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Dividend changes and stock price informativeness

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  • De Cesari, Amedeo
  • Huang-Meier, Winifred

Abstract

We investigate how private information in stock prices impacts quarterly dividend changes. We find that the positive relationship between past returns and current dividend changes strengthens when returns convey more private information. This finding is robust to the use of several price informativeness measures and the inclusion of managerial private information and stock overvaluation measures. Managers seem to learn new information from stock prices that they use when deciding on their dividend policy. This study highlights private information in stock prices as an important determinant of dividend policy and contributes to the literature on the real effects of financial markets.

Suggested Citation

  • De Cesari, Amedeo & Huang-Meier, Winifred, 2015. "Dividend changes and stock price informativeness," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 1-17.
    • Handle: RePEc:eee:corfin:v:35:y:2015:i:c:p:1-17
    DOI: 10.1016/j.jcorpfin.2015.08.004
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    7. Duo Xu & Christopher Gan & Zhaohua Li & Pengcheng Wang, 2021. "Earnings, Working Capital and Dividend Payout: Evidence from the London Stock Exchange," Annals of Economics and Finance, Society for AEF, vol. 22(2), pages 421-449, November.
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    9. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
    10. Hanaan Yaseen & Ruxandra Trifan, 2019. "The Impact of Dividend Events on Stock Returns: Findings on Companies Listed on the Bucharest Stock Exchange," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 11(2), pages 59-78, December.
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    13. Ed-Dafali, Slimane & Patel, Ritesh & Iqbal, Najaf, 2023. "A bibliometric review of dividend policy literature," Research in International Business and Finance, Elsevier, vol. 65(C).
    14. Rongrong Zhang, 2021. "Business strategy, stock price informativeness, and analyst coverage efficiency," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 27-50, January.
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    More about this item

    Keywords

    Dividend changes; Stock price informativeness; Stock returns;
    All these keywords.

    JEL classification:

    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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