Dividend Multifactor Process, Long-run Risk and Payout Ratios [r-libre/1574]

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. 10.1504/AJFA.2015.072597

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Catégorie de document :	Articles de revues
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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