THREE ESSAYS IN DIVIDEND POLICY (TAX REFORMS, SIGNALLING).

摘要

This dissertation focuses on three leading theoretical and empirical issues in the anomaly of dividend policy. The first essay analyzes the explanatory power of the various theories of dividend determinants, many of which have not been tested yet. In this essay, time-series cross-sectional tests are undertaken using individual firm data, while the structural vector autoregressive (VAR) methodology is applied to the aggregate data.; The second essay proposes an alternative approach to the ex-dividend anomalies that fully incorporates both the tax-effect hypothesis and the short-term trading hypothesis. This approach draws on normative portfolio selection models to examine the relationships between the ex-dividend anomalies and the ex-post portfolio choice in the context of the 1984 and 1986 federal tax reforms.; The third essay tests signalling equilibrium models empirically. In this essay, tests are conducted to provide statistical evidence of the empirical validity of dividend signalling models. Empirical validation of the notion of a signalling equilibrium is examined for a sample of dividend-paying firms selected from the NYSE and AMEX.