Substantially increased institutional investing and index trading in the U.S. stock market have a meaningful impact on the mechanical relationship between return co-movement and liquidity, which can be quantified by a power law function and explained by a liquidity supply model. Three...

We provide theoretical and empirical evidence over 1871–2014 that total payouts (dividends plus buybacks) are the key drivers of long-run stock market returns. We show that total payouts per share (adjusted for the share decrease from buybacks) grew in line with economic productivity, whereas...