Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/26705

Title: Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
Authors: Asimakopoulos, Panagiotis N.
Asimakopoulos, Stylianos
Kourogenis, Nikolaos
Tsiritakis, Emmanuel D.
Keywords: Dividend growth
Dividend-price ratio
Dividend smoothing
Mixed data sampling
Issue Date: 2017
Publisher: © Cambridge University Press
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)
Abstract: 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.
Description: 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
Version: Accepted for publication
URI: https://dspace.lboro.ac.uk/2134/26705
Publisher Link: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis
ISSN: 0022-1090
Appears in Collections:Published Articles (Business)

Files associated with this item:

File Description SizeFormat
Dividend_Growth_Predictability.pdfAccepted version262.66 kBAdobe PDFView/Open


SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.