Influence of Dividend Payments on Stock Returns in Asset Pricing Models

Student: Kulagina Maria

Educational Programme: Strategic Corporate Finance (Master)

Final Grade: 8

Year of Graduation: 2016

The purpose of the study - to see the contribution of dividend yield (D / P) and dividend growth (implied dividend growth) in the prediction of yield stocks. That is, if the earlier models take into account only the D / P and on the basis of this model received good or bad results, it was still little information, since the change of the economic situation itself D / P is not very informative, and requires a second parameter of influence - a proxy for cash flow growth . Implied dividend growth will be derived from the derivatives market data, which is the newest approach in the literature Asset Pricing. The predictability of the shares on the basis of two parameters will be studied as the US, and the Russian sample - and then comparing the behavior of stocks in both markets.

Full text (added May 16, 2016)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses