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 …

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 …

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not … to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although … valid for the aggregate stock market, is not true for portfolios of small and value stocks, where dividend yields are …