Sustainable growth rate,optimal growth rate,and optimal payout ratio: A joint optimization approach |
| |
Authors: | Hong-Yi Chen Manak C. Gupta Alice C. Lee Cheng-Few Lee |
| |
Affiliation: | 1. Department of Finance, National Central University, 300 Jhongda Road, Jhongli City, Taoyuan 32001, Taiwan;2. Department of Finance, Temple University, 1891 Liacouras Walk, Philadelphia, PA 19122, USA;3. State Street, 1 Lincoln Street, Boston, MA 02155, USA;4. Department of Finance and Economics, Rutgers University, Janice H. Levin Building, Rockefeller Road, Piscataway, NJ 08854, USA;5. Department of Banking and Finance, Kainan University, 1 Kainan Road, Luzhu Shiang, Taoyuan 33857, Taiwan |
| |
Abstract: | This study investigates the investment decision and dividend policy jointly from a non-steady state to a steady state. We extend , and sustainable growth rate model and develop a dynamic model which jointly optimizes the growth rate and payout ratio. We optimize the firm value to obtain the optimal growth rate in terms of a logistic equation and find that the steady state growth rate can be used as the benchmark for the mean-reverting process of the optimal growth rate. We also investigate the specification error of the mean and variance of dividend per share when introducing the stochastic growth rate. Empirical results support the mean-reverting process of the growth rate and the importance of covariance between the profitability and the growth rate in determining dividend payouts. The intertemporal behavior of the covariance may shed some light on the fact of disappearing dividends over decades. |
| |
Keywords: | C10 G35 |
本文献已被 ScienceDirect 等数据库收录! |
|