Do dividends signal future earnings in the Nordic stock markets?

Liljeblom, Eva; Mollah, Sabur; Rotter, Patrik

Abstract

We study the informational content of dividends on three Nordic civil law markets, where other simultaneous but blurring motives for dividends may be weaker. Using aggregate data on real earnings per share and payout ratios, long time series from 1969 to 2010, and methodologies which address problems of endogeneity, non-stationarity and autocorrelation (including a Vector Error Correction Model approach), we find evidence on dividend signaling in Nordic markets. However, we also find heterogeneity in the relationship between dividends and earnings on markets similar in many respects, suggesting that even small variations in the institutional surroundings may be important for the results.

Citation

Liljeblom, E., Mollah, S., & Rotter, P. (2015). Do dividends signal future earnings in the Nordic stock markets?. Review of Quantitative Finance and Accounting, 44(3), 493-511. https://doi.org/10.1007/s11156-013-0415-3

• Acceptance Date: Jul 3, 2013
• Online Publication Date: Nov 7, 2013
• Publication Date: Apr 1, 2015
• Deposit Date: Nov 22, 2016
• Publicly Available Date: Nov 22, 2016
• Journal: Review of quantitative finance and accounting
• Print ISSN: 0924-865X
• Publisher: Springer Verlag
• Peer Reviewed: Peer Reviewed
• Volume: 44
• Issue: 3
• Pages: 493-511
• DOI: https://doi.org/10.1007/s11156-013-0415-3
• Keywords: Dividend signaling; Information content; Nordic markets; Vector error correction model
• Public URL: https://hull-repository.worktribe.com/output/445489
• Publisher URL: http://link.springer.com/article/10.1007/s11156-013-0415-3
• Additional Information: This is the author's accepted manuscript of an article published in: Review of quantitative finance and accounting, 2015, v.44.
• Contract Date: Nov 22, 2016