Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
- Authors
- Kim, Chang-Jin; Park, Cheolbeom
- Issue Date
- 8월-2013
- Publisher
- WILEY
- Keywords
- C12; C22; G12; stock return predictability; adjusted dividend-price ratio; disappearing dividends; time-varying cointegration vector
- Citation
- JOURNAL OF MONEY CREDIT AND BANKING, v.45, no.5, pp.933 - 952
- Indexed
- SSCI
SCOPUS
- Journal Title
- JOURNAL OF MONEY CREDIT AND BANKING
- Volume
- 45
- Number
- 5
- Start Page
- 933
- End Page
- 952
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/102588
- DOI
- 10.1111/jmcb.12031
- ISSN
- 0022-2879
- Abstract
- The conventional dividend-price ratio is highly persistent, and the literature reports mixed evidence on its role in predicting stock returns. We argue that the decreasing number of firms with a traditional dividend-payout policy is responsible for these results, and develop a model in which the long-run relationship between the dividends and stock price is time varying. An adjusted dividend-price ratio that accounts for the time-varying long-run relationship is considerably less persistent. Furthermore, the predictive regression model that employs the adjusted dividend-price ratio as a regressor outperforms the random-walk model. These results are robust with respect to the firm size.
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Collections - College of Political Science & Economics > Department of Economics > 1. Journal Articles
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