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Author: FractalWalk Date: 12/15/00 2:26 PM Number: 39099
Lifted from a recent post by Snoop:

" . . . it is not possible to demonstrate that the expected returns on high yield common stocks differ from the expected returns on low yield common stocks either before or after taxes." -- Black, F., and M. Scholes, 1974, "The effects of dividend yield and dividend policy on common stock prices and returns, Journal of Financial Economics 1, 1-22.

The Nobel prize commitee thought they were credible.

I have a lot of respect for Black and Scholes, and they are certainly credible. The Black-Scholes Option Model is famous, and that is what they won the Nobel prize for. In fact, one of the books I own is 'Black-Scholes and Beyond', and they write estensively about statistical analysis of the stock market.

However, I was unaware that Black and Scholes ever analyzed the effects of dividends on appreciation of large cap stocks, even though this is certainly not what they won the Nobel Prize for. I would like to read the referenced paper, but have been unable to find it anywhere.

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