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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
Author(s): Asimakopoulos, Panagiotis
Asimakopoulos, Stylianos
Kourogenis, Nikolaos
Tsiritakis, Emanouil
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Keywords: dividend growth
dividend-price ratio
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.
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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

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