Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns

doi:10.1080/10835547.2022.2079215

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/122925

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题名:	Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns
作者:	Chiou, J.R.;Huang, G.C.;Liano, K.;Pan, M.S.
关键词:	REIT dividend changes;managerial signal;firm-specific information;industry-level information
日期:	2022-07-20
上传时间:	2023-04-28 16:26:47 (UTC+8)
出版者:	Taylor & Francis Group
摘要:	This study examines the firm-specific and industry-level effects of dividend announcements by equity real estate investment trusts (REITs). Using stock returns to measure the information impounded in stock prices from dividend announcements, we decompose stock returns into three return components: firm-specific, industry-level, and market-wide. This decomposition allows us to examine the relative importance of the firm-specific and industry-level information contained in dividend announcements. We find that the market reaction to equity REIT dividend changes is mainly driven by the firm-specific return component. We also find that equity REIT managers are more likely to cut (raise) dividend payments when the stock price reveals less (more) firm-specific information. Moreover, the managerial dividend signal can explain the announcement-period firm-specific abnormal return but not the industry-wide abnormal return, suggesting that the managerial dividend signal conveys mainly firm-specific information.
關聯:	Journal of Real Estate Portfolio Management 28(1)
DOI:	10.1080/10835547.2022.2079215
显示于类别:	[財務金融學系暨研究所] 期刊論文

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