Title

Investment performance of high income stocks over up and down markets

Abstract

This paper presents empirical tests of the hypothesis that high-dividend-yield stocks offer investors significantly lower systematic risk in down markets. While high-yield stocks have lower levels of systematic risk overall, there is no evidence in this study that lower systematic risk is achieved in down markets for stocks with high-yield components in their total rates of return. This finding is robust over a variety of test procedures and provides additional support for dividend irrelevance propositions.

Department(s)

Finance and General Business

Document Type

Article

DOI

https://doi.org/10.1007/BF02920640

Publication Date

6-1-1993

Journal Title

Journal of Economics and Finance

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