The information signaling hypothesis of dividends: Evidence from cointegration and causality tests

Journal of Business Finance and Accounting

Volumn 30, Issue 3-4, 2003, Pages 441-478

  Mougoué, Mbodja ^a   Rao, Ramesh P ^b  

^a WAYNE STATE UNIVERSITY   (United States)

^b OKLAHOMA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 27844500448     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.t01-1-00004     Document Type: Article

References (64)

1. Aharony, J. and I. Swary (1980), 'Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis', Journal of Finance, Vol. 35, No. 1 (March), pp. 1-12.
2. Akaike, H. (1969), 'Fitting Autoregressions for Prediction', Annals of the Institute of Statistical Mathematics, Vol. 21, pp. 243-47.
3. Ambarish, R., K. John and J. Williams (1987), 'Efficient Signalling with Dividends and Investments', Journal of Finance, Vol. 42, No. 2 (June), pp. 321-43.
4. Ang, J. (1975), 'Dividend Policy: Informational Content or Partial Adjustment?' Review of Economics and Statistics, Vol. 57, No. 1 (February), pp. 65-70.
5. (1987), 'Do Dividends Matter? A Review of Corporate Dividend Theories and Evidence', Monograph Series in Finance and Economics, Monograph 1987-2 (New York: New York University, Graduate School of Business Administration).
6. Asquith, P. and D.W. Mullins Jr. (1986), 'Signalling with Dividends, Stock Repurchases, and Equity Issues', Financial Management, Vol. 15, No. 3 (Autumn), pp. 27-44.
7. Atiase, R. (1985), 'Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements', Journal of Accounting Research, Vol. 23, No.1 (Spring), pp. 21-36.
8. Bajaj, M. and A.M. Vijh (1990), 'Dividend Clienteles and the Information Content of Dividend Changes', Journal of Financial Economics, Vol. 26, No. 2 (August), pp. 193-219.
9. Bar-Yosef, S. and L. Huffman (1986), 'The Information Content of Dividends: A Signalling Approach', Journal of Financial and Quantitative Analysis, Vol. 21, No. 1 (March), pp. 47-58.
10. Bathala, C., O.D. Bowlin and R.P. Rao (1995), 'Debt Structure, Insider Ownership, and Dividend Policy: A Test of the Substitutability Hypothesis', Research In Finance, Vol. 13, pp. 237-60.
11. Benartzi, S., R. Michaely and R. Thaler (1997), 'Do Changes in Dividends Signal the Future or the Past', Journal of Finance, Vol. 52, No. 3 ( July), pp. 1007-34.
12. Benesh, G.A., A.J. Keown and J.M. Pinkerton (1984), 'An Examination of Market Reaction to Substantial Shifts in Dividend Policy', Journal of Financial Research, Vol. 7, No. 2 (Summer), pp. 131-40.
13. Bhandari, L.C. (1988), 'Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence', Journal of Finance, Vol. 43, No. 2 (June), pp. 507-28.
14. Bhardwaj, R.K. and L.D. Brooks (1992), 'The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias', Journal of Finance, Vol. 47, No. 2 (June), pp. 553-76.
15. Bhattacharya, S. (1979), 'Imperfect Information, Dividend Policy, and the "Bird in the Hand" Fallacy', Bell Journal of Economics, Vol. 10 (Spring), pp. 259-70.
16. Charest, G. (1978), 'Dividend Information, Stock Returns, and Market Efficiency', Journal of Financial Economics, Vol. 6, No. 2/3 (June-September), pp. 297-330.
17. Dann, L.Y. (1981), 'Common Stock Repurchases: An Analysis of Returns to Bondholders and Stockholders', Journal of Financial Economics, Vol. 9, No. 2 (June), pp. 113-38.
18. DeAngelo, H., L. DeAngelo and D.J. Skinner (1992), 'Dividends and Losses, ' Journal of Finance, Vol. 47, No. 5 (December), pp. 1837-63.
19. Denis, D.J., D.K. Dennis and A. Sarin (1994), 'The Information Content of Dividend Changes: Cash Flow Signaling, Overinvestment, and Dividend Clienteles', Journal of Financial and Quantitative Analysis, Vol. 29, No. 4 (December), pp. 567-87.
20. Dickey, D.A. and W.A. Fuller (1979), 'Distribution of the Estimators for Autoregressive Time Series with a Unit Root', Journal of the American Statistical Association, Vol. 74 (June), pp. 427-31.
21. Dielman, T. and H. Oppenheimer (1984), 'An Examination of Investor Behavior During Periods of Large Dividend Changes', Journal of Financial and Quantitative Analysis, Vol. 19, No. 2 (June), pp. 197-216.
22. Eades, K. (1982), 'Empirical Evidence on Dividends as a Signal of Firm Value', Journal of Financial and Quantitative Analysis, Vol. 17, No. 4 (November), pp. 471-500.
23. Easterbrook, F.H. (1984), 'Two Agency-Cost Explanations of Dividends', American Economic Review, Vol. 74, pp. 650-59.
24. Engle, R.F. and C.W.J. Granger (1987), 'Co-Integration and Error Correction: Representation, Estimation, and Testing', Econometrica, Vol. 55 (March), pp. 251-76.
25. and B.S. Yoo (1987), 'Forecasting and Testing in Cointegrated Systems', Journal of Econometrics, Vol. 35, pp. 143-59.
26. Fama, E. and H. Babiak (1968), 'Dividend Policy: An Empirical Analysis', Journal of the American Statistical Association, Vol. 63 (December), pp. 1132-61.
27. and K.R. French (1992), 'The Cross-Section of Expected Stock Returns', Journal of Finance, Vol. 47, No. 2 (June), pp. 427-65.
28. Freeman, R. (1987), 'The Association Between Accounting Earnings and Security Returns for Large and Small Firms', Journal of Accounting and Economics, Vol. 9, No. 2 (July), pp. 195-228.
29. Garrett, I. and R. Priestley (2000), 'Dividend Behavior and Dividend Signaling', Journal of Financial and Quantitative Analysis, Vol. 35, No. 2 (June), pp. 173-89.
30. Geweke, J. and R. Meese (1981), 'Estimating Regression Models of Finite but Unknown Order', International Economic Review (February), pp. 55-70.
31. Ghosh, C. and J.R. Woolridge (1988), 'An Analysis of Shareholder Reaction to Dividend Cuts and Omissions', Journal of Financial Research, Vol. 11, No. 4 (Winter), pp. 281-94.
32. Gonedes, N.J. (1978), 'Corporate Signaling, External Accounting, and Capital Market Equilibrium: Evidence on Dividends, Income and Extraordinary Items', Journal of Accounting Research, Vol. 16, No. 1 (Spring), pp. 26-79.
33. Granger, C.W.J. (1969), 'Investigating Causal Relations by Econometric Models and Cross-Spectral Methods', Econometrica, Vol. 37, pp. 424-38.
34. Hakansson, N.H. (1982), 'To Pay or Not to Pay Dividends', Journal of Finance, Vol. 37, No. 2 (June), pp. 415-28.
35. Hakkio, C.S. and M. Rush (1991), 'Cointegration: How Short is the Long Run?', Journal of International Money and Finance, Vol. 10, pp. 571-81.
36. Haw, I. and W. Kim (1991), 'Firm Size and Dividend Announcement Effects', Journal of Accounting, Auditing and Finance, Vol. 6, No. 3 (Summer), pp. 325-47.
37. Healy, P.M. and K.G. Palepu (1988), 'Earnings Information Conveyed by Dividend Initiations and Omissions', Journal of Financial Economics, Vol. 21, No. 2 (September), pp. 149-75.
38. Jensen, G.R. and J.M. Johnson (1995), 'The Dynamics of Corporate Dividend Reductions', Financial Management, Vol. 24, No. 4 (Winter), pp. 31-51.
39. D.P. Solberg and T.S. Zorn (1992), 'Simultaneous Determination of Insider Ownership, Debt and Dividend Policies', Journal of Financial and Quantitative Analysis, Vol. 27, No. 2 (June), pp. 247-64.
40. John, K. and J. Williams (1985), 'Dividends, Dilution and Taxes: A Signalling Equilibrium', Journal of Finance, Vol. 40, No. 4 (September), pp. 1053-70.
41. Kalay, A. (1980), 'Signalling, Information Content, and the Reluctance to Cut Dividends', Journal of Financial and Quantitative Analysis, Vol. 15, No. 4 (November), pp. 855-70.
42. Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin (1992), 'Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root', Journal of Econometrics, Vol. 54, pp. 159-78.
43. Lang, L.H.P. and R.H. Litzenberger (1989), 'Dividend Announcements: Cash Flow Signalling vs. Free Cash Flow Hypothesis?', Journal of Financial Economics, Vol. 24, No. 1 (September), pp. 181-91.
44. Laub, P.M. (1972), 'Some Aspects of the Aggregation Problem in the Dividend Earnings Relationship', Journal of the American Statistical Association, Vol. 67 (September), pp. 552-59.
45. Lintner, J. (1956), 'Distribution of Incomes of Corporations Among Dividends, Retained Earnings and Taxes', American Economic Review, Vol. 46 (May), pp. 97-113.
46. Lobo, G. and A. Mahmoud (1989), 'Relationship Between Differential Amounts of Prior Information and Security Return Variability', Journal of Accounting Research, Vol. 27, No. 1 (Spring), pp. 116-34.
47. Masulis, R.W. (1983), 'The Impact of Capital Structure Change on Firm Value: Some Estimates', Journal of Finance, Vol. 38, No. 1 (March), pp. 107-26.
48. Miller, M.H. (1986) 'Behavioral Rationality in Finance: The Case of Dividends', Journal of Business, Vol. 59, No. 4, Part 2, pp. S451-68.
49. and F. Modigliani (1961), 'Dividend Policy, Growth, and the Valuation of Shares', Journal of Business, Vol. 34, No. 4 (October), pp. 411-33.
50. and K. Rock (1985), 'Dividend Policy Under Asymmetric Information', Journal of Finance, Vol. 40, No. 4 (September), pp. 1031-51.
51. Ofer, A.R. and D.R. Siegel (1987), 'Corporate Financial Policy, Information, and Market Expectations: An Empirical Investigation of Dividends', Journal of Finance, Vol. 42, No. 4 (September), pp. 889-911.
52. Ofer, A.R. and A.C. Thakor (1987), 'A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods: Stock Repurchases and Dividends', Journal of Finance, Vol. 42, No. 2 (June), pp. 365-94.
53. Park, J.Y. and J. Sung (1994), 'Testing for Unit Roots in Models with Structural Change', Economic Theory, Vol. 10, pp. 917-36.
54. Penman, S.H. (1983), 'The Predictive Content of Earnings Forecasts and Dividends', Journal of Finance, Vol. 38, No. 4 (September), pp. 1181-99.
55. Perron, P. (1989), 'The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis', Econometrica, Vol. 57 (September), pp. 1361-401.
56. Pettit, R.R. (1976), 'The Impact of Dividend and Earnings Announcements: A Reconciliation', Journal of Business, Vol. 49, No. 1 ( January), pp. 86-96.
57. Phillips, P.C.B. and P. Perron (1988), Testing for a Unit Root in Time Series Regression', Biometrika, Vol. 75, pp. 335-46.
58. Riding, A. (1984), 'The Information Content of Dividends: Another Test', Journal of Business Finance & Accounting, Vol. 11, No. 2 (Summer), pp. 163-76.
59. Ross, S. (1977), 'The Determination of Financial Structure: The Incentive Signaling Approach', Bell Journal of Economics, Vol. 8 (Spring), pp. 23-40.
60. Rozeff, M.S. (1982), 'Growth, Beta, and Agency Costs as Determinants of Dividend Payout Ratios', Journal of Financial Research, Vol. 5, No. 3 (Fall), pp. 249-59.
61. Schwarz, G. (1978), 'Estimating the Dimension of a Model', The Annals of Statistics, Vol. 6, pp. 461-64.
62. Sims, C.A. (1988), 'Bayesian Skepticism on Unit Root Econometrics', Journal of Economic Dynamics and Control, Vol. 12, pp. 463-74.
63. Spence, A.M. (1974), 'Competitive and Optimal Responses to Signals: Analysis of Efficiency and Distribution', Journal of Economic Theory, Vol. 7 (March), pp. 296-332.
64. Watts, R. (1973), 'The Informational Content of Dividends', Journal of Business, Vol. 46, No. 2 (April), pp. 191-211.