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Dividend Predictability Around the World
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DOI：10.1017/S0022109014000477.png)
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Abstract
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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 United States 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.
Keywords:
VARIANCE DECOMPOSITION
STOCK RETURNS
HETEROSKEDASTICITY
EARNINGS
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