Following the dividend flexibility hypothesis used by DeAngelo and DeAngelo (2006), Blau and Fuller (2008), and others, we theoretically extend the proposition of DeAngelo and DeAngelo (2006) optimal payout policy in terms of the flexibility dividend hypothesis. In addition, we also introduce...

This paper examines the profits of revenue, earnings, and price momentum strategies in an attempt to understand investor reactions when facing multiple information of firm performance in various scenarios. We first offer evidence that there is no dominating momentum strategy among the revenue,...

Breeden [<italic>J. Financial Econ.</italic>, 1979, <bold>7</bold>, 265--196], Grinols [<italic>J. Finance</italic>, 1984, <bold>39</bold>(5), 1571--1595] and Cox <italic>et al</italic>. [<italic>Econometrica</italic>, 1985, <bold>53</bold>, 363--384] describe the importance of including the supply side in capital asset pricing. Black [<italic>Am. Econ. Rev</italic>., 1976, <bold>66</bold>, 767--779] derives a dynamic,...

Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical...

Breeden [Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7, 265-196] and Grinols [Grinols, E. L. (1984). Production and risk leveling in the intertemporal capital asset pricing model. The Journal...

This paper investigates how the legal environment in a country influences performance and risk of stock across countries at different developmental stages and of various rules of jurisdiction. Using data of 4916 stocks from 37 countries, our empirical findings confirm that equities in countries...