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

P Asimakopoulos, Stylianos Asimakopoulos, N Kourogenis, E Tsiritakis

Research output: Contribution to journalArticle

4 Citations (Scopus)
51 Downloads (Pure)

Abstract

We consistently show that in large equity markets, the dividend–price ratio is significantly related to the growth of future dividends. To uncover this relation, we use monthly dividends and a mixed data sampling technique, which allows us to address within-year seasonality. Our approach avoids the use of overlapping observations and at the same time reduces the impact of price volatility on the dividend–price ratio. An empirical analysis using market-level data from the United States, United Kingdom, Canada, and Japan strongly supports the dividend growth predictability hypothesis, suggesting that time aggregation of dividends eliminates significant information.
Original languageEnglish
Pages (from-to)2305-2326
Number of pages21
JournalJournal of Financial and Quantitative Analysis
Volume52
Issue number5
Early online date31 Oct 2017
DOIs
Publication statusPublished - 31 Oct 2017

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