【本期主题】Dividend Smoothing and Predictability
The relative predictability of returns and dividends is a central issue since it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing,as a choice of corporate policy, a ects predictability. We show that, even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability in a nite sample. We further show that aggregate dividends are dramatically more smoothed in th postwar period than before. Therefore, the lack of dividend growth predictability in the postwar period,as widely documented in the literature, does not necessarily mean that there is no cash ow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed.Using two alternative measures that are less subject to dividend smoothing—net payout and earnings—we reach the consistent conclusion that cash ow news plays a more important role than discount rate news in price variations in the postwar period. Our take-away messages are that (i) dividend smoothing can severely a ect dividend predictability in a nite sample, (ii) there is signi cant cash ow news in stock price variations, and (iii) when smoothed, dividends do not represent well the outlook of future cash ows.
【报告人】陈龙 圣路易斯华盛顿大学奥林商学院金融系副教授
长江商学院访问副教授
【时 间】5月11日中午12:00
【地 点】中国人民大学明德主楼714
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报告人简介：陈龙博士于2001年获得多伦多大学金融学博士学位。他现任圣路易斯华盛顿大学奥林商学院金融系副教授。此前，他曾在密歇根州立大学担任助理教授。他的研究兴趣包括资产定价、流动性风险、信用风险以及企业融资决策。他在许多金融学顶尖期刊上发表过文章，包括Review of Financial Studies, Journal of Finance, Journal of Financial Economics等。
汉青经济与金融高级研究院
二零一一年五月五日
