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- Title
Time-Disaggregated Dividend–Price Ratio and Dividend Growth Predictability in Large Equity Markets.
- Authors
Asimakopoulos, Panagiotis; Asimakopoulos, Stylianos; Kourogenis, Nikolaos; Tsiritakis, Emmanuel
- 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.
- Subjects
PRICE-dividend ratio; DIVIDENDS; TIME &; economic reactions; MARKET volatility; STOCK exchanges; GROWTH stocks
- Publication
Journal of Financial & Quantitative Analysis, 2017, Vol 52, Issue 5, p2305
- ISSN
0022-1090
- Publication type
Article
- DOI
10.1017/S0022109017000643