This paper examines why dividend paying stocks have historically outperformed nonpayers across global equity markets. Using data from 44 countries, the authors find the premium is driven by both predictable dividend timing and persistent institutional factors, with the United States standing out as a notable exception. They also show that overlapping dividend calendars help synchronize returns across countries in ways not previously documented.
Dividend Timing and Global Dividend Premium
Allaudeen Hameed
Research
63 Pages
Key Takeaways
Global premium: Dividend payers outperformed nonpayers by 0.58% per month after risk adjustments, with 95% of 44 markets showing a positive premium.
Timing effects: Dividend payers earned a 1.01% premium during predicted ex dividend months versus 0.39% in other months, showing timing explains only part of the excess return.
Global synchronization: Above median dividend calendar overlap nearly doubled markets' sensitivity to global and regional dividend premium factors, linking payout timing to cross market return co movement.
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