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Wiley InterScience | |||||||||||||||||||||
  Financial ReviewVolume 28 Issue 3, Pages 303 - 327 Published Online: 9 Mar 2005 © 2010 Eastern Finance Association Published on behalf of the Eastern Finance Association
Abstract | References | Full Text: PDF (Size: 1108K) | Related Articles | Citation Tracking  Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets A previous version of this manuscript was presented at the 1991 meeting of the Eastern Finance Association, Hot Springs, VA. Copyright 1993 by the Eastern Finance Association 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. | 
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