Book-to-market, dividend yield, and expected market returns: A time-series analysis
Open Access
- 1 May 1997
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 44 (2) , 169-203
- https://doi.org/10.1016/s0304-405x(97)00002-0
Abstract
No abstract availableKeywords
This publication has 28 references indexed in Scilit:
- Asset returns and inflationPublished by Elsevier ,2002
- Dividend yields and expected stock returnsPublished by Elsevier ,2002
- Evaluating the performance of value versus glamour stocks The impact of selection biasJournal of Financial Economics, 1995
- Bayesian Inference and Portfolio EfficiencyThe Review of Financial Studies, 1995
- Tactical Asset Allocation: Pros and ConsCFA Magazine, 1993
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- Stock return variation and expected dividendsJournal of Financial Economics, 1992
- A Bayesian approach to testing portfolio efficiencyJournal of Financial Economics, 1987
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 1980
- The Variability of the Market Factor of the New York Stock ExchangeThe Journal of Business, 1973