Dividend Predictability Around the World

Jesper Rangvid, Maik Schmeling, Andreas Schrimpf

Research output: Working paperResearch

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 U.S. 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.
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 U.S. 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.
LanguageEnglish
Place of Publicationwww
PublisherSSRN: Social Science Research Network
Number of pages42
StatePublished - 2 Oct 2012
SeriesCREATES Research Paper
Number3
Volume2010

Keywords

  • Dividend Yield
  • Predictsbility
  • International Stock Markets
  • Value
  • Growth
  • Idiosyncratic Volability

Cite this

Rangvid, J., Schmeling, M., & Schrimpf, A. (2012). Dividend Predictability Around the World. www: SSRN: Social Science Research Network. CREATES Research Paper, No. 3, Vol.. 2010
Rangvid, Jesper ; Schmeling, Maik ; Schrimpf, Andreas. / Dividend Predictability Around the World. www : SSRN: Social Science Research Network, 2012. (CREATES Research Paper; No. 3, ???volume??? 2010).
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Rangvid, J, Schmeling, M & Schrimpf, A 2012 'Dividend Predictability Around the World' SSRN: Social Science Research Network, www.

Dividend Predictability Around the World. / Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas.

www : SSRN: Social Science Research Network, 2012.

Research output: Working paperResearch

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Rangvid J, Schmeling M, Schrimpf A. Dividend Predictability Around the World. www: SSRN: Social Science Research Network. 2012 Oct 2.