Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model
构建了一个动态计量模型，研究新冠疫情期间企业暂停股息对行业日股息增长率均值、波动率和跳跃概率的影响，发现不同行业间存在显著差异。
Firms suspended dividend payments in unprecedented numbers in response to the outbreak of the Covid-19 pandemic. We develop a multivariate dynamic econometric model that allows dividend suspensions to affect the conditional mean, volatility, and jump probability of growth in daily industry-level dividends and demonstrate how the parameters of this model can be estimated using Bayesian Gibbs sampling methods. We find considerable heterogeneity across industries in the dynamics of daily dividend growth and the impact of dividend suspensions.