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Bergeron, Claude; Gueyie, Jean-Pierre et Sedzro, Komlan (2015). Dividend Multifactor Process, Long-run Risk and Payout Ratios. American Journal of Finance and Accounting, 4 (2), 172-191. https://doi.org/10.1504/AJFA.2015.072597
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| Catégorie de document : | Articles de revues |
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| Évaluation par un comité de lecture : | Oui |
| Étape de publication : | Publié |
| Résumé : | The purpose of this paper is to examine the theoretical relationship between the multidimensionality of risk and dividend policy, in an intertemporal context. After assuming that dividends are generated by a multifactor process, we use the fundamental framework of the consumption capital asset pricing model to explore the effect of long-run risk on dividend payout ratios (dividends divided by earnings). Our approach is similar to any multifactor model that, given the N factor process, derives useful equilibrium conditions. Our main result shows that the dividend payout ratio is negatively related to N sensitive coefficients, given by the long-run covariance between dividends and economic factors. This suggests that the multidimensionality of long-run consumption risk influences dividend policy. In brief, the model proposes that the target payout ratio can be determined with a simple and easy-to-apply formula that takes into account the long-run sensitivity of dividends to various economic factors. |
| Adresse de la version officielle : | https://www.inderscience.com/info/inarticle.php?ar... |
| Déposant: | Bergeron, Claude |
| Responsable : | Claude Bergeron |
| Dépôt : | 22 nov. 2018 15:32 |
| Dernière modification : | 22 nov. 2018 15:32 |
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