Dividend changes and the persistence of past earnings changes

• 成果类型: Article
• 署名作者: Koch, AS; Sun, AX
• 署名单位: Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00693.x
• 发表日期: 2004
• 页码: 2093-2116
• 关键词: information-content; ACCOUNTING EARNINGS; stock returns; announcements; losses; coefficients; INITIATIONS; OMISSIONS; POLICY

摘要

We examine whether the market interprets changes in dividends as a signal about the persistence of past earnings changes. Prior to observing this signal, investors may believe that past earnings changes are not necessarily indicative of future earnings levels. We empirically investigate whether a change in dividends alters investors' assessments about the valuation implications of past earnings. Results confirm the hypothesis that changes in dividends cause investors to revise their expectations about the persistence of past earnings changes. This effect varies predictably with the magnitude of the dividend change and the sign of the past earnings change.