Dividend Smoothing and Predictability

• 成果类型: Article
• 署名作者: Chen, Long; Da, Zhi; Priestley, Richard
• 署名单位: Washington University (WUSTL); University of Notre Dame; BI Norwegian Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1120.1528
• 发表日期: 2012
• 页码: 1834-1853
• 关键词: dividend-price ratio; earning-price ratio; Dividend growth; Earnings growth; return; predictability; dividend smoothing

摘要

The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend growth predictability in the postwar period does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing-net payout and earnings-we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period.