Evidências do Prêmio do mês do Dividendo no Mercado Acionário Brasileiro

Abstract

This study tests the presence of the dividend month premium in the Brazilian stock market. This premium consists of the abnormal return on assets when a dividend is predicted. We build portfolios based on predicted dividends and estimate asset pricing multifactor models to check for the existence of returns not associated with risks. We present evidencesofapositivemonthlypremiumofabout1%,but results are less robust when we exclude low liquidity assets from the sample. Also, the effect is intensified when we enable short-sale transactions and it is larger for small caps and assets with higher dividend yields.