How Important are Dividend Signals in Assessing Earnings Persistence?

• 成果类型: Article
• 署名作者: Homburg, Carsten; Mueller, Christian; Nasev, Julia
• 署名单位: University of Cologne; University of Munich
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12443
• 发表日期: 2018
• 页码: 2082-2105
• 关键词: accounting earnings; information-content; POLICY

摘要

We build and test a Bayesian model that shows how investors revise their earnings persistence expectations after dividend announcements. When dividend changes confirm preceding earnings changes, our model predicts inverse u-shaped investor revisions conditional on the prior expectations for noisy dividend signals. As the dividend signal becomes more informative, our model predicts that investor revisions will become more skewed converging to a monotonically decreasing relation for perfectly informative dividend signals. When dividend changes contradict preceding earnings changes, our model predicts u-shaped investor revisions. In empirical tests, we find results generally consistent with our model predictions.