Construction of a dividend index with all the distributed revenues

Wilfredo Maldonado () and Jussara Ribeiro ()
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Jussara Ribeiro: Catholic University of Brasilia

Economics Bulletin, 2017, vol. 37, issue 2, 756-764

Abstract: The existence of concentration in specific months for dividends distribution produces sensible irregularities in its times series. This may happen because some revenues distributed among shareholders are not included (like capital gains and profits). We propose a methodology to construct dividend indices including all the remunerations that shareholders may receive. Using consolidated data from the System of National Accounts and the Central Bank, we obtain well-behaved time series for dividends. We apply the methodology to obtain a dividend index for Brazil in order to test the existence of three types of rational bubbles: explosive bubbles, periodically collapsing bubbles and intrinsic bubbles. The tests indicated that it is not possible to rule out the presence of explosive bubbles and detected evidences of the presence of periodically collapsing bubbles in the Brazilian stock market. However, no evidence of the presence of intrinsic bubbles was found.

Keywords: Dividend; index.; Rational; bubbles.; Explosive; bubbles.; Periodically; collapsing; bubbles.; Intrinsic; bubbles. (search for similar items in EconPapers)
JEL-codes: E3 G1 (search for similar items in EconPapers)
Date: 2017-04-22
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