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Essay 1
REFERENCES
Allen, F., and Michaely, R., (2003), “Payout policy,” In: Constantinides, G., Harris, M., Stulz, R. (eds.), Handbook of the Economics of Finance: Corporate Finance, Amsterdam: Elsevier.
Amihud, Y., and Li, k., (2006), “The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings,” Journal of Financial & Quantitative Analysis, Vol. 41, 637-660.
ap Gwilym, O., Seaton, j., and S. Thomas, (2005), “Dividend Yield Investment Strategies, the Payout Ratio, and Zero-Dividend Stocks,” The Journal of Investing, Vol. 14, 69-74.
Asem, E., (2009), “Dividends and Price Momentum,” Journal of Banking and Finance, Vol. 33, 486-494.
Balsara, N. J., Zheng, L., Vidozzi, A., and Vidozzi, L., (2006), “Explaining Momentum Profits With an Epidemic Diffusion Model,” Journal of Economics and Finance, Vol. 30, 407-422.
Bhattacharya, S., (1979), “Imperfect Information, Dividend Policy and the ‘Bird in the Hand’ Fallacy,” Bell Journal of Economics and Management Science, Vol. 10, 259-270.
Black, F., and Scholes, M., (1974), “The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns,” Journal of Financial Economics, Vol. 1, 1-22.
Blume, M. E., (1980), “Stock Returns and Dividend Yields: Some More Evidence,” Review of Economics and Statistics, Vol. 62, 567-577.
Brzeszczyński, J., and Gajdka, J., (2007), “Dividend-Driven Trading Strategies: Evidence From the Warsaw Stock Exchange,” International Advances in Economic Research, Vol. 13, 285-300.
Carhart, M. M., (1997), “On Persistence in Mutual Fund Performance,” Journal of Finance, Vol. 52, 57-82.
Christie, W., (1990), “Dividend Yield and Expected Returns: The Zero-Dividend Puzzle,” Journal of Financial Economics, Vol. 28, 95-125.
Fama, E. F., (1998), “Market Efficiency, Long-Term Returns, and Behavioral Finance,” Journal of Financial Economics, Vol. 49, 283-306.
Fama, E. F., and French, K. R., (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, 3–56.
Filbeck, G., and Visscher, S., (1997), “Dividend Yield Strategies in the British Stock Sarket,” European Journal of Finance, Vol. 3, 277-289.
Gombola, M. J., and Liu, F. Y., (1993a), “Considering Dividend Stability in the Relation Between Dividend Yields and Stock Returns,” The Journal of Financial Research, Vol. 16, 139-150.
Gombola, M. J., and Liu, F. Y., (1993b), “Dividend Yields and Stock Returns: Evidence of Time Variation Between Bull and Bear Markets,” Financial Review, Vol. 28, 303–327.
Grullon, G., Michaely, R., Benartzi, S., and Thaler, R. H., (2005), “Dividend Changes Do Not Signal Changes in Future Profitability,” Journal of Business, Vol. 78, 1659-1682.
Harada, K., and Nguyen, P., (2005), “Dividend Change Context and Signaling Efficiency in Japan,” Pacific-Basin Finance Journal, Vol. 13, 504-522.
Jegadeesh, N., and Titman, S., (1993), “Returns to Buying Winners and Selling Losers: Implications For Stock Market Efficiency,” Journal of Finance, Vol. 48, 65-91.
John, K., and Williams, J., (1985), “Dividends, Dilution and Taxes: A Signaling Equilibrium,” Journal of Finance, Vol. 40, 1053-1070.
Keim, D., (1985), “Dividend Yields and Stock Returns: Implications of Abnormal January Returns,” Journal of Financial Economics, Vol. 14, 473-489.
Koch, A. S., and Sun, A. X., (2004), “Dividends Changes and the Persistence of Past Earnings Changes,” Journal of Finance, Vol. 59, 2093-2116.
Li, K., and Zhao, X., (2008), “Asymmetric Information and Dividend Policy,” Financial Management, Vol. 37, 673-694.
Litzenberger, R. H., and Ramaswamy, K., (1979), “The Effects of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence,” Journal of Financial Economics, Vol. 7, 163-195.
Litzenberger, R. H., and Ramaswamy, K., (1982), “The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?” Journal of Finance,
Vol. 37, 429-443.
McQueen, G., Shields, K., and Thorley, S. R., (1997), “Does the ‘Dow-10 Investment Strategy’ Beat the Dow Statistically and Economically?” Financial Analysts Journal, Vol. 53, 66-72.
Michaely, R., Thaler, R., and Womack, K., (1995), “Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?” Journal of Finance, Vol. 50, 573-608.
Miller, M., and Rock, K., (1985), “Dividend Policy Under Asymmetric Information,” Journal of Finance, Vol. 40, 1031-1051.
Morgan, G., and Thomas, S., (1998), “Taxes, Dividend Yields and Returns in the UK Equity Market,” Journal of Banking and Finance, Vol. 22, 405-423.
Naranjo, A., Nimalendran, M., and Ryngaert, M., (1998), “Stock Returns, Dividend Yields and Taxes,” Journal of Finance, Vol. 53, 2029-57.
Nissim, D., and Ziv, A., (2001), “Dividend Changes and Future Profitability,” Journal of Finance, Vol. 56, 2111-2133.
Skinner, D. J., (2008), “The Evolving Relation Between Earnings, Dividends, and Stock Repurchases,” Journal of Financial Economics, Vol. 87, 582-609.
Stivers C., and Sun, L., (2010), “Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums,” Journal of Financial and Quantitative Analysis, Vol. 45, 987-1014.
Visscher, S., and Filbeck, G., (2003), “Dividend-Yield Strategies in the Canadian Stock Market,” Financial Analysts Journal, Vol. 59, 99-106.
Zhou, P., and Ruland, W., (2006), “Dividend Payouts and Future Earnings Growth,” Financial Analysts Journal, Vol. 62, 58-69.
Essay 2
References
Amihud, Y., and K. Li, (2006), “The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings,” Journal of Financial& Quantitative Analysis, Vol. 41, 637-660.
Allen, F. and R. Michaely (2003), “Payout Policy,” In: Constantinides, G., Harris, M., Stulz, R. (eds.), Handbook of the Economics of Finance: Corporate Finance, Elsevier, Amsterdam.
ap Gwilym, O., J. Seaton and S. Thomas (2005), “Dividend Yield Investment Strategies, the Payout Ratio and Zero-dividend Stocks,” Journal of Investing, Vol. 14, 69-74.
Asem, E. (2009), “Dividends and Price Momentum,” Journal of Banking & Finance, Vol. 33, 486-494.
Balsara, N. J., L., Zheng, A. Vidozzi, and L. Vidozzi, (2006), “Explaining Momentum Profits With an Epidemic Diffusion Model,” Journal of Economics and Finance, Vol. 30, 407-422.
Barberis, N., A. Shleifer and R. Vishny (1998), “A Model of Investor Sentiment,” Journal of Financial Economics, Vol. 49, 307-343.
Bhattacharya, S. (1979), “Imperfect Information, Dividend Policy and the ‘Bird in the Hand’ Fallacy,” Bell Journal of Economics and Management Science, Vol. 10, 259-270.
Black, F. and M. Scholes (1974), “The Effects of Dividend Yields and Dividend Policy on Common Stock Prices and Returns,” Journal of Financial Economics, Vol. 1, 1-22.
Blume, M. E. (1980), “Stock Returns and Dividend Yields: Some More Evidence,” Review of Economics and
Statistics, Vol. 62, 567-577.
Bohl, M. T., M. Schuppli and P. L. Siklos (2010), “Stock Return Seasonalities and Investor Structure: Evidence from China's B-share Markets,” China Economic Review, Vol. 21, 190–201.
Brav, A., J. R. Graham, C. R. Harvey and R. Michaely (2005), “Payout Policy in the 21st Century,” Journal of Financial Economics, Vol. 77, 483-527.
Brzeszczyński, J. and J. Gajdka (2007), “Dividend-driven Trading Strategies: Evidence from the Warsaw Stock Exchange,” International Advances in Economic Research, Vol. 13, 285-300.
Carhart, M. M. (1997), “On Persistence in Mutual Fund Performance,” Journal of Finance, Vol. 52, 57-82.
Cavoli, T. (2012), “Managed Floating by Stealth: The Case of Taiwan,” Journal of the Asia Pacific Economy, Vol. 17, 514-526.
Cushnie, L. (2012), “Full Not Free Convertibility is Key RMB Target: Linklaters,” Asiamoney, Vol. 23, 164-164.
Daniel, K., D. Hirshleifer and A. Subrahmanyam (1997), “A Theory of Overconfidence, Self-attribution and Security Market Under- and Over-reactions,” Working paper, Michigan University.
Eun, C. S. and W. Huang (2007), “Asset Pricing in China’s Domestic Stock Markets: Is There a Logic?” Pacific-Basin Finance Journal, Vol. 15, 452-480.
Fama, E. F. (1998), “Market Efficiency, Long-term Returns and Behavioral Finance,” Journal of Financial Economics, Vol. 49, 283-306.
Fama, E. F. and K. R. French (1993), “Common Risk Factors in Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 33, 3-56.
Filbeck, G. and S. Visscher (1997), “Dividend Yield Strategies in the British Stock Market,” European Journal of Finance, Vol. 3, 277-289.
Gombola, M. J., and F. Y. Liu, (1993), “Dividend Yields and Stock Returns: Evidence of Time Variation Between Bull and Bear Markets,” Financial Review, Vol. 28, 303–327.
Grullon, G., R. Michaely, S. Benartzi, and R. H. Thaler, (2005), “Dividend Changes do not Signal Changes in Future Profitability,” Journal of Business, Vol. 78, 1659-1682.
Harada, K. and P. Nguyen (2005), “Dividend Change Context and Signaling Efficiency in Japan,” Pacific-Basin Finance Journal, Vol. 13, 504-522.
Jegadeesh, N., and Titman, S. (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, 65–91.
John, K. and J. Williams (1985), “Dividends, Dilution and Taxes: A signaling Equilibrium,” Journal of Finance, Vol. 40, 1053-1070.
Keim, D. B. (1985), “Dividend Yields and Stock Returns: Implications of Abnormal January Returns,” Journal of Financial Economics, Vol. 14, 473-489.
Kyriazis, D. and G. Diacogiannis (2007), “Testing the Performance of Value Strategies in the Athens Stock Exchange,” Applied Financial Economics, Vol. 17, 1511-1528.
Li, K. and X. Zhao (2008), “Asymmetric Information and Dividend Policy,” Financial Management, Vol. 37, 673-694.
Litzenberger, R. H. and K. Ramaswamy (1979), “The Effects of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence,” Journal of Financial Economics, Vol. 7, 163-195.
Litzenberger, R. H. and K. Ramaswamy (1982), “The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?” Journal of Finance, Vol. 37, 429-443.
McGuinness, P. B. and Harris, R. D. F. (2011), “Comparison of the 'Turn-of-the-Month' and Lunar New Year Return Effects in Three Chinese Markets: Hong Kong, Shanghai and Shenzhen,” Applied Financial Economics, Vol. 21, 917-929.
McQueen, G., K. Shields and S. R. Thorley (1997), “Does the ‘Dow-10 Investment Strategy’ Beat the Dow Statistically and Economically?” Financial Analysts Journal, Vol. 53, 66-72.
Miller, M. and K. Rock (1985), “Dividend Policy under Asymmetric Information,” Journal of Finance, Vol. 40, 1031-1051.
Morgan, G. and Thomas, S. (1998), “Taxes, Dividend Yields and Returns in the UK Equity Market,” Journal of Banking and Finance, Vol. 22, 405-423.
Naranjo, A., Nimalendran, M. and Ryngaert, M. (1998), “Stock Returns, Dividend Yields and Taxes,” Journal of Finance, Vol. 53, 2029-57.
Nissim, D. and Ziv, A. (2001), “Dividend Changes and Future Profitability,” Journal of Finance, Vol. 56, 2111-2133.
Quah, C. H. (2012), “Can Japan or China Replace the US as the Monetary Anchor for Hong Kong and Macau?” Asia Pacific Business Review, Vol. 18, 335-354.
Skinner, D. J. (2008), “The Evolving Relation between Earnings, Dividends and Stock Repurchases,” Journal of Financial Economics, Vol. 87, 582-609.
Stivers, C., and Sun, L. (2010), “Cross-sectional Return Dispersion and Time Variation in Value and Momentum Premiums,” Journal of Financial and Quantitative Analysis 45, 987-1014
Sun, Q., Tong, W. H. S., Wu, Y. (2013), “Overseas Listing as a Policy Tool: Evidence From China’s H-shares,” Journal of Banking and Finance, Vol. 37, 1460-1474.
Visscher, S. and Filbeck, G. (2003), “Dividend-yield Strategies in the Canadian Stock Market,” Financial Analysts Journal, Vol. 59, 99-106.
Wei, G. and Xiao, J. Z. (2009), “Equity Ownership Segregation, Shareholder Preferences and Dividend Policy in China,” British Accounting Review, Vol. 41, 169-183.
Zhou, P., and W. Ruland, (2006), “Dividend Payouts and Future Earnings Growth,” Financial Analysts Journal, Vol. 62, 58-69.
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