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Dividend Predictability Around the World

Published online by Cambridge University Press:  22 August 2014

Jesper Rangvid,
Maik Schmeling and
Andreas Schrimpf
Jesper Rangvid
Affiliation:
jr.fi@cbs.dk, Department of Finance, Copenhagen Business School, Solbjerg Plads 3, DK-2000 Frederiksberg, Denmark
Maik Schmeling
Affiliation:
maik.schmeling.1@city.ac.uk, Faculty of Finance, Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, United Kingdom
Andreas Schrimpf
Affiliation:
andreas.schrimpf@bis.org, Bank for International Settlements (BIS), Centralbahnplatz 2, CH-4002 Basel, Switzerland and Center for Research in Econometric Analysis of Time Series (CREATES).
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Abstract

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We show that dividend-growth predictability by the dividend yield is the rule rather than the exception in global equity markets. Dividend predictability is weaker, however, in large and developed markets where dividends are smoothed more, the typical firm is large, and volatility is lower. Our findings suggest that the apparent lack of dividend predictability in the United States does not uniformly extend to other countries. Rather, cross-country patterns in dividend predictability are driven by differences in firm characteristics and the extent to which dividends are smoothed.

Information

Type
Research Articles
Information
Journal of Financial and Quantitative Analysis , Volume 49 , Issue 5-6 , December 2014, pp. 1255 - 1277
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2015 

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