The valuation effect of stock dividends or splits: Evidence from a catering perspective

We hypothesize that managers use stock dividends or splits to cater to gambling investors who are willing to pay a premium for stocks with lottery-like features. Using proprietary account-level trading records, we find that retail investors, particularly those with a strong gambling preference, become strong net buyers following the announcement of stock dividends, while professional investors unload their holdings. Moreover, we find that positive market reactions to stock dividends is positively associated with increases in gambling investors.     

股权再融资与企业现金分红

股权再融资往往意味着企业存在大量的融资需求,而实践中普遍存在的股权再融资后立即现金分红的现象有悖于募集资金的优序使用原则。基于此,本文从管理层自利视角出发,在对企业股权再融资后现金分红的行为偏好检验的基础上,进一步选取管理层薪酬增长率和企业股权质押活动作为管理层自利程度的代理变量,探索企业股权再融资后现金分红倾向的边界条件,为该行为背后的代理动机提供证明。基于2007~2017年所有A股上市公司样本,研究发现,企业的确存在股权再融资后立即现金分红的行为倾向;而较低的管理层薪酬增长率和企业股权质押活动会加剧企业股权融资对现金分红的促进作用。进一步研究发现,企业股权再融资活动会给现金分红带来消极的市场反应。上述研究结果表明,管理层自利是股权再融资的重要推动因素,而这一行为会给企业利益造成损害。     

上市公司发放现金股利的价值效应——基于委托代理问题视角的实证研究

现金股利发放反映了债权人、股东、管理者之间的利益分配关系,现金股利的价值效应受到委托代理问题的影响。采用2008—2017年沪深A股上市公司作为研究样本,在委托代理理论的分析框架下实证检验我国上市公司发放现金股利的价值效应。研究表明,发放现金股利可能会损害债权人利益,过度债务公司发放现金股利的价值效应较小,而债务不足公司发放现金股利的价值效应较大。基于管理者代理问题视角的研究发现,现金股利可以有效发挥降低管理者代理成本的作用,当管理者代理问题严重时公司发放现金股利的价值效应更大。基于控股股东代理问题视角的实证结果表明,现金股利可以作为替代性的治理机制约束控股股东行为,当控股股东代理问题严重时现金股利具有更高的价值效应。     

Who should sell stocks?

Never selling stocks is optimal for investors with a long horizon and a realistic range of preference and market parameters, if relative risk aversion, investment opportunities, proportional transaction costs, and dividend yields are constant. Such investors should buy stocks when their portfolio weight is too low and otherwise hold them, letting dividends rebalance to cash over time rather than selling. With capital gains taxes, this policy outperforms both static buy‐and‐hold and dynamic rebalancing strategies that account for transaction costs. Selling stocks becomes optimal if either their target weight is low or intermediate consumption is substantial.     

Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends

We investigate dynamical properties of a heterogeneous agent model with random dividends and further study the relationship between dynamical properties of the random model and those of the corresponding deterministic skeleton, which is obtained by setting the random dividends as their constant mean value. Based on our recent mathematical results, we prove the existence and stability of random fixed points as the perturbation intensity of random dividends is sufficiently small. Furthermore, we prove that the random fixed points converge almost surely to the corresponding fixed points of the deterministic skeleton as the perturbation intensity tends to zero. Moreover, simulations suggest similar behaviors in the case of more complicated attractors. Therefore, the corresponding deterministic skeleton is a good approximation of the random model with sufficiently small random perturbations of dividends. Given that dividends in real markets are generally very low, it is reasonable and significant to some extent to study the effects of heterogeneous agents’ behaviors on price fluctuations by the corresponding deterministic skeleton of the random model.     

中国上市公司现金股利支付可能性影响因素分析

关于现金股利,大多数文献只是对影响现金股利支付水平的因素进行研究,对现金股利支付可能性大小研究的尚不多。本文以我国上市公司为样本,实证分析了上市公司现金股利的支付特点及支付可能性的影响因素,研究发现,公司面临现金流的不确定性程度、所处周期、面临的投资机会等因素对公司股利支付的可能性有重要影响,最后提出了相应的政策建议。     

Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability

The conventional dividend–price ratio is highly persistent, and the literature reports mixed evidence on its role in predicting stock returns. We argue that the decreasing number of firms with a traditional dividend‐payout policy is responsible for these results, and develop a model in which the long‐run relationship between the dividends and stock price is time varying. An adjusted dividend–price ratio that accounts for the time‐varying long‐run relationship is considerably less persistent. Furthermore, the predictive regression model that employs the adjusted dividend–price ratio as a regressor outperforms the random‐walk model. These results are robust with respect to the firm size.     

Regulated absolute ruin problem with interest structure and linear dividend barrier

The uncontrolled surplus of an insurance company is a classical risk model. Now the risk model includes three features, namely debit interest, short-term and long-term invested interest, and linear dividend barrier. In this paper, the PDMP method and martingales are used for solvency studies in the risk model under regulation of minimum cash requirement. The integro-differential equations are derived for the expected discounted dividends under absolute ruin. In the case of exponential claim amounts, explicit expressions are obtained, as well as the numerical illustrations and their economic interpretation.     

Market illiquidity and bounds on European option prices

The paper analyses the impact of illiquidity of a stock paying no dividends on the pricing of European options written on that stock. In particular, it is shown how illiquidity generates price bounds on an option on this stock, even in the absence of other imperfections, such as transaction costs and trading constraints, or the assumption of stochastic volatility. Moreover, price bounds are shown to be asymmetric with respect to the option price under perfect liquidity. This fact explains, under some conditions, the appearance of a smile effect when the implied volatility is estimated from the mid-quote.     

Option Implied Dividends Predict Dividend Cuts: Evidence from the Financial Crisis

We employ the forward‐looking implied dividend information contained in option prices to predict dividend cuts and omissions during the recent financial crisis. The large number of dividend cuts and omissions during the 2008–09 financial crisis period provides the opportunity to study the predictability of dividend cuts in a controlled environment. Implied dividends and implied volatility, based on put–call parity and computed from put and call option prices, prove to be effective in predicting those cuts, especially compared to only using the equity market and accounting variables conventionally used for this purpose. Options‐derived variables (implied dividends and implied volatility) enhance the ability to identify firms more likely to reduce or omit dividend payments.