On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
发现，用总支付（股利加回购）或净支付（股利加回购减发行）收益率代替股利收益率，能显著提升对股票收益的时间序列和横截面预测能力，且高减低支付收益率组合是一个定价因子。
ABSTRACT We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor.