Can Dividend Schedules Predict Abnormal Returns? International Evidence

Abstract

This study presents international evidence on the dividend month premium. In the US, Hartzmark and Solomon (2013) find abnormally high returns during the months when stocks are predicted to pay a dividend. We test for this predicted dividend month premium in eleven developed markets, including the US. We find this anomalous result also exists in France, Germany, and Singapore with mixed results in other countries. Cross-country analysis reveals that tax differences do impact the performance of the anomaly, though the dividend month forecasting rule also plays a role in explaining abnormal returns.

Keywords: dividends, market efficiency, tax

JEL Classification: G12, G14, G15