Funcional statistical time series analysis of the dividend policy of sapnish companies
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Universidad Complutense de Madrid. Instituto de Estudios Bursatiles (IEB)
Dividend policyFinancial panel dataFunctional time series analysisInformation content of dividendsKalman filtering
Salmerón Gómez, R.; Ruiz Medina, M.D. Funcional statistical time series analysis of the dividend policy of sapnish companies. Aestimatio, 3: 2-17 (2011). [http://hdl.handle.net/10481/29634]
PatrocinadorThis work hasbeen supported inpartbyprojects MTM2009-13393 oftheDGI,MEC, and P09-FQM-5052 of the Andalousian CICE, Spain.
A functional statistical analysis of a data panel constituted by 33 companies in the IBEX-35, Spain, during the period 2006 to 2009, is achieved for the investigation of possible changes in the dividend policy. Empirical evidence of positive functional correlation of dividend policy changes with future changes of earnings per share is provided by the data panel studied. The functional estimation of the dividend annual increment per share, in all the companies of the sample, is obtained by implementing a functional version of Kalman filtering algorithm in an Autoregressive Hilbertian (ARH(1)) process framework.