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

股利变更与股价信息含量

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

摘要：本文研究股票价格中的私有信息如何影响季度股利变化。我们发现，当收益传递更多的私有信息时，过去收益和当前股利变更之间的正相关关系加强。当使用若干价格信息含量变量，同时加入管理私有信息和股价高估变量，这个结论仍然是稳健的。当决定股利政策时，管理人员似乎从股票价格中了解新的信息。这项研究强调了股价中的私有信息是股利政策的重要决定因素，并且丰富了金融市场真实影响研究方面的文献。

关键词：股利变更；股票价格信息含量；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

原文链接：

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

翻译：熊进宗