THE JOURNAL OF CORPORATE FINANCE ·Volume 49, Oct 2016, Pages 47–60

首次股利、增加公告和特質波動率

作者：Bong Soo Lee, Nathan Mauck (Henry W. Bloch School of Management)

摘要：我們從三個方面檢驗了首次股利、增加公告和特質波動率的關系。首先，和股利的信号效應一緻，我們發現有着更高特質波動率的企業在首次發放或者增加股利時有更好的公告超額收益。其次，平均來看，公司在伴随着公告和長期超額收益的首次發放股利後會經曆後續的特質波動率的降低。最後，有着高特質波動率的公司通常和較強的正向事件後收益率漂移聯系在一起。

關鍵詞： 股利，信号，信息不對稱，波動，特質波動率

Dividend initiations, increases and idiosyncratic volatility

Bong Soo Lee, Nathan Mauck (Henry W. Bloch School of Management)

ABSTRACT

We examine three aspects of the relation between dividend initiation and increase announcements and idiosyncratic volatility. First, consistent with dividend signaling, we find that firms with higher levels of idiosyncratic volatility are associated with higher announcement abnormal returns when initiating or increasing dividends. Second, firms on average experience an ex post reduction in idiosyncratic volatility following dividend initiations that is associated with announcement and long-term abnormal returns. Finally, high idiosyncratic volatility firms are associated with stronger positive post event return drift.

Keywords: Dividends, Signaling, Information asymmetry, Volatility, Idiosyncratic volatility

原文鍊接：http://ac.els-cdn.com/S0929119916300864/1-s2.0-S0929119916300864-main.pdf?_tid=7567d67e-7043-11e6-8576-00000aacb361&acdnat=1472734751_30e169202f652a102dcc53c2cd00f67e

翻譯：田佳琪