|Appears in Collections:||Economics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets (Forthcoming)|
mixed data sampling
|Publisher:||Cambridge University Press|
|Citation:||Asimakopoulos P, Asimakopoulos S, Kourogenis N & Tsiritakis E (2016) Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets (Forthcoming), Journal of Financial and Quantitative Analysis.|
|Abstract:||We consistently show that in large equity markets, the dividend-price ratio is signiÖ- cantly 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 signiÖcant information.|
|Rights:||Publisher policy allows this work to be made available in this repository. 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 original publication will be available at: http://journals.cambridge.org/action/displayJournal?jid=JFQ|
|Affiliation:||University of Piraeus|
University of Piraeus
University of Piraeus
|Dividend_Growth_Predictability.pdf||263.33 kB||Adobe PDF||View/Open|
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