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Construction of a dividend index with all the distributed revenues

Author

Listed:
  • Wilfredo Leiva Maldonado

    (Catholic University of Brasília)

  • Jussara Ribeiro

    (Catholic University of Brasilia)

Abstract

The existence of concentration in specific months for dividends distribution produces sensible irregularities in its times series. This may happen because some revenues distributed among shareholders are not included (like capital gains and profits). We propose a methodology to construct dividend indices including all the remunerations that shareholders may receive. Using consolidated data from the System of National Accounts and the Central Bank, we obtain well-behaved time series for dividends. We apply the methodology to obtain a dividend index for Brazil in order to test the existence of three types of rational bubbles: explosive bubbles, periodically collapsing bubbles and intrinsic bubbles. The tests indicated that it is not possible to rule out the presence of explosive bubbles and detected evidences of the presence of periodically collapsing bubbles in the Brazilian stock market. However, no evidence of the presence of intrinsic bubbles was found.

Suggested Citation

  • Wilfredo Leiva Maldonado & Jussara Ribeiro, 2017. "Construction of a dividend index with all the distributed revenues," Economics Bulletin, AccessEcon, vol. 37(2), pages 756-764.
    • Handle: RePEc:ebl:ecbull:eb-17-00063
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    References listed on IDEAS

    as
    1. James G. MacKinnon, 2010. "Critical Values For Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    2. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
    3. Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
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    More about this item

    Keywords

    Dividend index. Rational bubbles. Explosive bubbles. Periodically collapsing bubbles. Intrinsic bubbles.;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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