Dividend smoothing and predictability / Long Chen in Management science, Vol. 58 N° 10 (Octobre 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1834-1853 Titre : Dividend smoothing and predictability Type de document : texte imprimé Auteurs : Long Chen, Auteur ; Zhi Da, Auteur ; Richard Priestley, Auteur Année de publication : 2012 Article en page(s) : pp. 1834-1853 Note générale : Management Langues : Anglais (eng) Mots-clés : Dividend-price ratio Earning-price Dividend growth Earnings Return Predictability smoothing Résumé : The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend growth predictability in the postwar period does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing—net payout and earnings—we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1834.abstract [article] Dividend smoothing and predictability [texte imprimé] / Long Chen, Auteur ; Zhi Da, Auteur ; Richard Priestley, Auteur . - 2012 . - pp. 1834-1853. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 10 (Octobre 2012) . - pp. 1834-1853 Mots-clés : Dividend-price ratio Earning-price Dividend growth Earnings Return Predictability smoothing Résumé : The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend growth predictability in the postwar period does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing—net payout and earnings—we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/10/1834.abstract

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