Coskewness, Dividend Yield and Capital Asset Pricing

11 Pages Posted: 13 Oct 2005

See all articles by Thomas J. Cook

Thomas J. Cook

University of Denver - Daniels College of Business

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

The coskewness and dividend yield effects on capital asset prices have been established in two separate literatures. Neither literature controls for the variable in the other, nor for other potentially confounding factors such as size of the firm and the January effect on returns. Using stock return data for 1969-1978, this study provides evidence of coskewness, size, yield and January effects on stock returns. Coskewness appears to be a surrogate variable for dividend yield. When yield is controlled for, the coskewness effect cannot be detected. Hence, the significance of coskewness seems to result from the presence of the uncontrolled factor, dividend yield.

Keywords: Asset Pricing, Skewness, Dividend Yield

JEL Classification: G11, G12, G14

Suggested Citation

Cook, Thomas J. and Rozeff, Michael S., Coskewness, Dividend Yield and Capital Asset Pricing. Journal of Financial Research, Vol. VII, No. 3, Fall 1984. Available at SSRN: https://ssrn.com/abstract=814284

Thomas J. Cook

University of Denver - Daniels College of Business ( email )

2101 S. University Blvd.
Denver, CO 80208
United States

Michael S. Rozeff (Contact Author)

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

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