Acceso al sitio web del Consejo de Políticas de Infraestructura

   
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

 Artículos similares

       
 
Thao Nguyen and Hui Li    
This paper investigates the relationship between dividend payout and institutional ownership for all Australian listed firms in the period between 2001 and 2015. In our univariate tests, we find that institutional investors, in general, prefer dividend-p... ver más

 
Abdulkadir Abdulrashid Rafindadi,Abdulrashid Bello     Pág. 48 - 58
Firms are established objectively to maximize their value and that of their shareholders; this can be achieved via payment of dividend and investment in profitable ventures. Studies conducted in both developed and developing economies could not solve the... ver más

 
Farhan Ahmed,Neha Advani,Sahabia Kanwal     Pág. 182 - 190
This paper means to inspect the relationship between Price earning (P/E) ratio as a proxy of earning management and dividend payout proportion. This paper utilizes multivariate analysis using 10 years annual data from 2006 to 2016. It delivers new confir... ver más

 
Mahdi Filsaraei,Alireza Zarei     Pág. 664 - 671
In this study, the relationship of ownership and dividend policy has been investigated. For this purpose, data of 2080 firm-year were used in the period of 2002-2016.  In this study, the effect of ownership on dividend policy was estimated as e... ver más

 
Mondher Kouki     Pág. 387 - 393
In this study, we examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to shed more light on the substantive relationship between these two financial signals. Our focus is to investigate the possible com... ver más