Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns
學年 110
學期 2
出版（發表）日期 2022-07-20
作品名稱 Are REIT Dividend Changes a Firm-Specific or an Industry-Level Signal? Evidence From the Decomposition of Stock Returns
作品名稱（其他語言）
著者 Chiou J.R.; Huang G.C.; Liano K.; Pan M.S.
單位
出版者
著錄名稱、卷期、頁數 Journal of Real Estate Portfolio Management 28(1)
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.
關鍵字 REIT dividend changes;managerial signal;firm-specific information;industry-level information
語言 en
ISSN 1083-5547;2691-1205
期刊性質 國外
收錄於 Scopus
產學合作
通訊作者 Pan, Ming-Shiun
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122925 )