Surprise! Higher dividends =Higher earnings growth

Financial Analysts Journal

Volumn 59, Issue 1, 2003, Pages 70-87

  Arnott, Robert D ^a,b   Asness, Clifford S ^c  

^a First Quadrant   (United States)

^b Research Affiliates LLC   (United States)

^c AQR Capital Management LLC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0345357791     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v59.n1.2504     Document Type: Article

References (60)

1. Ambachtsheer, Keith P. 2001. "Investing without an Equity Risk Premium: A Brave New World?" Ambachtsheer Letter, #180 (January).
2. Arnott, Robert D., and Peter L. Bernstein. 2002. "What Risk Premium Is 'Normal'?" Financial Analysts Journal, vol. 58. no. 2 (March/April):64-85.
3. Arnott, Robert D., and William J. Bernstein. Forthcoming. "Earnings Growth: The 2% Dilution." Financial Analysts Journal.
4. Arnott, Robert D., and Ronald Ryan. 2001. "The Death of the Risk Premium: Consequences of the 1990s." Journal of Portfolio Management, vol. 27, no. 3 (Spring):61-74.
5. Arnott, Robert D., and James N. von Germeten. 1983. "Systematic Asset Allocation." Financial Analysts Journal, vol. 39, no. 6 (November/December):31-38.
6. Asness, Clifford. 2000a. "Bubble Logic or How to Learn to Stop Worrying and Love the Bull." Unpublished manuscript, AQR Capital Management (June).
7. _. 2000b. "Stocks versus Bonds: Explaining the Equity Risk Premium." Financial Analysts Journal, vol. 56, no. 2 (March/April):96-113.
8. Bagwell, Laurie Simon, and John B. Shoven. 1989. "Cash Distributions to Shareholders." Journal of Economic Perspectives, vol. 3, no. 3 (Summer):129-140.
9. Benartzi, Shlomo, Roni Michaely, and Richard Thaler. 1997. "Do Changes in Dividends Signal the Future or the Past?" Journal of Finance, vol. 52, no. 3 (July):1007-34.
10. Bernstein, Peter L. 1996. "What Prompts Paradigm Shifts?" Financial Analysts Journal, vol. 52, no. 6 (November/December):7-13.
11. _. 1997a. "How Long Can You Run - And Where Are You Running?" Economics & Portfolio Strategy. New York: Peter L. Bernstein, Inc. (February 15).
12. _. 1997b. "What Rate of Return Can You Reasonably Expect... or What Can the Long Run Tell Us about the Short Run?" Financial Analysts Journal, vol. 53, no. 2 (March/April):20-28.
13. _. 1997c. "Payouts and Payoffs and an Interesting Erratum." Economics and Portfolio Strategy (March 15).
14. _. 1998. "A Further Look at the Matter of Dividends." Economics and Portfolio Strategy (April 1).
15. _. 2001a. "Ending Endism." Economics and Portfolio Strategy (April 15).
16. _. 2001b. "The Real Economy and the Unreal Economy." Economics and Portfolio Strategy (May 1).
17. Boudoukh, Jacob, and Matthew Richardson. 1994. "The Statistics of Long-Horizon Regressions Revisited." Mathematical Finance, vol. 4, no. 2 (April):103-119.
18. Brealey, Richard A., and Stewart C. Myers. 2000. Principles of Corporate Finance, 6th ed. New York: McGraw Hill.
19. Campbell, John Y., and Robert J. Shiller. 1988. "Stock Prices, Earnings, and Expected Dividends." Journal of Finance, vol. 43, no. 3 (July):661-676.
20. _. 1998. "Valuation Ratios and the Long-Run Stock Market Outlook." Journal of Portfolio Management, vol. 24, no. 2 (Winter):11-26.
21. _. 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update." NBER Working Paper 8221 (April).
22. Chancellor, Edward. 1999. Devil Take the Hindmost. New York: Farrar, Straus, and Giroux.
23. Cole, Kevin, Jean Helwege, and David Laster. 1996. "Stock Market Valuation Indicators: Is This Time Different?" Financial Analysts Journal, vol. 52, no. 3 (May/June):56-64.
24. Cornell, Bradford. 1999. The Equity Risk Premium. New York: John Wiley & Sons.
25. Cowles, Alfred. 1939. Common Stock Indexes: 1871-1937. Bloomington, IN: Principia Press.
26. Fama, Eugene F., and Kenneth R. French. 1988. "Dividend Yields and Expected Stock Returns." Journal of Financial Economics, vol. 22, no. 1 (October):3-26.
27. _. 1989. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, vol. 25, no. 1 (July):23-50.
28. _. 1999. "Disappearing Dividends: Changing Firm Characteristics or Increased Reluctance to Pay?" Working paper.
29. _. 2002. "The Equity Premium." Journal of Finance, vol. 57, no. 2 (April):637-659.
30. French, Kenneth R., and James M. Poterba. 1991. "Were Japanese Stock Prices Too High?" Journal of Financial Economics, vol. 29, no. 2 (October):337-363.
31. Classman, James K., and Kevin A. Hassett. 1999. Dow 36,000. New York: Random House.
32. Goetzmann, William N., and Philippe Jorion. 1993. "Testing the Predictive Power of Dividend Yields." Journal of Finance, vol. 48, no. 2 (June):663-679.
33. Gordon, Myron J. 1962. The Investment Financing and Valuation of the Corporation. Homewood, IL: Richard D. Irwin.
34. Goyal, Amit, and Ivo Welch. 1999. "Predicting the Equity Premium." Working paper.
35. Harvey, Campbell. 1991. "The Term Structure and World Economic Growth." Journal of Fixed Income, vol. 1, no. 1 (June):4-17.
36. Ibbotson Associates. 2001. Stocks, Bonds, Bills and Inflation: 2000 Yearbook. Chicago, IL: Ibbotson Associates.
37. Ibbotson, Roger G., and Peng Chen. 2003. "Long-Run Stock Returns: Participating in the Real Economy." Financial Analysts Journal, vol. 59, no. 1 (January/February):00-00.
38. Ibbotson, Roger, and Rex A. Sinquefield. 1976. "Stocks, Bonds, Bills and Inflation: Year-by-Year Historical Returns (1926-1974)." Journal of Business, vol. 49, no. 1 (January):11-17.
39. Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina. 2000. "The Declining U.S. Equity Premium." Quarterly Revieiv. Federal Reserve Bank of Minneapolis (Fall).
40. Jensen, M.C. 1986. "Agency Costs of Free Cash Flow, Corporate Finance and Takeovers." American Economic Revieiv, vol. 76, no. 2 (May):323-329.
41. Jensen, M.C., and William H. Meckling. 1976. "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure." Journal of Financial Economics, vol. 3, no. 4 (October):305-360.
42. Lamont, Owen. 1998. "Earnings and Expected Returns." Journal of Finance, vol. 53, no. 5 (October):1563-87.
43. Lintner, John. 1956. "Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes." American Economic Review, vol. 46, no. 2 (May):97-113.
44. Macaulay, Frederick R. 1938. Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856. Washington, DC: National Bureau of Economic Research.
45. McGrattan, Ellen R., and Edward C. Prescott. 2000. "Is the Stock Market Overvalued?" Quarterly Review Federal Reserve Bank of Minneapolis (Fall).
46. Mehra, Rajnish. 2003. "The Equity Premium: Why Is It a Puzzle?" Financial Analysts Journal, vol. 59, no. 1 (January/February):00-00.
47. Merton, R.C. 1980. "On Estimating the Expected Return on the Market." Journal of Financial Economics, vol. 8, no. 4 (June):323-361.
48. Miller, Merton, and Franco Modigliani. 1961. "Dividend Policy, Growth and the Valuation of Shares." Journal of Business, vol. 34, no. 4 (October):411-433.
49. Miller, Merton, and Kevin Rock. 1985. "Dividend Policy under Asymmetric Information." Journal of Finance, vol. 40, no. 4 (September):1031-51.
50. Modigliani, F., and R. Cohn. 1979. "Inflation, Rational Valuation, and the Market." Financial Analysts Journal, vol. 35, no. 2 (March/April):24-44.
51. Modigliani, Franco, and Merton H. Miller. 1958. "The Cost of Capital, Corporation Finance, and the Theory of Investment." American Economic Revieie, vol. 48, no. 3 (June):261-297.
52. Newey, W., and K. West. 1987. "A Simple Positive-Definite Heteroscedasticity and Autocorrelation Covariance Matrix." Econometrica, vol. 55, no. 3:703-708.
53. Nissim, Doron, and Amir Ziv. 2001. "Dividend Changes and Future Profitability." Journal of Finance, vol. 56, no. 6 (December):2019-65.
54. Schwert, G. William. 1990. "Indexes of United States Stock Prices from 1802 to 1987." Journal of Business, vol. 63, no. 3 (July):399-426.
55. Shiller, Robert J. 1981. "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?" American Economic Review, vol. 73, no. 3 (June):421-436.
56. _. 2000. Irrational Exuberance. Princeton, NJ: Princeton University Press.
57. Siegel, Jeremy J. 1998. Stocks for the Long Run. 2nd ed. New York: McGraw Hill.
58. Sorensen, Eric H., and Robert D. Arnott. 1988. "The Risk Premium and Stock Market Performance." Journal of Portfolio Management, vol. 14, no. 4 (Summer):50-55.
59. Titman, S., Wei, K.C. John, and Feixue Xie. 2001. "Capital Investments and Stock Returns." Working paper.
60. Welch, Ivo. 2000. "Views of Financial Economists on the Equity Premium and on Financial Controversies." Journal of Business, vol. 73, no. 4 (October):501-537.