Time-Disaggregated Dividend–Price Ratio and Dividend Growth Predictability in Large Equity Markets
使用月度股息和混合数据采样技术，发现股息价格比能显著预测未来股息增长，避免重叠观测并减少价格波动影响，在美国、英国、加拿大和日本市场得到验证。
We consistently show that in large equity markets, the dividend–price ratio is significantly related to the growth of future dividends. To uncover this relation, we use monthly dividends and a mixed data sampling technique, which allows us to address within-year seasonality. Our approach avoids the use of overlapping observations and at the same time reduces the impact of price volatility on the dividend–price ratio. An empirical analysis using market-level data from the United States, United Kingdom, Canada, and Japan strongly supports the dividend growth predictability hypothesis, suggesting that time aggregation of dividends eliminates significant information.