Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/24058
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
Authors: Asimakopoulos, Panagiotis
Asimakopoulos, Stylianos
Kourogenis, Nikolaos
Tsiritakis, Emanouil
Contact Email: stylianos.asimakopoulos@stir.ac.uk
Keywords: dividend growth
dividend-price ratio
predictability
dividend smoothing
mixed data sampling
Issue Date: Oct-2017
Citation: Asimakopoulos P, Asimakopoulos S, Kourogenis N & Tsiritakis E (2017) Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets, Journal of Financial and Quantitative Analysis, 52 (5), pp. 2305-2326.
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.
DOI Link: http://dx.doi.org/10.1017/S0022109017000643
Rights: This article has been accepted for publication in Journal of Financial and Quantitative Analysis. 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. © Michael G. Foster School of Business, University of Washington 2017

Files in This Item:
File Description SizeFormat 
Dividend_Growth_Predictability.pdf300.18 kBAdobe PDFView/Open



This item is protected by original copyright



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

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.