Corporate Financial Policy, Information, and Market Expectations: An Empirical Investigation of Dividends
通过分析股价变动和盈利预测数据，发现分析师在意外股利变动公告后会修正盈利预测，且修正幅度与股利变动大小正相关，也与公告前后的股权价值变化正相关，支持股利信号假说。
ABSTRACT This paper documents a relationship between announcements of unexpected changes in financial policy and unexpected changes in performance of the firm. Using a new methodology that combines analysis of stock price movements and earnings forecast data, the authors provide evidence that analysts revise their earnings forecasts following the announcement of an unexpected dividend change by an amount positively related to the size of the unexpected dividend change. They also provide evidence that these revisions are positively related to the change in equity value surrounding the announcement. Further, they find that these revisions are consistent with rationality. Their results therefore provide direct evidence consistent with the hypothesis that unexpected dividend changes signal information about firm performance to market participants.