Logomarca da FGV

Repositório FGV de Periódicos e Revistas

Evidence of the Dividend Month Premium in the Brazilian Stock Market

Camila Cardoso Pereira, Regis A. Ely, Cláudio Djissey Shikida


We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate asset pricing multifactor models to check for the existence of returns not associated with risks. We present evidences of a positive monthly premium of about 1%, but results are less robust when we exclude low liquidity assets from the sample. Also, the effect is larger for small caps and assets with higher dividend yields.


Dividend month premium; Abnormal return; Portfolio selection

RBFin - Brazilian Review of Finance, rbfin@fgv.br, (+55-21) 2598-9800
A publication of the Brazilian Society of Finance