Journal ArticleDOI
The effect of personal taxes and dividends on capital asset prices
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TLDR
In this article, the authors derived an after tax version of the Capital Asset Pricing Model, which accounts for a progressive tax scheme and for wealth and income related constraints on borrowing, and showed that before-tax expected rates of return are linearly related to systematic risk and to dividend yield.About:
This article is published in Journal of Financial Economics.The article was published on 1979-06-01. It has received 1260 citations till now. The article focuses on the topics: Consumption-based capital asset pricing model & Dividend yield.read more
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The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
Posted Content
Investor Sentiment and the Cross-Section of Stock Returns
Malcolm Baker,Jeffrey Wurgler +1 more
TL;DR: This article examined how investor sentiment affects the cross-section of stock returns and found that when sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks, consistent with an initial underpricing of these stocks.
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Persuasive evidence of market inefficiency
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On the Estimation of Beta-Pricing Models
TL;DR: In this article, an integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented, and several aspects of the well-known errors-in-variables problem are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated.
Journal ArticleDOI
Fundamentals and Stock Returns in Japan
TL;DR: In this paper, the authors compared cross-sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market ratio, and cash flow yield.
References
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Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
Dividend Policy, Growth, and the Valuation of Shares
TL;DR: In this paper, the effect of differences in dividend policy on the current price of shares in an ideal economy characterized by perfect capital markets, rational behavior, and perfect certainty is examined.