This study presents international evidence on the dividend month premium. In the US, Hartzmark and Solomon (2013) find … abnormally high returns during the months when stocks are predicted to pay a dividend. We test for this predicted dividend month … of the anomaly, though the dividend month forecasting rule also plays a role in explaining abnormal returns …

We find strong international evidence favoring dividend payout as a salient stock characteristic affecting expected … stock returns. We find that dividend-paying stocks outperform non-payers by 0.54% per month in 44 countries, adjusting for … exposures to global and regional risk factors. The majority of the dividend premium is earned during the ex-dividend months. The …

A widely replicated result, using U.S. data, is that dividend-price ratios predict future returns, not future dividend … economy. To further investigate this question, this paper examines the relation between dividend yields, future returns and … dividend growth using current international data. It is found that in some countries, dividend-price ratios predict future …

We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock … Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected … returns and that expected dividend growth is only weakly forecastable. However, we find robust dividend growth predictability …

bubbles it is lower. Lower Spillover Persistence also associates with a more fragile system, e.g., a higher probability of …