Three Essays on Dividend Policy.

详细信息   

• 作者：Zhao ; Bo.
• 学历：Doctor
• 年：2013
• 导师：Savickas,Robert,eadvisorHwang,Minecommittee memberPirinsky,Christoecommittee memberWilson,Arthur J.ecommittee memberSoyer,Refikecommittee member
• 毕业院校：The George Washington University
• Department：Finance.
• ISBN：9781267766137
• CBH：3544994
• Country：USA
• 语种：English
• FileSize：818851
• Pages：173

文摘

The dissertation is consisted of three essays on dividend policy. The first essay,titled "Distribution effect and idiosyncratic volatility discount",focuses on the interaction of empirical asset pricing and dividend policy. In this essay,we examine how the decision on cash distributions to investors influences the well-identified idiosyncratic volatility discount. The motivation of the first essay comes from the signal implication of distribution effect. In particular,this essay empirically shows that distribution effect matters for idiosyncratic volatility discount. Idiosyncratic volatility discount arises primarily among stocks with non-cash distributions. Such stocks show a significant idiosyncratic volatility discount,measured by the return difference between high and low idiosyncratic volatility portfolios. In contrast,for stocks with cash distributions,this discount is statistically insignificant. We attribute these effects to the fact that the information content of cash distributions reduces the uncertainty of future capital gains,which in turn drive out the idiosyncratic volatility discount. We test several explanations of idiosyncratic volatility discount under the framework of distribution effect and find evidence contrary to those explanations. In addition,our empirical results suggest that extreme values may obscure some of the extant explanations on idiosyncratic volatility discount. The second essay,titled "Market sentiment and dividend policy: cross sectional evidence",studies how market sentiment affects managers decisions on dividend policy. This essay closes the extant literature gap by providing cross-sectional evidence on the effect of market sentiment on dividend policy. The motivation of this essay is based on the fact that managers decisions on dividends are affected by investors trading behaviors and the investors impacts vary cross firms as well. Furthermore,empirical findings on the validity of catering theory on dividend policy are mixed at aggregate market. However,there is little cross-sectional evidence based on individual firms. This essay provides cross-sectional evidence of the explanatory ability of market sentiment on dividend policy decisions at firm-level. Sentiment sensitivity of individual stock returns SS),measured by the coefficient from regressing stock returns on market sentiment index changes,is an important cross-sectional determinant on dividend policy. The empirical results suggest that: firms with high SS pay lower dividends or have lower propensity to pay than do otherwise identical firms； cumulative abnormal stock returns associated with dividend initiations omissions) are statistically and significantly related to the SS. These results remain quantitatively the same after controlling for firm characteristics and other risk factors. This essay highlights the importance of investor behavior on dividend decisions. The third essay,titled "Determinant of dividend smoothing further empirical evidence",studies dividend policy from the perspective of smoothing behaviors. Empirical studies on dividend smoothing focus on the level of dividend change. However,little attention is paid to the smoothing behavior of dividend payout ratio around the target. In the first part of the essay,we demonstrate the economic intuition on the smoothing behavior of payout ratio based on a cost minimization model. Our model indicates that the extant literature on the estimate of dividend smoothing underestimated it because of ignoring the impact of the earnings growth on dividend change. Such growth effect is a critical component that determines dividend deviations from the target. The second part of the essay presents empirical evidence on the determinants of dividend smoothing behavior. In particular,we incorporate the effects of permanent earnings,income smoothing,and speed of leverage adjustment. Our empirical findings indicate that permanent earnings,income smoothing,and speed of leverage smoothing significantly influence the determinants of dividend smoothing behavior.