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Bayesian analysis of the dividend behaviour

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  • Ho-Chuan River Huang

Abstract

In contrast to conventional setup, a type 2 Tobit model is proposed to characterize the dividend behaviour. In the model, the selection regression determines whether a company would pay dividends whereas the output regression decides how much dividend a company will pay given that the company has decided to pay dividends. This modelling allows for the possibility that these two decisions might be affected by different variables and a given variable might influence each of the two decisions differently. Estimation is carried out via the Gibbs sampler with data augmentation algorithm which has been shown to be conceptually easy as well as computationally feasible and provides exact small sample properties.

Suggested Citation

  • Ho-Chuan River Huang, 2001. "Bayesian analysis of the dividend behaviour," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 333-339.
    • Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:333-339
    DOI: 10.1080/096031001300138735
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    References listed on IDEAS

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    1. Kim, Byeong Soo & Maddala, G S, 1992. "Estimation and Specification Analysis of Models of Dividend Behavior Based on Censored Panel Data," Empirical Economics, Springer, vol. 17(1), pages 111-124.
    2. Scollnik, David P. M., 1993. "A Bayesian analysis of a simultaneous equations model for insurance rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 265-286, June.
    3. Kai, Li, 1998. "Bayesian inference in a simultaneous equation model with limited dependent variables," Journal of Econometrics, Elsevier, vol. 85(2), pages 387-400, August.
    4. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
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    1. Xuan Minh Nguyen & Quoc Trung Tran, 2016. "Dividend Smoothing and Signaling Under the Impact of the Global Financial Crisis: A Comparison of US and Southeast Asian Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(11), pages 118-123, November.
    2. Xuan Nguyen & Quoc Trung Tran, 2016. "Dividend Smoothing and Signaling Under the Impact of the Global Financial Crisis: A Comparison of US and Southeast Asian Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(11), pages 118-118, November.
    3. Lee, King Fuei, 2010. "Retail minority shareholders and corporate reputation as determinant of dividend policy in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 351-368, September.
    4. Tran, Quoc Trung & Alphonse, Pascal & Nguyen, Xuan Minh, 2017. "Dividend policy: Shareholder rights and creditor rights under the impact of the global financial crisis," Economic Modelling, Elsevier, vol. 64(C), pages 502-512.
    5. Al-Malkawi, Husam-Aldin Nizar & Ishaq Bhatti, M., 2020. "Are tests of dividend policy robust to estimation techniques: The case of an emerging economy?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    6. Al-Malkawi, Husam-Aldin Nizar & Bhatti, M. Ishaq & Magableh, Sohail I., 2014. "On the dividend smoothing, signaling and the global financial crisis," Economic Modelling, Elsevier, vol. 42(C), pages 159-165.

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