Dividend policy and stock price volatility: Australian evidence

Applied Financial Economics

Volumn 6, Issue 2, 1996, Pages 175-188

  Allen, Dave E ^a   Rachim, Veronica S ^b  

^a EDITH COWAN UNIVERSITY   (Australia)

^b Wisma Antara JL   (Indonesia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3142592637     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031096334402     Document Type: Article

References (51)

1. Ball, R., Brown, P., Finn, F., and Officer, R. R. (1979) Dividends and the value of the firm: evidence from the Australian equity market, Australian Journal of Management 4, 13-26.
2. Banz, R. W. (1981) The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3-18.
3. Baskin, J. (1989) Dividend policy and the volatility of common stock, The Journal of Portfolio Management, 15, Spring, 19-25.
4. Basu, S. (1977) Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, Journal of Finance. 32, 663-82.
5. Basu, S. (1983) The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics, 12, 129-56.
6. Battacharya, S. (1979) Imperfect information & dividend policy and The 'bird in hand' fallacy, The Bell Journal of Economics, 10, Spring, 259-70.
7. Beaver, W., Kettler, P. and Scholes, M. (1970) The association between market determined and accounting determined risk measures, The Accounting Review, October, 654-82.
8. Ben-Zion, U. & Shalit, S. (1975) Size, leverage, and dividend record as determinants of equity risk, Journal of Finance, 30, September, 1015-26.
9. Bhandari, L. C. (1988) Debt/equity ratio and expected common stock returns: Empirical evidence, Journal of Finance, 43, 507-28.
10. Black, F. (1986) Noise, Journal of Finance, 41, 529-43.
11. 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, 1-22.
12. Blume, M. E. (1980) Stock returns and dividend yields: Some more evidence, Review of Economics and Statistics, 62, November, 567-77.
13. Brickley, J. (1982) Discussion: Empirical evidence on dividends as signal of firm value, Journal of Finance & Quantitative Analysis, 17, 501-2.
14. Brown, P., Kleidon, A. W. and Marsh, T. A. (1983) New evidence on the nature of size-related anomalies in stock prices, Journal of Financial Economics, June, 33-56.
15. Brown, P., Finn, F. J. and Hancock, P. (1977) Dividend changes, earnings reports and share prices: Some Australian findings, Australian Journal of Management, 2, October, 127-47.
16. Chan, L. K. C., Hamao, Y. and Lakonishok, J. (1991) Fundamentals and stock returns in Japan, Journal of Finance, 46, 1739-64.
17. DeAngelo H. and Masulis R. W. (1980) Optimal capital structure under corporate and personal taxation, Journal of Financial Economics, March, 3-30.
18. Donaldson, G. (1961) Corporate Debt Capacity, Harvard, Harvard University Press.
19. Divecha, A. and Morse, D. (1983) Market responses to dividend increases and changes in payout ratios, Journal of Financial & Quantitative Analysis, 18, June, 163-73.
20. Easterbrook, F. H. (1984) Two agency-cost explanations of dividends, American Economic Review, 74, September, 220-30.
21. Fama, E. F. (1991) Efficient capital market: II, Journal of Finance, 46, September, 1575-617.
22. Fama, E. F. and French, K. R. (1988) Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3-25.
23. Fama, E. F. and French, K. R. (1992) The cross-section of expected stock returns, Journal of Finance, 47, 427-65.
24. Fama, E. F., and Schwert, G. W. (1977) Asset returns and inflation, Journal of Financial Economics, 5, 115-46.
25. Friend, I. and Puckett, M. (1964) Dividends and stock prices, American Economic Review, 54, September, 656-81.
26. Gordon, M. J. (1959) Dividends, earnings & stock prices, Review of Economics and Statistics, 41, May, 99-105.
27. Gordon, M. J. (1963) Optimal investment and financing policy, Journal of Finance, 18, May, 264-72.
28. Graham, B. and Dodd, D. L. (1934) Security Analysis, First Ed. New York.
29. Hess, P. J. (1982) Ex-dividend day behavior of stock returns: further evidence on tax effect, Journal of Finance, 37, May, 445-56.
30. Jensen, M. C. and Meckling, W. H. (1976) Theory of the firm: Managerial behavior agency costs and capital structure, Journal of Financial Economics, (October), 305-60.
31. Keim, D. B. and Stambaugh, R. F. (1984) A further investigation of the weekend effect in stock returns, Journal of Finance, July, 819-35.
32. Keim, D. B. (1983) Size-related anomalies and stock return seasonality: Further empirical evidence, Journal of Financial Economics, June, 13-32.
33. Keim, D. B. (1986) The CAPM and equity return regularities, Financial Analysts Journal, May-June, 19-34.
34. Kim, E. H. (1988) Optimal capital structure in Miller's equilibrium, Frontiers in Modern Finance, S. Battacharya and G. Constantinides (eds.), Rowman and Littlefield, pp. 118-37.
35. Lintner, J. (1956) The distribution of incomes of corporations among dividends, retained earnings and taxes, American Economic Review, 46, May, 97-113.
36. Miller, M. H. (1986) Behavioral rationality in finance: The case of dividends, Journal of Business, October, 451-68.
37. Miller, M. H. and Modigliani F. (1961) Dividend policy, growth and the valuation of shares, reprinted from The Journal of Business of the University Chicago, 34, No. 4, October, 433-43.
38. Miller, M. H. and Rock, K. (1985) Dividend policy under asymmetric information, Journal of Finance, 40, September, 1031-51.
39. Mishkin, F. (1989) The economics of money, Banking and Financial Markets, Second Ed., Scott, Foresman and Company.
40. Myers, S. C. and Majluf, N. (1984) Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics, 13, 187-221.
41. Parkinson, M. (1980) The extreme value method for estimating the variance of the rate of return, Journal of Business, 53, January, 61-5.
42. Reinganum, Marc R. (1981) Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values, Journal of Financial Economics, 9, March, 19-46.
43. Roll, R. (1983) Vas ist das? The turn of the year effect and the return premium of small firms, Journal of Portfolio Management, 10, 18-28.
44. Ross, S. (1977) The determinant of financial structure: The incentive - signalling approach, The Bell Journal of Economics, 8, Spring, 23-40.
45. Rozeff, M. S. (1982) Growth, beta and agency costs as determinants of dividend payout ratios, Journal of Financial Research, Fall, 249-59.
46. Rozeff, M. (1984) Dividend yields are equity risk premium, Journal of Portfolio Management, 11, 68-75.
47. Sharpe, W. F. and Sosin, H. B. (1976) Risk, return and yield: NYSE common stock, 1928-69, Financial Analysts Journal, 32, March-April, 33-42.
48. Shiller, R. (1981) Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-36.
49. Summers, L. (1986) Do we really know the financial markets are efficient?, Journal of Finance, 41, 591-602.
50. Wansley, J. W., Sirmans, C. F. and Shilling, J. D. (1991) Dividend change announcement effects and earnings volatility and timing, Journal of Financial Research, 4, Spring, 37-49.
51. Woolridge, J. R. (1983) Dividend changes and security prices, Journal of Finance, 38, December, 1607-15.