The Role of Earnings Information in Corporate Dividend Decisions
将会计盈利分解为永久性和暂时性成分，提出两种永久性盈利度量，并用于Marsh-Merton模型解释企业股利行为，发现基于会计盈利提取的永久性盈利比股价更能解释股利动态。
This paper examines the role of earnings information in the determination of dividend policy. We decompose accounting earnings into permanent and transitory components and postulate that dividend policy is driven by sustainable permanent earnings. Two measures of permanent earnings are proposed. The first is a permanent earnings variable extracted from accounting earnings by a random-level shift ARMA model. The second measure is stock price times cost of capital. These two permanent earnings measures are employed in the Marsh-Merton (1987) model to explain corporate dividend behavior and their performance is compared. A generalized friction method is adopted for empirical estimation to account for stepwise dividend movements over time. Results show that the permanent earnings measure extracted from accounting earnings data explains dividend dynamic behavior better than stock price.