Preference for dividends and stock returns around the world

2022 Financial Management Association (FMA) Annual Conference

72 Pages Posted: 10 Nov 2022

See all articles by Allaudeen Hameed

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Jing Xie

University of Macau, Faculty of Business Administration, Department of Finance and Business Economics

Yuxiang Zhong

Huazhong University of Science and Technology

Date Written: December 1, 2021

Abstract

We find strong international evidence favoring dividend payout as a salient stock characteristic affecting expected stock returns. We find that dividend-paying stocks outperform non-payers by 0.54% per month in 44 countries, adjusting for exposures to global and regional risk factors. The majority of the dividend premium is earned during the ex-dividend months. The dividend premium is higher following bad market states and co-varies across countries. Dividend payers’ outperformance is stronger in countries with poor governance but is unrelated to local tax rates on dividends. The evidence emphasizes the importance of (time-varying) preference for dividends in driving average stock returns and global return comovement.

Keywords: Dividend premium; return comovement; international studies; asset pricing

JEL Classification: G12, G35, N20

Suggested Citation

Hameed, Allaudeen and Xie, Jing and Zhong, Yuxiang, Preference for dividends and stock returns around the world (December 1, 2021). 2022 Financial Management Association (FMA) Annual Conference , Available at SSRN: https://ssrn.com/abstract=4263210 or http://dx.doi.org/10.2139/ssrn.4263210

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance ( email )

Mochtar Riady Building
15 Kent Ridge Drive
Singapore, 119245
Singapore

HOME PAGE: http://bizfaculty.nus.edu.sg/faculty-details/?profId=1

Jing Xie (Contact Author)

University of Macau, Faculty of Business Administration, Department of Finance and Business Economics ( email )

E22-4064, FBA building
Macau
Macau, 000000
China
+853 88224639 (Phone)

HOME PAGE: http://fba.um.edu.mo/faculty/jingxie/

Yuxiang Zhong

Huazhong University of Science and Technology

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