Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
DC Field | Value | Language |
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dc.contributor.author | Kim, Chang-Jin | - |
dc.contributor.author | Park, Cheolbeom | - |
dc.date.accessioned | 2021-09-05T23:18:19Z | - |
dc.date.available | 2021-09-05T23:18:19Z | - |
dc.date.created | 2021-06-14 | - |
dc.date.issued | 2013-08 | - |
dc.identifier.issn | 0022-2879 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/102588 | - |
dc.description.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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.title | Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Chang-Jin | - |
dc.contributor.affiliatedAuthor | Park, Cheolbeom | - |
dc.identifier.doi | 10.1111/jmcb.12031 | - |
dc.identifier.scopusid | 2-s2.0-84880366002 | - |
dc.identifier.wosid | 000321628000008 | - |
dc.identifier.bibliographicCitation | JOURNAL OF MONEY CREDIT AND BANKING, v.45, no.5, pp.933 - 952 | - |
dc.relation.isPartOf | JOURNAL OF MONEY CREDIT AND BANKING | - |
dc.citation.title | JOURNAL OF MONEY CREDIT AND BANKING | - |
dc.citation.volume | 45 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 933 | - |
dc.citation.endPage | 952 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordAuthor | C12 | - |
dc.subject.keywordAuthor | C22 | - |
dc.subject.keywordAuthor | G12 | - |
dc.subject.keywordAuthor | stock return predictability | - |
dc.subject.keywordAuthor | adjusted dividend-price ratio | - |
dc.subject.keywordAuthor | disappearing dividends | - |
dc.subject.keywordAuthor | time-varying cointegration vector | - |
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