Preferences for dividends and stock returns around the world

Allaudeen Hameed (), Jing Xie and Yuxiang Zhong ()
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Allaudeen Hameed: NUS Business School, National University of Singapore
Yuxiang Zhong: School of Management, Huazhong University of Science and Technology

No 202405, Working Papers from University of Macau, Faculty of Business Administration

Abstract: We find strong international evidence favoring dividend payouts as a salient stock characteristic affecting future stock returns. We find that dividend-paying stocks outperform non-dividendpaying stocks globally by 0.58% per month, adjusting for exposure to global and regional risk factors. The degree of dividend payers’ outperformance relative to non-dividend payers is unrelated to tax rates on dividends. We show that the dividend premium comes from the payers’ superior performance during ex-dividend months and the inflated ex-dividend month return partially reverses in the following month. The dividend premium co-moves across countries, especially between countries where ex-dividend dates are clustered in the same calendar month, and it is higher following market downturns. Collectively, our evidence points to dividend premium reflecting investor demand for dividends, particularly during dividend payment months.

Keywords: Dividend premium; Return comovement; International studies; Asset pricing (search for similar items in EconPapers)
JEL-codes: G12 G35 N20 (search for similar items in EconPapers)
Pages: 86 pages
Date: 2024-06
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-sea
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