Dividend_Growth_Predictability.pdf (262.66 kB)
Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
journal contribution
posted on 2017-09-28, 08:46 authored by Panagiotis Asimakopoulos, Stylianos Asimakopoulos, Nikolaos Kourogenis, Emmanuel D. TsiritakisWe 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.
History
School
- Business and Economics
Department
- Business
Published in
Journal of Financial and Quantitative AnalysisVolume
52Issue
5Pages
2305-2326Citation
ASIMAKOPOULOS, P.N. ... et al., 2017. Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets. Journal of Financial and Quantitative Analysis (forthcoming)Publisher
© Cambridge University PressVersion
- AM (Accepted Manuscript)
Publisher statement
This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © Cambridge University PressAcceptance date
2016-04-01Publication date
2017-10-31Notes
This article has been accepted for publication in Journal of Financial and Quantitative Analysis published by Cambridge University Press and will appear in a revised form subject to input from the Journal’s editor. The definitive version will be available at: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysisISSN
0022-1090eISSN
1756-6916Publisher version
Language
- en