CHINA FINANCIAL RESEARCH NETWORK
2012-05-22 第4卷 第2期
The Australian National UniversitySchool of Finance and Applied Statistics
Vienna University of TechnologyVienna University of Technology
Xi He The Australian National UniversitySchool of Finance and Applied Statistics
The Chinese market is characterized by state-controlled and closely held firms as well as significant differences in economic development and legal structures at the provincial level and corporate regulations that require firms seeking external financing to show a history of dividend payment. Using a sample of listed Chinese firms, we investigate the likelihood of paying dividends, different forms of dividends and market reactions to various dividend announcements. We find that profitable, low leverage, high cash holding, stronger shareholder protection firms, and those firms with state ownership prior to listing and undertaking subsequent equity offerings are more likely to pay dividends and cash dividends, in particular. Firms appear to cater to investor demands in setting dividend policy; hence firms with a large proportion of non-tradable shares are more likely to pay cash dividends. Consistent with the use of stock dividends to attract the attention of analysts, we also find that growing firms with high levels of retained earnings and greater investment in fixed assets pay stock dividends and these firms’ dividend announcements are associated with significant positive market reactions and increased analyst following.
Thomas Dangl Vienna University of TechnologyVienna University of Technology
We provide empirical evidence and a theoretical explanation for the asymmetries of capital growth rate at the firm level and in the aggregate. Capital growth rate at the firm level is positively skewed, while the average capital growth rate across firms, as well as its slope, is negatively skewed. We develop a model of irreversible corporate investment that can reconcile these opposite patterns. The key to our model is that firms do not observe the true state of economy and have to infer it from noisy signals. The time-varying uncertainty in the learning process leads to variations in the option value of waiting, which causes many firms to react to bad signals arriving in good times, and few firms to react to good signals arriving in bad times. As a result, the capital growth rate at the aggregate level exhibits a negative skewness both in levels and in the slope, even though irreversibility causes positive skewness at the individual firm level.
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