Dividend persistence and dividend behaviour

Chan, K, Powell, J, Shi, J and Smith, T 2016, 'Dividend persistence and dividend behaviour', Accounting and Finance, vol. 58, no. 1, pp. 1-21.

Document type: Journal Article
Collection: Journal Articles

Title Dividend persistence and dividend behaviour
Author(s) Chan, K
Powell, J
Shi, J
Smith, T
Year 2016
Journal name Accounting and Finance
Volume number 58
Issue number 1
Start page 1
End page 21
Total pages 21
Publisher Wiley-Blackwell Publishing Asia
Abstract This article demonstrates how a spurious regression problem caused by dividend persistence is compounded by a spurious correlation problem when the dependent and independent variables in dividend behaviour regressions are ratios composed of common component variables. This article utilises a simulation procedure to take account of these problems, with the findings implying that extreme care should be taken when using ratios as predictor or explanatory variables in time series regression. This article introduces a reformulated Lintner first difference dividend behaviour model that is not subject to spurious regression in which past prices predict subsequent changes in dividends.
Subject Finance
Investment and Risk Management
Financial Institutions (incl. Banking)
Keyword(s) Dividend behaviour
Dividend persistence
Spurious regression and correlation
DOI - identifier 10.1111/acfi.12208
Copyright notice © 2016 AFAANZ.
ISSN 0810-5391
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Citation counts: TR Web of Science Citation Count  Cited 3 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 1 times in Scopus Article | Citations
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