Asset Prices and No-Dividend Stocks
We incorporate stocks that pay no dividends into an otherwise standard, parsimonious dynamic asset pricing framework. We find that such a simple feature leads to profound asset price implications, which are all supported empirically. In particular, we demonstrate that no-dividend stocks command lower mean returns, but also have higher return volatilities and higher market betas than comparable stocks that pay dividends. We also show that the presence of no-dividend stocks in the stock market leads to a lower correlation between the stock market return and aggregate consumption growth rate, a non-monotonic and even a negative relation between the stock market risk premium and its volatility, and a downward sloping term structure of equity risk premia. We provide straightforward intuition for all these results and the underlying economic mechanisms at play.

Please sign up for meetings below:
docs.google.com/spreadsheets/d/1eTUvKW-onEzp681ri-yQa8KSWOYRJC81y_6GEmwQTp0/edit#gid=0
Date: 29 January 2019, 16:30 (Tuesday, 3rd week, Hilary 2019)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar Room G
Speaker: Suleyman Basak (London Business School)
Organising department: Department of Economics
Part of: Macroeconomics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Melis Clark