RT Journal Article
SR Electronic
T1 Dividend-Price Ratios and Stock Returns: <em>International Evidence</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 122
OP 127
DO 10.3905/jpm.2014.40.2.122
VO 40
IS 2
A1 Bradford Cornell
YR 2014
UL https://pm-research.com/content/40/2/122.abstract
AB A widely replicated result, using U.S. data, is that dividend-price ratios predict future returns, not future dividend growth. This is evidence of stock-return predictability, and is contrary to the original interpretation of the efficient-market hypothesis. The author argues that this pre-dictability may be an artifact of the American economy’s remarkably stable real growth. This article examines the relation between dividend yields, future returns, and dividend growth, using current international data. It concludes that, in some countries, dividend-price ratios predict future returns; in other countries, they predict future dividend growth; and in still other countries, they predict a combination of the two. The variation, furthermore, is related to the volatility of real dividend growth.TOPICS: Accounting and ratio analysis, statistical methods, global