Journal of Corporate Finance· Volume 35, December 2015, Pages 1–17

股利變更與股價信息含量

作者：Amedeo De Cesari (Manchester Business School, University of Manchester), Winifred Huang-Meier (Essex Business School, University of Essex)

摘要：本文研究股票價格中的私有信息如何影響季度股利變化。我們發現，當收益傳遞更多的私有信息時，過去收益和當前股利變更之間的正相關關系加強。當使用若幹價格信息含量變量，同時加入管理私有信息和股價高估變量，這個結論仍然是穩健的。當決定股利政策時，管理人員似乎從股票價格中了解新的信息。這項研究強調了股價中的私有信息是股利政策的重要決定因素，并且豐富了金融市場真實影響研究方面的文獻。

關鍵詞：股利變更；股票價格信息含量；股票收益

Dividend changes and stock price informativeness

Amedeo De Cesari (Manchester Business School, University of Manchester), Winifred Huang-Meier (Essex Business School, University of Essex)

ABSTRACT

We investigate how private information in stock prices impacts quarterly dividend changes. We find that the positive relationship between past returns and current dividend changes strengthens when returns convey more private information. This finding is robust to the use of several price informativeness measures and the inclusion of managerial private information and stock overvaluation measures. Managers seem to learn new information from stock prices that they use when deciding on their dividend policy. This study highlights private information in stock prices as an important determinant of dividend policy and contributes to the literature on the real effects of financial markets.

Keywords: Dividend changes; Stock price informativeness; Stock returns

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0929119915000942

翻譯：熊進宗