Reaching for dividends

• 成果类型: Article
• 署名作者: Jiang, Hao; Sun, Zheng
• 署名单位: Michigan State University; Michigan State University's Broad College of Business; University of California System; University of California Irvine
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.003
• 发表日期: 2020
• 页码: 321-338
• 关键词: Low interest rates; monetary policy; Dividends; Income funds; FLOWS

摘要

Interest rates dived into uncharted territories for an extended period after the financial crisis. What is the impact on investor behavior and asset prices? We find that when interest rates fall, flows into income-oriented equity funds increase, with higher dividend-yielding funds attracting more inflows after controlling for fund returns. Responding to their incentives, income fund managers tend to aggressively over-weight high dividend stocks in a low-rate environment. This behavior of reaching for dividends generates market impact: high dividend stocks tend to have higher prices when interest rates fall, and lower excess returns when interest rates subsequently normalize. (c) 2019 Elsevier B.V. All rights reserved.