Do dividends convey information about future earnings?

• 成果类型: Article
• 署名作者: Ham, Charles G.; Kaplan, Zachary R.; Leary, Mark T.
• 署名单位: Washington University (WUSTL); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.10.006
• 发表日期: 2020
• 页码: 547-570
• 关键词: Payout policy; Dividends; EARNINGS EXPECTATIONS

摘要

Yes. We show that dividend changes contain information about highly persistent changes in future economic income. Three methodological differences lead us to different conclusions from the extant literature: (i) we use an event window approach to cleanly delineate earnings after dividend changes from those before, (ii) we use alternative earnings measures to control for endogenous investment and asset write-downs surrounding dividend changes, and (iii) we control for the nonlinear relation between dividend changes and market reactions. Our results suggest dividend announcement returns reflect information about the level of permanent earnings, though the timing of the information content is difficult to reconcile with traditional signaling models. (C) 2019 Elsevier B.V. All rights reserved.