Uncovering Dividend Growth Predictability: New Evidence from the Post-WW II Period

55 Pages Posted: 25 Mar 2013 Last revised: 23 Jun 2015

See all articles by Abhay Abhyankar

Abhay Abhyankar

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

Pedro Angel Garcia-Ares

Instituto Tecnológico Autónomo de México (ITAM)

Date Written: June 22, 2015

Abstract

We re-visit a puzzling result that in U.S. post-WW II data the dividend price ratio can predict aggregate returns but not dividend growth. We find that predictive regressions are sensitive to the method used to aggregate firm-level data. Using value weighted firm-level data we find strong evidence for dividend growth predictability in the post-WW II period. We explore the reasons behind the differences in predictability due to different weighting methods. We find that these differences in predictability are related to the fact, in the data, that it is not always the largest firms that pay the largest dollar dividends or earnings.

Keywords: asset pricing, dividend growth predictability, present-value model, predictability of stock returns, weighting of firm dividends, changes in dividend payments, quintiles, earnings

JEL Classification: C22, E44, G1, G12, G14, G35

Suggested Citation

Abhyankar, Abhay and Garcia-Ares, Pedro Angel, Uncovering Dividend Growth Predictability: New Evidence from the Post-WW II Period (June 22, 2015). Available at SSRN: https://ssrn.com/abstract=2239227 or http://dx.doi.org/10.2139/ssrn.2239227

Abhay Abhyankar

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona ( email )

Campus de Bellaterra-UAB Edifici B
Cerdanyola del Vallès
Barcelona, Catalunya 08193
Spain

HOME PAGE: http://https://www.movebarcelona.eu/index.php/people/alphabetical-directory

Pedro Angel Garcia-Ares (Contact Author)

Instituto Tecnológico Autónomo de México (ITAM)

Av. Camino a Sta. Teresa 930
Col. Héroes de Padierna
Mexico City, D.F. 01000, Federal District 01080
Mexico

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