Dividend changes do not signal changes in future profitability

Journal of Business

Volumn 78, Issue 5, 2005, Pages 1659-1682

  Grullon, Gustave ^a   Michaely, Roni ^b   Benartzi, Shlomo ^c   Thaler, Richard H ^d  

^a RICE UNIVERSITY   (United States)

^b Department of Obstetrics Gynecology   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17544364418     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/431438     Document Type: Review

References (27)

1. Akgiray, V. 1989. Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts. Journal of Business 62 (January): 55-80.
2. Allen, F., and R. Michaely. 2003. Payout policy. In Handbook of the economics of finance, vol. 1A, ed. G. M. Constantinides, M. Harris, and R. Stulz. Amsterdam: North-Holland.
3. Barber, B. M., and J. D. Lyon. 1996. Detecting abnormal operating performance: The empirical power and specification of test statistics. Journal of Financial Economics 41 (July): 359-99.
4. Bhattacharya, S. 1979. Imperfect information, dividend policy, and "the bird in the hand" fallacy. Bell Journal of Economics 10 (Spring): 259-70.
5. Benartzi, S., R. Michaely, and R. H. Thaler. 1997. Do changes in dividends signal the future or the past? Journal of Finance 52 (July): 1007-34.
6. Brav, A., J. R. Graham, C. R. Harvey, and R. Michaely. 2003. Payout policy in the 21st century. Working paper. National Bureau of Economic Research, Cambridge, MA.
7. Brooks, L. D., and D. A. Buckmaster. 1976. Further evidence on the time series properties of accounting income. Journal of Finance 31 (December): 1359-73.
8. DeAngelo, H., L. DeAngelo, and D. J. Skinner. 1996. Reversal of fortune: Dividend signaling and the disappearance of sustained earnings growth. Journal of Financial Economics 40 (March): 341-71.
9. Elgers, P.T., and M.H. Lo. 1994. Reductions in analysts' annual earnings forecast errors using information in prior earnings and security returns. Journal of Accounting Research 32 (Autumn): 290-303.
10. Fama, E. F., and K. R. French. 2000. Forecasting profitability and earnings. Journal of Business 73 (April): 161-75.
11. Fama, E. F., and J. D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81 (May-June): 607-36.
12. Giacomini, R., and H. White. 2003. Tests of conditional predictive ability. Working paper, University of California, San Diego.
13. Gonedes, N.J. 1978. Corporate signaling, external accounting, and capital market equilibrium: Evidence on dividends, income, and extraordinary items. Journal of Accounting Research 16 (Spring): 26-79.
14. Graham, J. R. 1996. Is a group of economists better than one? than none? Journal of Business 69 (April): 193-232.
15. Grullon, G., R. Michaely, and B. Swaminathan. 2002. Are dividend changes a sign of firm maturity? Journal of Business 75 (July): 387-424.
16. Hansen, L. P., and R. J. Hodrick. 1980. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy 88 (October): 829-853.
17. John, K., and J. Williams. 1985. Dividends, dilution, and taxes: A signaling equilibrium. Journal of Finance 40 (September): 1053-70.
18. Keim, D. B., and R. F. Stambaugh. 1986. Predicting returns in the stock and bond markets. Journal of Financial Economics 17 (December): 357-90.
19. Kennedy, P. 1998. A guide to econometrics. 4th ed. Cambridge, MA: MIT Press.
20. Meese, R. A., and K. Rogoff. 1983. Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics 14 (February): 3-24.
21. Michaely, R., R. H. Thaler, and K. L. Womack. 1995. Price reactions to dividend initiations and omissions: Overreaction or drift? Journal of Finance 50 (June): 573-608.
22. Miller, M. H., and F. Modigliani. 1961. Dividend policy, growth, and the valuation of shares. Journal of Business 34 (October): 411-33.
23. Miller, M. H., and K. Rock. 1985. Dividend policy under asymmetric information. Journal of Finance 40 (September): 1031-51.
24. Nissim, D., and A. Ziv. 2001. Dividend changes and future profitability. Journal of Finance 56 (December): 2111-33.
25. Penman, S.H. 1983. The predictive content of earnings forecasts and dividends. Journal of Finance 38 (September): 1181-99.
26. Pesaran, M. H., and A. Timmermann. 1995. Predictability of stock returns: Robustness and economic significance. Journal of Finance 50 (September): 1201-28.
27. Watts, R. 1973. The information content of dividends. Journal of Business 46 (April): 191-211.