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- Publisher Website: 10.1016/j.jfineco.2020.08.013
- Scopus: eid_2-s2.0-85090058076
- WOS: WOS:000608118900004
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Article: Signaling safety
Title | Signaling safety |
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Authors | |
Keywords | Cash-flow volatility Dividends Payout policy Signaling model |
Issue Date | 2021 |
Citation | Journal of Financial Economics, 2021, v. 139, n. 2, p. 405-427 How to Cite? |
Abstract | Contrary to signaling models’ central predictions, changes in the level of cash flows do not empirically follow changes in dividends. We use the Campbell (1991) decomposition to construct cash-flow and discount-rate news from returns and find the following: (1) both dividend changes and repurchase announcements signal changes in cash-flow volatility (in opposite directions); (2) larger cash-flow volatility changes come with larger announcement returns; and (3) neither discount-rate news, nor the level of cash-flow news, nor total stock return volatility change following dividend changes. We conclude cash-flow news—and not discount-rate news—drive payout policy, and payout policy conveys information about future cash-flow volatility. |
Persistent Identifier | http://hdl.handle.net/10722/326237 |
ISSN | 2023 Impact Factor: 10.4 2023 SCImago Journal Rankings: 13.655 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Michaely, Roni | - |
dc.contributor.author | Rossi, Stefano | - |
dc.contributor.author | Weber, Michael | - |
dc.date.accessioned | 2023-03-09T09:59:07Z | - |
dc.date.available | 2023-03-09T09:59:07Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Financial Economics, 2021, v. 139, n. 2, p. 405-427 | - |
dc.identifier.issn | 0304-405X | - |
dc.identifier.uri | http://hdl.handle.net/10722/326237 | - |
dc.description.abstract | Contrary to signaling models’ central predictions, changes in the level of cash flows do not empirically follow changes in dividends. We use the Campbell (1991) decomposition to construct cash-flow and discount-rate news from returns and find the following: (1) both dividend changes and repurchase announcements signal changes in cash-flow volatility (in opposite directions); (2) larger cash-flow volatility changes come with larger announcement returns; and (3) neither discount-rate news, nor the level of cash-flow news, nor total stock return volatility change following dividend changes. We conclude cash-flow news—and not discount-rate news—drive payout policy, and payout policy conveys information about future cash-flow volatility. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.subject | Cash-flow volatility | - |
dc.subject | Dividends | - |
dc.subject | Payout policy | - |
dc.subject | Signaling model | - |
dc.title | Signaling safety | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jfineco.2020.08.013 | - |
dc.identifier.scopus | eid_2-s2.0-85090058076 | - |
dc.identifier.volume | 139 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 405 | - |
dc.identifier.epage | 427 | - |
dc.identifier.isi | WOS:000608118900004 | - |