We investigate the causes of time-series fluctuations in the propensity to pay dividends, including the post-1978 decline documented by Fama and French (2001). We consider explanations based on fluctuations in dividend clienteles, agency problems, information asymmetries, executive stock...

"We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. We test this prediction by studying how the cross-section of...