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Wilfredo Leiva Maldonado and Jussara Ribeiro
 
''Construction of a dividend index with all the distributed revenues''
( 2017, Vol. 37 No.2 )
 
 
The existence of concentration in specific months for dividends distribution produces sensible irregularities in its times series. This may happen because some revenues distributed among shareholders are not included (like capital gains and profits). We propose a methodology to construct dividend indices including all the remunerations that shareholders may receive. Using consolidated data from the System of National Accounts and the Central Bank, we obtain well-behaved time series for dividends. We apply the methodology to obtain a dividend index for Brazil in order to test the existence of three types of rational bubbles: explosive bubbles, periodically collapsing bubbles and intrinsic bubbles. The tests indicated that it is not possible to rule out the presence of explosive bubbles and detected evidences of the presence of periodically collapsing bubbles in the Brazilian stock market. However, no evidence of the presence of intrinsic bubbles was found.
 
 
Keywords: Dividend index. Rational bubbles. Explosive bubbles. Periodically collapsing bubbles. Intrinsic bubbles.
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
 
Manuscript Received : Jan 25 2017 Manuscript Accepted : Apr 22 2017

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