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A Re-examination of the Effectiveness of Dividend Policy

A Re-examination of the Effectiveness of Dividend Policy A Pooled Time-series and Cross-sectional Data Approach

Jan K. Brueckner, Jagdish N. Sheth, Frank J. Fabozzi, John Martin Wachowicz, Cheng F. Lee, Walter J. Primeaux, John W. Graham, Frank K. Reilly, Hans Brems, William S. Hopwood, Meryl Reis Louis, Jack Clark Francis, Ali Jahankhani, Donald E. Pursell, Morgan J. Lynge, William A. Collins — 1979
Based upon a generalized rates of return generating process, the correct functional forms of the capital asset pricing model (CAPM) for 85 individual mutual funds are statistically identified. The impacts of the functional form on the estimates of Jensen performance measure, beta coefficient and the unsystematic risk are also explored in detail.
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