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

We consistently show that in large equity markets, the dividend-price ratio is significantly 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 appr...

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Main Authors:	Panagiotis Asimakopoulos, Stylianos Asimakopoulos, Nikolaos Kourogenis, Emmanuel D. Tsiritakis
Format:	Default Article
Published:	2017
Subjects:	Other commerce, management, tourism and services not elsewhere classified Dividend growth Dividend-price ratio Predictability Dividend smoothing Mixed data sampling Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/26705
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id	rr-article-9505142
record_format	Figshare
spelling	rr-article-95051422017-10-31T00:00:00Z Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets Panagiotis Asimakopoulos (3591182) Stylianos Asimakopoulos (7199384) Nikolaos Kourogenis (7200095) Emmanuel D. Tsiritakis (7198811) Other commerce, management, tourism and services not elsewhere classified Dividend growth Dividend-price ratio Predictability Dividend smoothing Mixed data sampling Business and Management not elsewhere classified We consistently show that in large equity markets, the dividend-price ratio is significantly 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 significant information. 2017-10-31T00:00:00Z Text Journal contribution 2134/26705 https://figshare.com/articles/journal_contribution/Time-disaggregated_dividend-price_ratio_and_dividend_growth_predictability_in_large_equity_markets/9505142 CC BY-NC-ND 4.0
institution	Loughborough University
collection	Figshare
topic	Other commerce, management, tourism and services not elsewhere classified Dividend growth Dividend-price ratio Predictability Dividend smoothing Mixed data sampling Business and Management not elsewhere classified
spellingShingle	Other commerce, management, tourism and services not elsewhere classified Dividend growth Dividend-price ratio Predictability Dividend smoothing Mixed data sampling Business and Management not elsewhere classified Panagiotis Asimakopoulos Stylianos Asimakopoulos Nikolaos Kourogenis Emmanuel D. Tsiritakis Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
description	We consistently show that in large equity markets, the dividend-price ratio is significantly 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 significant information.
format	Default Article
author	Panagiotis Asimakopoulos Stylianos Asimakopoulos Nikolaos Kourogenis Emmanuel D. Tsiritakis
author_facet	Panagiotis Asimakopoulos Stylianos Asimakopoulos Nikolaos Kourogenis Emmanuel D. Tsiritakis
author_sort	Panagiotis Asimakopoulos (3591182)
title	Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
title_short	Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
title_full	Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
title_fullStr	Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
title_full_unstemmed	Time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
title_sort	time-disaggregated dividend-price ratio and dividend growth predictability in large equity markets
publishDate	2017
url	https://hdl.handle.net/2134/26705
_version_	1796648142157905920

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

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