J of Financial Research - 2024 - Quaye - MIDAS and dividend growth predictability Revisiting the excess volatility puzzle.pdf (1.77 MB)
MIDAS and dividend growth predictability: revisiting the excess volatility puzzle
journal contribution
posted on 2024-05-03, 11:13 authored by Enoch Quaye, Radu TunaruRadu Tunaru, Nikolaos VoukelatosWe examine dividend growth predictability and the excess volatility puzzle across a large sample of international equity markets, using a mixed frequency data sampling (MIDAS) regression approach. We fi nd that accounting for dividend seasonality under the MIDAS framework signifi cantly improves dividend growth predictability, compared to simple regressions with annually aggregated data. Moreover, variance bounds tests that allow for non-stationary dividends consistently fail to reject the hypothesis of market efficiency across all countries. Our findings suggest that the common rejection of market efficiency in the previous literature is most likely driven by the annual aggregation of dividend data as well as by the assumption of stationary dividends.
History
Publication status
- Published
File Version
- Published version
Journal
Journal of Financial ResearchISSN
0270-2592Publisher
Wiley-BlackwellPublisher URL
External DOI
Department affiliated with
- Business and Management Publications
- Accounting and Finance Publications
Institution
University of SussexFull text available
- Yes
Peer reviewed?
- Yes