Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
journal contributionposted on 28.09.2017 by Panagiotis Asimakopoulos, Stylianos Asimakopoulos, Nikolaos Kourogenis, Emmanuel D. Tsiritakis
Any type of content formally published in an academic journal, usually following a peer-review process.
We consistently show that in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope with within-year seasonality. Our approach avoids the use of overlapping observations, and at the same time reduces the implications of the impact of price volatility on the dividend-price ratio. An empirical analysis using market level data from U.S., U.K., Canada and Japan strongly supports the dividend growth predictability hypothesis, suggesting that time-aggregation of dividends eliminates significant information.
- Business and Economics