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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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