Investment performance of high income stocks over up and down markets
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.
Finance and General Business
Clinebell, John M., Jan R. Squires, and Jerry L. Stevens. "Investment performance of high income stocks over up and down markets." Journal of Economics and Finance 17, no. 2 (1993): 77-91.
Journal of Economics and Finance