The authors are from the School of Business and Economics, Wilfrid Laurier University. The authors thank George Benston, Bryan Church, Matthew Gushing, William C. Hunter, David Mayers (editor), and an anonymous referee for helpful suggestions. We acknowledge the research assistance of Robert Giammarco and the financial support of Wilfrid Laurier University.
Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders
Article first published online: 30 APR 2012
1993 The American Finance Association
The Journal of Finance
Volume 48, Issue 4, pages 1147–1160, September 1993
How to Cite
ACKERT, L. F. and SMITH, B. F. (1993), Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders. The Journal of Finance, 48: 1147–1160. doi: 10.1111/j.1540-6261.1993.tb04749.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper shows that the results of variance-bound tests depend on how cash distributions to shareholders are measured. As in prior studies, we find apparent evidence of excess volatility when a narrow definition of cash flow (dividends only) is applied. However, we are unable to reject the hypothesis of market efficiency when the cash flow measure also includes share repurchases and takeover distributions in addition to ordinary cash dividends.