Journal of Banking & Finance Vol. 78 2017
Dividends, earnings, and predictability
Abstract
We show that the dividend yield and earnings yield jointly are strong predictors of dividend growth. We motivate the joint specification with a theoretical model and show how omitting the earnings yield biases the dividend yield coefficient towards zero, explaining why the dividend yield by itself is a poor predictor of dividend growth. Our empirical results are robust in pre- and post-war U.S. data, in recessions and expansions, in international data, and when controlling for additional predictors.
- DOI
- 10.1016/j.jbankfin.2017.02.008
- Volume
- 78
- Pages
- 153-163
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex