Signaling safety

• 成果类型: Article
• 署名作者: Michaely, Roni; Rossi, Stefano; Weber, Michael
• 署名单位: University of Geneva; Bocconi University; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.08.013
• 发表日期: 2021
• 页码: 405-427
• 关键词: dividends; payout policy; Cash-flow volatility; signaling model

摘要

Contrary to signaling models' central predictions, changes in the level of cash flows do not empirically follow changes in dividends. We use the Campbell (1991) decomposition to construct cash-flow and discount-rate news from returns and find the following: (1) both dividend changes and repurchase announcements signal changes in cash-flow volatility (in opposite directions); (2) larger cash-flow volatility changes come with larger announcement returns; and (3) neither discount-rate news, nor the level of cash-flow news, nor total stock return volatility change following dividend changes. We conclude cash-flow news-and not discount-rate news-drive payout policy, and payout policy conveys information about future cash-flow volatility. (C) 2020 Elsevier B.V. All rights reserved.