The Pricing of Dividends in Equity Valuation
The Pricing of Dividends in Equity Valuation
复制标题
股权估值中的股息定价
DOI：
10.2139/ssrn.169300
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发表时间：
1999
期刊：
影响因子：
--
通讯作者：
W. Landsman
中科院分区：
文献类型：
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作者：
John R. M. Hand;W. Landsman
摘要：本研究使用Ohlson（1995和2001）的基于会计的股权估值模型，对Rees（1997）和法马和French（1998）报告的股利定价为负的四种解释进行结构检验。首先，我们发现，股息不仅仅是一个代理的公开信息，有助于预测未来的异常收益。第二，尽管股息的作用就像是经理人关于未来盈利能力的私人信息的信号，但对于发出信号的动机较低的公司来说，股息仍然是积极的定价。第三，分红并不意味着管理层愿意避免产生代理成本。第四，然而，控制一年前实现的预测误差产生的股息定价是非常接近的股息位移。在表明股息不仅仅是分析师错误预测的代理之后，我们得出结论，股息似乎是正定价的，因为它们是投资者对当前收益或账面权益错误定价的代理。版权所有Blackwell Publishers Ltd，2005年。
Abstract: This study uses Ohlson's (1995 and 2001 ) accounting-based equity valuation model to structure tests of four explanations for the anomalously positive pricing of dividends reported by Rees (1997) and Fama and French (1998) . First, we find that dividends are not simply a proxy for publicly available information that helps predict future abnormal earnings. Second, although dividends act as if they signal managers' private information about future profitability, they remain positively priced for firms with low incentives to signal. Third, dividends do not signal management's willingness to abstain from incurring agency costs. Fourth, however, controlling for one-year-ahead realized forecast errors yields a pricing of dividends that is very close to that of dividend displacement. After showing that dividends are not simply a proxy for analysts' misforecasting, we conclude that dividends appear to be positively priced because they are a proxy for the mispricing by investors of current earnings or book equity. Copyright Blackwell Publishers Ltd, 2005.