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

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. https://doi.org/10.1017/S0022109017000643

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.

Keywords
dividend growth; dividend-price ratio; predictability; dividend smoothing; mixed data sampling

Journal
Journal of Financial and Quantitative Analysis: Volume 52, Issue 5