Journal of Financial and Quantitative Analysis Vol. 49 No. 5-6 2014

Dividend Predictability Around the World

Jesper Rangvid^1,2; Maik Schmeling³; Andreas Schrimpf^3,4

¹ Center for Economic and Policy Research · ² Copenhagen Business School · ³ City, University of London · ⁴ Bank for International Settlements

Abstract

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.

DOI

10.1017/s0022109014000477

Volume

49

Issue

5-6

Pages

1255-1277

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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