AFA2019会议论文（29）：Payout

AFA2019会议论文（29）：Payout

金融经济学 今天

1.The Information Content of Dividends: Safer Profits, Not Higher Profits

Roni Michaely , Cornell University

Stefano Rossi , Bocconi University

Michael Weber , University of Chicago

Abstract

Contrary to the central predictions of signaling models, changes in profits do not empirically follow changes in dividends, and firms with the least need to signal pay the bulk of dividends. We show both theoretically and empirically that dividends signal safer, rather than higher, future profits. Using the Campbell (1991) decomposition, we are able to estimate expected cash flows from data on stock returns. Consistent with our model's predictions, cash-flow volatility changes in the opposite direction from that of dividend changes, and larger changes in volatility come with larger announcement returns. We find similar results for share repurchases. Crucially, the data support the prediction---unique to our model---that the cost of the signal is foregone investment opportunities. We conclude that payout policy conveys information about future cash-flow volatility.

原文链接：

https://www.nber.org/papers/w24237

2.Payout Taxation and Corporate Investment: The Agency Channel

Song Ma , Yale University

Abstract

This paper demonstrates a new agency channel through which payout taxation affects corporate investment. Lower payout taxes increase managers' cash flow right to the firm via managerial ownership, which further aligns shareholder-manager incentives but exacerbates managerial risk exposures to the firm. I develop a framework to test this channel and provide supporting evidence using a setting of innovation investments around the 2003 Dividend Tax Cut. Aligning incentives stimulates the innovation input and output. Aggravated managerial risk aversion impedes innovation quantity and also shifts innovation to safer and more incremental directions. I also explore underlying operational channels and interactive mechanisms.

原文链接：

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2833684

3.Investment Returns and Distribution Policies of Non-Profit Endowment Funds

Sandeep Dahiya , Georgetown University

David Yermack , New York University

Abstract

We present the first estimates of investment returns and distribution rates for U.S. non-profit endowment funds, based on a comprehensive sample of more than 28,000 organizations drawn from Internal Revenue Service filings for 2009-2016. Endowments badly underperform market benchmarks, with median annual returns 5.53 percentage points below a 60-40 mix of U.S. equity and Treasury bond indexes, and statistically significant alphas of -1.01% per year. Smaller endowments have less negative alphas than larger endowments, but all size classes significantly underperform. Higher education endowments, the majority of the $0.7 trillion asset class, do significantly worse than funds in other sectors. Distribution ratios are conservative, well below the funds’ long-run returns. Donors increase contributions when endowment returns are strong, with an elasticity of about 0.13 between net-of-market investment returns and new donations.

原文链接：

https://www.nber.org/papers/w25323

END