of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We … define the modified dividend–price ratio (mdp), as the long run trend deviation between d and p. Using S&P 500 data for the … correlation with the risk free return component, and can discern if a low dividend state coincides with a low yield state …

Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In … order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope … with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple …

returns and expected dividend growth to movements in the price-dividend ratio. We show that both models involve serious …

This paper examines the ability of dividend yields to predict expected stock returns in the Colombo Stock Exchange in … the 1989-1997 period. The results show that dividend yields predict expected returns reliably in return horizons up to … with the return horizon. Dividend yields are able to track expected nominal as well as real returns, both with and without …

We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax …-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our … empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant …

The purpose of this research is to identify how dividend payments affect the U.S. equity market at the sectoral level …. A conventional stock valuation model predicts a positive response of equity price to higher dividend payment. Higher …