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Dividend persistence and return predictability

Powell, John G; Shi, Jing; Smith, Tom

Description

Evidence of dividend yield return predictability has been presented so widely and consistently that the result has tended to be generally accepted. This paper shows that return predictability of the dividend yield is a spurious result that is due to dividend persistence and finds that standard dividend behaviour explanatory models are also affected by the spurious regression problem. A simulation procedure is utilized to take account of a spurious correlation that compounds the spurious...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/43063
http://digitalcollections.anu.edu.au/handle/1885/43063

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