Stock Market and No‐Dividend Stocks

Abstract

We develop a stationary model of the aggregate stock market featuring both dividendpaying and no-dividend stocks within a familiar, parsimonious consumption-based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption-based asset pricing models have difficulty reconciling. Namely, the presence of no-dividend stocks in the stock market leads to a lower correlation between stock market returns and the aggregate consumption growth rate, a nonmonotonic and even negative relation between the stock market risk premium and its volatility, and a downward-sloping term structure of equity risk premia.THE AGGREGATE STOCK MARKET CONTAINS both dividend-paying and nodividend stocks. 1 Existing asset pricing models, however, overlook this composition and typically model the stock market as being made up of only dividendpaying stocks. We provide the first general equilibrium model of the stock market in which both types of stocks coexist. We show that this simple feature leads to profound implications that support several empirical regularities of the stock market that leading consumption-based asset pricing models such as the habit-formation model (Campbell and Cochrane (1999)), the long-run risk

Kepemilikan CEO Dalam Hubungan Antara Kebijakan Utang Dan Kebijakan Dividen

“…Pada saat bursa efek dalam keadaan tidak menarik, maka kesempatan investor untuk berinvestasi menjadi kecil. Atmaz and Basak (2022) menyatakan bahwa tidak adanya perusahaan yang membagi dividen di pasar saham menyebabkan korelasi yang lebih rendah antara pengembalian pasar saham dan tingkat pertumbuhan konsumsi agregat. Selain itu, ketidakhadiran dividen di bursa efek akan mengakibatkan premi risiko pasar dan volatilitas menjadi menurun.…”

Learning about latent dynamic trading demand

“…The monograph Karatzas and Shreve (1998) describes this approach. Atmaz and Basak (2021) show that non-dividend paying stocks are relevant for asset pricing. However, models using the non-dividend paying stock approach are new in the mainstream microstructure literature.…”