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Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets

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journal contribution
posted on 2017-09-28, 08:46 authored by Panagiotis Asimakopoulos, Stylianos Asimakopoulos, Nikolaos Kourogenis, Emmanuel D. Tsiritakis
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.

History

School

  • Business and Economics

Department

  • Business

Published in

Journal of Financial and Quantitative Analysis

Volume

52

Issue

5

Pages

2305-2326

Citation

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 Press

Version

  • 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 Press

Acceptance date

2016-04-01

Publication date

2017-10-31

Notes

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-analysis

ISSN

0022-1090

eISSN

1756-6916

Language

  • en