Evidence of the Dividend Month Premium in the Brazilian Stock Market

Authors

  • Camila Cardoso Pereira Programa de Pós-Graduação em Economia / Universidade de Brasília
  • Regis A. Ely Programa de Pós-Graduação em Economia / Universidade de Brasília (UnB)
  • Cláudio Djissey Shikida Departamento de Economia / Universidade Federal de Pelotas (UFPel)

DOI:

https://doi.org/10.12660/rbfin.v16n4.2018.67406

Keywords:

Dividend month premium, Abnormal return, Portfolio selection

Abstract

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.

Author Biography

Regis A. Ely, Programa de Pós-Graduação em Economia / Universidade de Brasília (UnB)

Professor of Economics at the Department of Economics at Federal University of Pelotas (UFPel) and Doctor of Economics from University of Brasilia (UnB). My research expertise is primarily in the areas of finance, time series econometrics, banking and credit market.

Published

2019-01-18