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Please use this identifier to cite or link to this item: http://hdl.handle.net/10481/29634

Title: Funcional statistical time series analysis of the dividend policy of sapnish companies
Authors: Salmerón Gómez, Román
Ruiz-Medina, María Dolores
Issue Date: 2011
Abstract: 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.
Sponsorship: This work hasbeen supported inpartbyprojects MTM2009-13393 oftheDGI,MEC, and P09-FQM-5052 of the Andalousian CICE, Spain.
Publisher: Universidad Complutense de Madrid. Instituto de Estudios Bursatiles (IEB)
Keywords: Dividend policy
Financial panel data
Functional time series analysis
Information content of dividends
Kalman filtering
URI: http://hdl.handle.net/10481/29634
ISSN: 2173-0164
Citation: 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]
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