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Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders
Author(s) -
ACKERT LUCY F.,
SMITH BRIAN F.
Publication year - 1993
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1993.tb04749.x
Subject(s) - dividend , cash flow , volatility (finance) , free cash flow , shareholder , economics , econometrics , cash flow statement , financial economics , monetary economics , operating cash flow , stock (firearms) , finance , corporate governance , mechanical engineering , engineering
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.