This study provides evidence on the extent to which variations in stock returns are explained by variations in expected dividends in the markets of six European countries. Our results indicate that more than half of the observed variability of quarterly returns in the U.K. market is explained by variations in expected dividends. In contrast, only 18% of such variations in the German market is explained in a similar manner. The percentages of return variability explained for the markets of France, Italy, the Netherlands and Switzerland are between these extremes. We hypothesize that differences in the ownership structure of firms may be the driving force behind such results. We argue that the concentrated ownership structure of the German firms, and the tailor-made dividend patterns which may result, will force the changes in dividends to be void of an informational content. Evidence from the U.S. and the Japanese markets tends to provide strong support for this argument.