Funcional statistical time series analysis of the dividend policy of sapnish companies

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URI: http://hdl.handle.net/10481/29634
ISSN: 2173-0164
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Author
Salmerón Gómez, Román ; Ruiz Medina, María Dolores
Editorial
Universidad Complutense de Madrid. Instituto de Estudios Bursatiles (IEB)
Materia
Dividend policy
 
Financial panel data
 
Functional time series analysis
 
Information content of dividends
 
Kalman filtering
 
Date
2011
Referencia bibliográfica
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]
Sponsorship
This work hasbeen supported inpartbyprojects MTM2009-13393 oftheDGI,MEC, and P09-FQM-5052 of the Andalousian CICE, Spain.
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.
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