How Important are Dividend Signals in Assessing Earnings Persistence?
构建并检验了一个贝叶斯模型，揭示投资者在股利公告后如何修正对盈余持续性的预期，发现股利信号的信息含量不同会导致投资者修正呈现倒U形或U形模式。
ABSTRACT We build and test a Bayesian model that shows how investors revise their earnings persistence expectations after dividend announcements. When dividend changes confirm preceding earnings changes, our model predicts inverse u‐shaped investor revisions conditional on the prior expectations for noisy dividend signals. As the dividend signal becomes more informative, our model predicts that investor revisions will become more skewed converging to a monotonically decreasing relation for perfectly informative dividend signals. When dividend changes contradict preceding earnings changes, our model predicts u‐shaped investor revisions. In empirical tests, we find results generally consistent with our model predictions.