Payout Yields and Stock Return Predictability: How Important Is the Measure of Cash Flow?

CFA Digest ◽  
2018 ◽  
Vol 48 (5) ◽  
Author(s):  
Butt Man-Kit
Keyword(s):  
Cash Flow ◽  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability

Payout Yields and Stock Return Predictability: How Important Is the Measure of Cash Flow?

2017 ◽  
Vol 52 (4) ◽  
pp. 1639-1666 ◽  
Author(s):  
Gregory W. Eaton ◽  
Bradley S. Paye
Keyword(s):  
Great Depression ◽  
Cash Flow ◽  
Optimal Policy ◽  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
The Great Depression ◽  
Forecasting Performance ◽  
Hedging Demand

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when issuance was unusually high. The measure of cash flow used to form the yield matters economically. Long-term investors’ hedging demand for stock is considerably reduced when net payout, rather than dividends, serves as the cash-flow measure. An agent relying on an incorrect payout measure is willing to pay an economically significant “management fee” to switch to the optimal policy.

Real Assets Investor Sentiment and International Stock Return Predictability

2015 ◽  
Author(s):  
Nikos C. Papapostolou ◽  
Panos K. Pouliasis ◽  
Nikos K. Nomikos ◽  
Ioannis Kyriakou
Keyword(s):  
Stock Return ◽  
Investor Sentiment ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Real Assets

Shorting activity and stock return predictability: Evidence from a mandatory disclosure shock

2021 ◽  
Author(s):  
Paul A. Griffin ◽  
Hyun A. Hong ◽  
Ivalina Kalcheva ◽  
Jeong‐Bon Kim
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Mandatory Disclosure ◽  
Stock Return Predictability
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