The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings
提出股利公告信息含量下降是“消失的股利”现象的原因，并发现机构持股越高，股利公告的累计异常回报率越低，机构投资者利用信息优势在股利增加前买入。
Abstract We propose an explanation for the “disappearing dividend” phenomenon: a decline in the information content of dividend announcements, which reduces the propensity of firms to use dividends as a costly signal. A reason for a decline in the information content of dividends is the rise in holdings by institutional investors that are more sophisticated and informed. Indeed, we find a decline in CAR at dividend change announcements since the mid–1970s. Across firms, CAR is a decreasing function of institutional holdings. Institutional investors exploit their superior information and buy before dividend increases. In addition, dividends are less likely to rise in firms with high institutional holdings.