jacob Boudoukh1,2,3; Roni Michaely1,2; Matthew Richardson1,2,3; Michael R. Roberts1,2,4,3

1 International Paper (United States) · 2 Cornell University · 3 New York University · 4 St. Matthew's University

open access

Abstract

We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor.

DOI
10.1111/j.1540-6261.2007.01226.x
Volume
62
Issue
2
Pages
877-915
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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