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

首次股利、增加公告和特质波动率

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

摘要：我们从三个方面检验了首次股利、增加公告和特质波动率的关系。首先，和股利的信号效应一致，我们发现有着更高特质波动率的企业在首次发放或者增加股利时有更好的公告超额收益。其次，平均来看，公司在伴随着公告和长期超额收益的首次发放股利后会经历后续的特质波动率的降低。最后，有着高特质波动率的公司通常和较强的正向事件后收益率漂移联系在一起。

关键词： 股利，信号，信息不对称，波动，特质波动率

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

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

翻译：田佳琪