(MONEY Magazine) – You may have heard the contrarian investing idea that when a stock stops paying a dividend, it's likely to be a terrific buy. The theory: As conservative shareholders sell in disgust, the stock plummets to dirt-cheap levels. Then, when the company reinvests the cash it is saving by skipping dividends, shares rebound. Sounds logical, but forget it. A new study shows stocks that skip dividends underperform the overall market for up to three years. "We started out believing stocks would bounce back quickly," says Roni Michaely, finance professor at Cornell University, where the study was done. "But we found that the conventional wisdom is all wrong." Along with his colleagues Richard H. Thaler and Kent Womack, Michaely examined 887 companies that had missed dividends between 1964 and 1988. "After three years, stocks that had omitted dividends trailed the market by 15 percentage points," he says. The trio also looked at 561 companies that started paying dividends for the first time. Their findings: Rather than scoring one-time gains, the stocks continued to outperform the market by 24 percentage points over three years. The bottom line: A loser is a loser, and a winner is a winner.