scholarly journals International evidence on stock returns and dividend growth predictability using dividend yields

2020 ◽  
Vol 31 (84) ◽  
pp. 473-489
Author(s):  
Ana Monteiro ◽  
Helder Sebastião ◽  
Nuno Silva
Keyword(s):  
Stock Returns ◽  
Capital Markets ◽  
Predictive Ability ◽  
Sample Analysis ◽  
The Us ◽  
Out Of Sample ◽  
Dividend Smoothing ◽  
The Uk ◽  
The Relationship ◽  
Dividend Growth

ABSTRACT This paper examines stock returns and dividend growth predictability using dividend yields in seven developed markets: United States of America (US), United Kingdom (UK), Japan, France, Germany, Italy, and Spain. Altogether, these countries account for around 85% of the Morgan Stanley Capital International (MSCI) World Index. The use of the long time series with up-to-date data allows the comparison not only between countries, but also across periods, putting into perspective the existence or not of noticeable changes since the 1980’s. The majority of the literature on this topic is US-centered. This emphasis on the US is even more pronounced when it comes to examining the relationship between the dividend unpredictability and dividend smoothing. There is also the need to know if the relationships already documented for the post-Second World War (WWII) period still hold during the last three decades, when stock markets were subjected to a high level of turbulence worldwide. The relationship between dividend yields and returns and dividend growth is central to understand the functioning of capital markets, and has considerable implications for capital asset pricing and investment strategies. Overall, the results show that even for developed capital markets there is no clear pattern on the predictive ability of dividend yields on stock returns and dividend growth, instead these relationships seem to be time-dependent and country-specific. For each country, the predictive ability of the dividend yield is examined in a first-order structural VAR framework by applying bootstrap significance tests and the degree of dividend smoothing is assessed using four partial-adjustment models for the dividend behavior. Additionally, an out-of-sample analysis is conducted using pseudo-R2 and a normal mean squared prediction error (MSPE) adjusted statistic. For the post-WWII period, returns are predictable, but dividends are unpredictable in the US and the UK, while the opposite pattern is observed in Spain and Italy. In Germany, there is some evidence of short-term predictability for both returns and dividends, while in France only returns are predictable. In Japan, neither variable can be forecasted. The dividend smoothing results show that dividends are more persistent in the US and the UK, however, there is no clear connection between dividend smoothness and predictability for the other countries. An important conclusion to retain from the out-of-sample analysis is that the predictability of returns after the WWII, especially present in the US, appeared to have been missing in the last three decades, most probably due to the turmoil experienced by the stock markets during this last period.

scholarly journals Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data

2018 ◽  
Vol 23 (3) ◽  
Author(s):  
Aviral Kumar Tiwari ◽  
Juncal Cunado ◽  
Rangan Gupta ◽  
Mark E. Wohar
Keyword(s):  
South Africa ◽  
Wavelet Analysis ◽  
Stock Returns ◽  
Time Period ◽  
Inflation Rates ◽  
The Us ◽  
Long Time ◽  
Time Periods ◽  
The Uk ◽  
The Relationship

Abstract This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790–February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample.

scholarly journals INDUSTRY CONCENTRATION AND THE CROSS-SECTION OF STOCK RETURNS: EVIDENCE FROM THE UK

2015 ◽  
Vol 16 (4) ◽  
pp. 769-785 ◽  
Author(s):  
Nawar Hashem ◽  
Larry Su
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Financial Market ◽  
Stock Exchange ◽  
Market Competition ◽  
Growth Effect ◽  
Industry Concentration ◽  
The Us ◽  
The Uk ◽  
The Relationship

In this paper, we examine the relationship between market structure and ex- pected stock returns in the London Stock Exchange during 1985 and 2010. Using Fama- MacBeth regressions, we find that industry concentration is negatively related to average stock returns, even after controlling for beta, size, book-to-market equity, momentum, and leverage. In addition, there is a strong evidence of a growth effect. Firms or industry portfolios with smaller book-to-market ratios have significantly higher returns. In contrast, beta is never statistically significant. The above results are robust to firm- and industry- level regressions, and the formation of firms into 100 size-beta portfolios. Our findings indicate that competitive industries earn, on average, higher risk-adjusted returns than concentrated industries. An explanation is that investors in more competitive industries require larger premiums for greater distress risks associated with these industries. Our paper is one of the first to link market competition with the average stock returns in the UK, and contributes to the asset pricing literature by extending the evidence from the US to another important financial market.

Archaeologists and the Dead

2016 ◽  
Keyword(s):  
Historical Context ◽  
Ethical Considerations ◽  
International Context ◽  
The Public ◽  
The Us ◽  
The Dead ◽  
The Many ◽  
The Uk ◽  
The Relationship ◽  
Experience Effect

This volume addresses the relationship between archaeologists and the dead, through the many dimensions of their relationships: in the field (through practical and legal issues), in the lab (through their analysis and interpretation), and in their written, visual and exhibitionary practice--disseminated to a variety of academic and public audiences. Written from a variety of perspectives, its authors address the experience, effect, ethical considerations, and cultural politics of working with mortuary archaeology. Whilst some papers reflect institutional or organizational approaches, others are more personal in their view: creating exciting and frank insights into contemporary issues that have hitherto often remained "unspoken" among the discipline. Reframing funerary archaeologists as "death-workers" of a kind, the contributors reflect on their own experience to provide both guidance and inspiration to future practitioners, arguing strongly that we have a central role to play in engaging the public with themes of mortality and commemoration, through the lens of the past. Spurred by the recent debates in the UK, papers from Scandinavia, Austria, Italy, the US, and the mid-Atlantic, frame these issues within a much wider international context that highlights the importance of cultural and historical context in which this work takes place.

Investor Sentiment and Stock Returns

2015 ◽  
pp. 315-328
Author(s):  
Serkan Yılmaz Kandır ◽  
Veli Akel ◽  
Murat Çetin
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Consumer Confidence ◽  
Cointegration Test ◽  
Sample Period ◽  
Monthly Data ◽  
Out Of Sample ◽  
Confidence Index ◽  
The Relationship

In this chapter, the authors investigate the relationship between investor sentiment and stock returns in an out of sample market, namely Borsa Istanbul. The authors use the Consumer Confidence Index as an investor sentiment proxy, while utilizing BIST Second National Index as a measure of small capitalized stock returns. The sample period spans from January 2004 to May 2014. By using monthly data, the authors employ cointegration test and error–correction based Granger causality models. The authors' findings suggest that there is a long-term relationship between investor sentiment and stock returns in Borsa Istanbul. Moreover, a unidirectional causal relationship from investor sentiment to stock returns is also found.

scholarly journals MAPPING LEGAL RESEARCH

2012 ◽  
Vol 71 (3) ◽  
pp. 651-676 ◽  
Author(s):  
Mathias M. Siems ◽  
Daithí Mac Síthigh
Keyword(s):  
Social Sciences ◽  
Social Science ◽  
Conceptual Framework ◽  
General Result ◽  
Law Schools ◽  
Legal Research ◽  
The Us ◽  
Micro Level ◽  
The Uk ◽  
The Relationship

This article aims to map the position of academic legal research, using a distinction between “law as a practical discipline”, “law as humanities” and “law as social sciences” as a conceptual framework. Having explained this framework, we address both the “macro” and “micro” level of legal research in the UK. For this purpose, we have collected information on the position of all law schools within the structure of their respective universities. We also introduce “ternary plots” as a new way of explaining individual research preferences. Our general result is that all three categories play a role within the context of UK legal academia, though the relationship between the “macro” and the “micro” level is not always straight-forward. We also provide comparisons with the US and Germany and show that in all three countries law as an academic tradition has been constantly evolving, raising questions such as whether the UK could or should move further to a social science model already dominant in the US.

International relations and the International Criminal Court

2020 ◽  
pp. 561-575
Author(s):  
Njoki Wamai
Keyword(s):  
International Relations ◽  
International Criminal Court ◽  
International Criminal ◽  
International Community ◽  
Criminal Court ◽  
The West ◽  
The Us ◽  
The Uk ◽  
The Relationship

The tensions generated by the International Criminal Court’s (ICC’s) indictment of four prominent Kenyans—including Uhuru Kenyatta and William Ruto, who went on to become president and deputy president of the Kenyan Republic, respectively—in 2013 promised to reorder the relationship between Kenya and the international community. This chapter discusses the ICC’s intervention and its impact on both local Kenyan politics and Kenya’s relationship with its regional and international partners including its traditional Western partners, such as Europe, the UK, and the US. The chapter also discusses how tensions between Kenya and the West influenced Kenya’s relationship with the East including China, India, and Japan.

Dance Your PhD: Embodied Animations, Body Experiments, and the Affective Entanglements of Life Science Research

2012 ◽  
Vol 18 (1) ◽  
pp. 151-189 ◽  
Author(s):  
Natasha Myers
Keyword(s):  
Scientific Inquiry ◽  
Life Science ◽  
Science Research ◽  
Body Work ◽  
Biological Phenomena ◽  
The Us ◽  
The Uk ◽  
Differential Relations ◽  
The Relationship ◽  
Science Magazine

In 2008 Science Magazine and the American Academy for the Advancement of Science hosted the first ever Dance Your PhD Contest in Vienna, Austria. Calls for submission to the second, third, and fourth annual Dance Your PhD contests followed suit, attracting hundreds of entries and featuring scientists based in the US, Canada, Australia, Europe and the UK. These contests have drawn significant media attention. While much of the commentary has focused on the novelty of dancing scientists and the function of dance as an effective distraction for overworked researchers, this article takes seriously the relationship between movement and scientific inquiry and draws on ethnographic research among structural biologists to examine the ways that practitioners use their bodies to animate biological phenomena. It documents how practitioners transform their bodies into animating media and how they conduct body experiments to test their hypotheses. This ‘body-work’ helps them to figure out how molecules move and interact, and simultaneously offers a medium through which they can communicate the nuanced details of their findings among students and colleagues. This article explores the affective and kinaesthetic dexterities scientists acquire through their training, and it takes a close look at how this body-work is tacitly enabled and constrained through particular pedagogical techniques and differential relations of gender and power. This article argues that the Dance Your PhD contests, as well as other performative modalities, can expand and extend what it is possible for scientific researchers to see, say, imagine and feel.

Derivatives, Money, Finance and Imperialism: A Response to Bryan and Rafferty

2013 ◽  
Vol 21 (2) ◽  
pp. 149-168 ◽  
Author(s):  
Tony Norfield
Keyword(s):  
World Economy ◽  
Financial Trading ◽  
The Us ◽  
Commodity Money ◽  
Financial Derivative ◽  
The Uk ◽  
Derivatives Markets ◽  
Relationship Of ◽  
The Relationship

Abstract This paper contributes to the debate on the role of financial derivatives for capitalism. It responds to Bryan and Rafferty’s defence of their analysis and their critique of my own. The paper argues that their analysis confuses what a financial derivative does, and mixes together different kinds of derivative – and non-derivative – that play very different roles. After detailing these points, the paper discusses the relationship between gold, money and derivatives, rejecting their notion that derivatives are some kind of new ‘commodity money’. An important theme absent from Bryan and Rafferty’s analysis is the relationship of financial trading and derivatives markets to parasitism in the imperialist world economy. To illustrate this, the paper notes advantages enjoyed by the major financial powers – the US and the UK – that are the main centres for the origination of derivatives and for derivatives trading.

scholarly journals Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies

2019 ◽  
Vol 8 (3) ◽  
pp. 39-50
Author(s):  
Wilson Donzwa ◽  
Rangan Gupta ◽  
Mark E. Wohar
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Variance Test ◽  
Full Sample ◽  
Developed Economies ◽  
Volatility Spillovers ◽  
Daily Data ◽  
The Us ◽  
Before And After ◽  
The Uk

Abstract This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates before and after these economies reached the Zero Lower Bound (ZLB), which is permitted via the use of Shadow Short Rates (SSR), used as a proxy for monetary policy decisions. The results based on daily data imply that while bidirectional causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as well as the sub-samples covering the pre- and during-ZLB periods.

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