This time it's dividend

Research output: ThesisDoctoral Thesis

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This thesis investigates the value of dividend expectations and their interaction with stock returns. The first part models the shape of the value of expectations of dividends paid by stocks in indices as they are projected into the future. This term structure is then used to derive and test a valuation of stock indexes. Changes in the valuation of stocks appear to be substantially explained by changes in the shape of the dividend term structure. The second part establishes a data set of dividend expectation values for individual firms from the prices of stock options. Dividend expectations are clearly distinguishable per stock and by the future horizon at which they are assumed to be paid. They predict future dividend raises and reduce the negative impact on stock prices from a dividend cut in case they correctly predict the cut. The third part considers the relationship between the value of expected dividends and stock prices, using the same data set derived in part two. When dividend values rise, so do stock prices, but subsequent to rising dividend values stocks underperform. In factor models, this dividend growth variable causes trouble to acknowledged factors such as book-to-market, profitability and investment.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
  • de Jong, Frank, Promotor
  • Driessen, Joost, Promotor
Award date17 Jan 2018
Place of PublicationTilburg
Print ISBNs978 90 5668 544 7
Publication statusPublished - 2018


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