Dividend Yield, Stock Returns, and Dividend Growth: Asian Developed Stock Markets

• 발행기관: 한국자료분석학회
• 저자명: Ming Wu 옥기율(Ki Yool Ohk) 고광수(Kwangsoo Ko)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.21 No.6, 2761~2774쪽, 전체 14쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2019.12.31

영문 초록

Dividend yield is exclusively predictive of future stock returns. This finding has been considered a “stylized fact” of aggregate U.S. stock market behavior. This paper shows that the predictability pattern of dividend yield depends on country (Japan, Hong Kong, and Singapore) and firm characteristics (size, value, profitability, and investments). This paper finds that, for Japan, dividend yield is a poor predictor of future stock returns and dividend growth for the aggregate market and for portfolios sorted on firm characteristics. For Hong Kong, the “stylized fact” is valid for the stock market as a whole. However, opposite predictability patterns exist for small, value, high-profitability, and medium-investment stocks for which the dividend yield is mainly related to future dividend growth. For Singapore, the generalized conviction is valid for the market portfolio; however, dividend growth predictability also plays an important role for value, high-profitability, and lower investment stocks.

목차

1. Introduction

2. Literature review

3. Data and methodology

4. Empirical results

5. Concluding remarks

References

키워드

predictability log-linear model Asian stock markets firm characteristics