TY - JOUR AU - Boudoukh,Jacob AU - Michaely,Roni AU - Richardson,Matthew AU - Roberts,Michael TI - On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing JF - National Bureau of Economic Research Working Paper Series VL - No. 10651 PY - 2004 Y2 - July 2004 UR - http://www.nber.org/papers/w10651 L1 - http://www.nber.org/papers/w10651.pdf N1 - Author contact info: Jacob Boudoukh The Caesarea Center Arison School of Business, IDC 3 Kanfei Nesharim St Herzlia 46150 ISRAEL Tel: 972/544-875727 E-Mail: jboudouk@idc.ac.il Roni Michaely Johnson Graduate School of Management 431 Sage Hall Cornell University Ithaca, NY 14853 Tel: 607/255-3491 Fax: 607/255-9431 E-Mail: rm34@cornell.edu Matthew P. Richardson Stern School of Business New York University 44 West 4th Street, Suite 9-190 New York, NY 10012 Tel: 212/998-0349 Fax: 212/995-4233 E-Mail: mrichar0@stern.nyu.edu Michael R. Roberts The Wharton School University of Pennsylvania 3620 Locust Walk, #2320 Philadelphia, PA 19104 Tel: 215/573-9780 Fax: 215/898-6200 E-Mail: mrrobert@wharton.upenn.edu AB - Previous research showed that the dividend price ratio process changed remarkably during the 1980's and 1990's, but that the total payout ratio (dividends plus repurchases over price) changed very little. We investigate implications of this difference for asset pricing models. In particular, the widely documented decline in the predictive power of dividends for excess stock returns in time series regressions in recent data is vastly overstated. Statistically and economically significant predictability is found at both short and long horizons when total payout yield is used instead of dividend yield. We also provide evidence that total payout yield has information in the cross-section for expected stock returns exceeding that of dividend yield and that the high minus low payout yield portfolio is a priced factor. The evidence throughout is shown to be robust to the method of measuring total payouts. ER -