Preference for dividends and return comovement

• 成果类型: Article
• 署名作者: Hameed, Allaudeen; Xie, Jing
• 署名单位: National University of Singapore; Hong Kong Polytechnic University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.09.012
• 发表日期: 2019
• 页码: 103-125
• 关键词: dividend; Dividend clientele; comovement; Style investing

摘要

Stocks that initiate dividends tend to comove more with other dividend-paying stocks and comove less with non-dividend payers. This is also true for: (a) dividend initiations that are motivated by the exogenous 2003 dividend tax cut; and (b) the cash dividend share class of Citizens Utilities (relative to its stock dividend class). We find that flows to dividend prone (averse) mutual funds increase the comovement among dividend-paying (non dividend paying) stocks. Overall, the evidence supports the proposition that the trading of pro-dividend (dividend-averse) clienteles induces an extra factor in dividend payers (non payers), beyond those associated with changes in common factors. (C) 2018 Elsevier B.V. All rights reserved.