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Investment performance of high income stocks over up and down markets

Journal of Economics and Finance volume 17, pages 77–91 (1993)Cite this article

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.

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Authors and Affiliations

  1. University of Northern Colorado, 80639, Greeley, CO

    John M. Clinebell

  2. Southwest Missouri State University, 65804, Springfield, MO

    Jan R. Squires

  3. University of Richmond, 23173, Richmond, VA

    Jerry L. Stevens

Authors
  1. John M. Clinebell
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  2. Jan R. Squires
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  3. Jerry L. Stevens
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Clinebell, J.M., Squires, J.R. & Stevens, J.L. Investment performance of high income stocks over up and down markets. J Econ Finan 17, 77–91 (1993). https://doi.org/10.1007/BF02920640

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  • DOI: https://doi.org/10.1007/BF02920640

Keywords

  • Systematic Risk
  • Capital Gain
  • Dividend Yield
  • Lower Beta
  • Market Definition