References

Allen, F. and Michaely, R. Chapter 7 - Payout Policy, in: Chapter 7 - Payout Policy, in:
Handbook of the Economics of Finance, Elsevier, pp. 337-429.
Ang, A. and Bekaert, G. (2006; 2007) Stock Return Predictability: Is it There? Review of
Financial Studies, 20 (3), pp. 651-707. DOI: 10.1093/rfs/hhl021.
Aono, K. and Iwaisako, T. (2010; 2009) On the predictability of Japanese stock returns using
dividend yield, Asia-Pacific Financial Markets, 17 (2), pp. 141-149. DOI: 10.1007/s10690-0099105-5.
Black, F. and Scholes, M. (1974) The effects of dividend yield and dividend policy on common
stock prices and returns, Journal of Financial Economics, 1 (1), pp. 1-22. DOI: 10.1016/0304405X(74)90006-3.
Blume, M. E. (1980) Stock Returns and Dividend Yields: Some More Evidence, The Review of
Economics and Statistics, 62 (4), pp. 567-577.
Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of
Econometrics, 31 (3), pp. 307-327. DOI: 10.1016/0304-4076(86)90063-1.
Brennan, M. J. (1970) Taxes, Market Valuation and Corporate Financial Policy, National Tax
Journal, 23 , pp. 41.
Charest, G. (1978) Dividend information, stock returns and market efficiency-II, Journal of
Financial Economics, 6 (2), pp. 297-330. DOI: 10.1016/0304-405X(78)90033-8.
Chen, N., Grundy, B. and Stambaugh, R. F. (1990) Changing Risk, Changing Risk Premiums,
and Dividend Yield Effects, The Journal of Business, 63 (1), pp. S51-S70. DOI:
10.1086/296493.
Chen, S. (2012) The predictability of aggregate Japanese stock returns: implications of
dividend yield, International Review of Economics & Finance, 22 (1), pp. 284-304. DOI:
10.1016/j.iref.2011.10.009.
Christie, W. G. (1994) The changing functional relation between stock returns and dividend
yields, Journal of Empirical Finance, 1 (2), pp. 161-191. DOI: 10.1016/0927-5398(94)900027.
Eades, K. M. (1982) Empirical Evidence on Dividends as a Signal of Firm Value, Journal of
Financial and Quantitative Analysis, 17 (4), pp. 471-500. DOI: 10.2307/2330903.
Fama, E. F. (1993) Common risk factors in the returns on stocks and bonds, Journal of
Financial Economics, 33 (1), pp. 3-56. DOI: 10.1016/0304-405X(93)90023-5.
Frankfurter, G. M. and Wood, B. G. (2002) Dividend policy theories and their empirical tests,
International Review of Financial Analysis, 11 (2), pp. 111-138. DOI: 10.1016/S10575219(02)00071-6.
Guidolin, M., McMillan, D. G. and Wohar, M. E. (2013) Time varying stock return predictability:
evidence from US sectors, Finance Research Letters, 10 (1), pp. 34-40.
Hussainey, K., Mgbame, C. O. and Chijoke-Mgbame, A. M. (2011) Dividend policy and share
price volatility: UK evidence, Journal of Risk Finance, 12 (1), pp. 57-68. DOI:
10.1108/15265941111100076.
Kanas, A. (2005) Nonlinearity in the stock price-dividend relation, Journal of International
Money and Finance, 24 (4), pp. 583-606. DOI: 10.1016/j.jimonfin.2005.03.003.
Lasfer, M. A. (1996) Taxes and dividends: the UK evidence, Journal of Banking & Finance, 20
(3), pp. 455-472. DOI: 10.1016/0378-4266(95)00012-7.
Lemmon, M. L. and Nguyen, T. (2015) Dividend yields and stock returns in Hong Kong,
Managerial Finance, 41 (2), pp. 164-181.
Litzenberger, R. H. and Ramaswamy, K. (1979) The effect of personal taxes and dividends on
capital asset prices, Journal of Financial Economics, 7 (2), pp. 163-195. DOI: 10.1016/0304405X(79)90012-6.

Litzenberger, R. H. and Ramaswamy, K. (1982) The effects of dividends on common stock

prices tax effects or information effects? The Journal of Finance, 37 (2), pp. 429-443.
Miller, M. H. and Rock, K. (1985) Dividend Policy under Asymmetric Information, The Journal
of Finance, 40 (4), pp. 1031-1051. DOI: 10.1111/j.1540-6261.1985.tb02362.x.
Miller, M. H. and Scholes, M. S. (1978) Dividends and taxes, Journal of Financial Economics, 6
(4), pp. 333-364. DOI: 10.1016/0304-405X(78)90009-0.
Miller, M. H. and Scholes, M. S. (1982) Dividends and Taxes: Some Empirical Evidence, Journal
of Political Economy, 90 (6), pp. 1118-1141. DOI: 10.1086/261114.
Morgan, G. and Thomas, S. H. (1998) Taxes, dividend yields and returns in the UK equity
market, Journal of Banking & Finance, 22 (4), pp. 405-423. DOI: 10.1016/S03784266(98)00002-8.
Naranjo, A., Nimalendran, M. and Ryngaert, M. (1998) Stock returns, dividend yields, and
taxes, The Journal of Finance, 53 (6), pp. 2029-2057. DOI: 10.1111/0022-1082.00082.
Park, C. (2010) When does the dividendprice ratio predict stock returns? Journal of Empirical
Finance, 17 (1), pp. 81-101. DOI: 10.1016/j.jempfin.2009.10.002.
Pettit, R. R. (1972) Dividend Announcements, Security Performance, and Capital Market
Efficiency, The Journal of Finance, 27 (5), pp. 993-1007. DOI: 10.1111/j.15406261.1972.tb03018.x.
Pettit, R. R. (1976) The Impact of Dividend and Earnings Announcements: A Reconciliation,
The Journal of Business, 49 (1), pp. 86-96. DOI: 10.1086/295813.
Rao, R. P. (1992) Dividend yields and stock returns: evidence from the Tokyo Stock Exchange,
Journal of Economics and Business, 44 (3), pp. 187-200. DOI: 10.1016/S01486195(05)80012-8.
Tsoukalas, D. (2005) Dividend innovations and volatility of stock returns, Management
Research News, 28 (1), pp. 82-93. DOI: 10.1108/01409170510784733.
References
Bhattacharya, S. (1979) Imperfect Information, Dividend Policy, and "The Bird in the Hand"
Fallacy, The Bell Journal Of Economics, 10 (1), pp. 259. DOI:10.2307/3003330.
Jensen, M. Agency Cost Of Free Cash Flow, Corporate Finance, and Takeovers, SSRN Journal.
DOI:10.2139/ssrn.99580.
Litzenberger, R. and Ramaswamy, K. (1980) Dividends, Short Selling Restrictions, Tax-Induced
Investor Clienteles and Market Equilibrium, The Journal Of Finance, 35 (2), pp. 469.
DOI:10.2307/2327407.
Miller, M. and Modigliani, F. (1961) Dividend Policy, Growth, and the Valuation of Shares, J
BUS, 34 (4), pp. 411. DOI: 10.1086/294442.