Abstract
We study the influence on firm risks of NASDAQ and NYSE firm payout initiations and omissions. These payout events can be interpreted as managerial signals of firm financial life-cycle maturation resulting in concomitant changes in firm risks. We remove confounding payout types and we match on the propensity to initiate or omit informed by determinants of payout known to investors in advance. For payout event and matched firms, we apply the difference-in-differences method to estimate the effect of the information content of actual initiations and omissions on firm risks. We find consistent significant declines in total, aggregate systematic, and idiosyncratic firm risks after cash dividend initiations and increases after dividend omissions, but only incidentally after share repurchase initiations and omissions.
| Original language | English |
|---|---|
| Pages (from-to) | 222-229 |
| Number of pages | 8 |
| Journal | Journal of Econometrics |
| Volume | 183 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2014 |
Bibliographical note
Publisher Copyright:© 2014 Elsevier B.V. All rights reserved.
Keywords
- Dividends
- Idiosyncratic risk
- Initiations
- Omissions
- Repurchases
- Self-selection
- Systematic firm risks
- Total risk
ASJC Scopus subject areas
- Economics and Econometrics