Date of Award
Summer 8-18-2010
Degree Type
Thesis
Degree Name
Master of Science (MS)
Department
Mathematics and Statistics
First Advisor
Dr Jun Han
Abstract
This paper investigates the determinants of excess returns using dividend yields as a proxy in a cross-sectional setting. First, we find that types of industry and the current business cycle are determining factors of returns. Second, our results suggest that dividend yield serves a signaling mechanism indicating “healthiness” of a firm among prospective investors. Third we see that there is a positive relationship between dividend yield and risk, especially in the utility and financial sectors. And finally, using actual excess returns, instead of dividend yield in our model shows that all predictors of dividend yield were also significant predictors of excess returns. This connection between dividend yield and excess returns support our use of dividend yield as a proxy for excess returns.
DOI
https://doi.org/10.57709/1397876
Recommended Citation
Akolly, Kokou S., "Looking in the Crystal Ball: Determinants of Excess Return." Thesis, Georgia State University, 2010.
doi: https://doi.org/10.57709/1397876