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ARTÍCULO
TITULO

Evidence of the Dividend Month Premium in the Brazilian Stock Market

Camila Cardoso Pereira    
Regis A. Ely    
Cláudio Djissey Shikida    

Resumen

We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate asset pricing multifactor models to check for the existence of returns not associated with risks. We present evidences of a positive monthly premium of about 1%, but results are less robust when we exclude low liquidity assets from the sample. Also, the effect is larger for small caps and assets with higher dividend yields.

PÁGINAS
pp. 611 - 634
MATERIAS
ECONOMÍA

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