| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 107 === Whether dividends of companies have information contents, that is, whether dividend change can predict the change of future operating performance, is inconclusive in both domestic and foreign literature. On the other hand, prior studies have pointed out that investors will overestimate the company's future operating performance due to irrational optimism, so that the stock price may deviate from its reasonable level. Moreover, the manager could then cater to investors’ optimistic expectations and distribute more dividends. Therefore, this paper argues that if dividends have information contents, then it should be particularly obvious in the periods other than the high-sentiment period and among the firms whose stock prices are less sensitive to investor sentiment. In order to examine the validity of this argument, this paper employs both the pooled and the Fama-MacBeth cross-sectional regressions in conducting the empirical tests.
The preliminary empirical results show that the dividend changes of Taiwanese firms do not bear information contents. However, after controlling for investor sentiment, as expected, it reveals that dividend changes do possess information contents. But it occurs only in the case of dividend reduction and it is weakened when investor sentiment is higher. Finally, when the firm characteristics of stock price sensitivity to sentiment is controlled for, the results show that dividend reduction seems to have information contents among the less-sentiment-sensitive firms. Therefore, the empirical findings of this paper provide new insights for the inconclusive literature and help to resolve the dispute.
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