Communicating Private Information to the Equity Market before a Dividend Cut: An Empirical Analysis

2013 ◽  
Author(s):  
Thomas J. Chemmanur ◽  
Xuan Tian
Keyword(s):  
Empirical Analysis ◽  
Private Information ◽  
Equity Market

Communicating Private Information to the Equity Market Before a Dividend Cut: An Empirical Analysis

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1167-1199 ◽  
Author(s):  
Thomas J. Chemmanur ◽  
Xuan Tian
Keyword(s):  
Empirical Analysis ◽  
Private Information ◽  
Stock Return ◽  
Equity Market ◽  
Return Volatility ◽  
Reduction Theory ◽  
Data Set ◽  
Stock Return Volatility ◽  
Empirical Results ◽  
Alternative Theories

AbstractThis paper presents the first empirical analysis of the choice of firms regarding whether to release private information (“prepare the market”) in advance of a possible dividend cut and the consequences of such market preparation. We use a hand-collected data set of dividend cutting firms, which allows us to distinguish between prepared and nonprepared dividend cutters and to test the implications of two alternative theories: the “signaling through market preparation” theory and the “stock return volatility reduction” theory. We document several important differences between prepared and nonprepared dividend cutters. Overall, our empirical results are consistent with the signaling theory.

scholarly journals Active vs. Passive Funds—An Empirical Analysis of the German Equity Market

2019 ◽  
Vol 08 (02) ◽  
pp. 73-91 ◽  
Author(s):  
Ernst J. Fahling ◽  
Elmar Steurer ◽  
Sven Sauer
Keyword(s):  
Empirical Analysis ◽  
Equity Market

scholarly journals When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance

2021 ◽  
Vol 2021 (063) ◽  
pp. 1-49
Author(s):  
Yacine Aït-Sahalia ◽  
◽  
Felix Matthys ◽  
Emilio Osambela ◽  
Ronnie Sircar ◽  
...  
Keyword(s):  
Asset Pricing ◽  
Empirical Analysis ◽  
Asset Allocation ◽  
Equity Premium ◽  
Equity Market ◽  
Portfolio Performance ◽  
Market Return ◽  
Risk Free Rate ◽  
Free Rate ◽  
High Uncertainty

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty significantly improves portfolio performance, over and above the performance obtained by conditioning on volatility only.

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