I'm sure you've all seen or heard that the bond market is highly efficient, why is that?

Essentially, the bond market is highly efficient because the cash flows are basically in stone. The market knows the coupon rate, the face value, and how many payments remain until maturity. These future cash flows are discounted back to the present to arrive at today's price for the bond. Not much room for error here.

Now take a dividend stock.

The process is similar. Investors know the current dividend and earnings growth can be estimated (let's not argue about the precision of earnings estimates). Let's assume the dividend grows at the same rate as earnings, not a bad assumption. The only missing parameter in the determination of the stock's share price is the investor's required return. This can be determined using CAPM with estimates for the risk-free rate and the market's return, or it can be supplied by the investor based on knowledge of his personal situation. While there's more room for error in this case than there is in the bond case a fair estimate of the stock's intrinsic value can be determined. Again, the intrinsic value (ie price) is the sum of the future cash flows discounted back to today.

I think there might be a tendency to forget these things. People may be assuming if they hold a dividend stock forever and it continues to pump out growing dividends at some point in time the process of collecting or reinvesting the dividend becomes a gravy train. Well, it doesn't.

I'm not going to go as far as to claim a dividend is a return of capital, but remember you did pay for every cent in dividends received. 

Good Luck, Ken.