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An econometric analysis of dividends and share repurchases by US firms

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  • Alok Bhargava

Abstract

The paper analyses longitudinal Compustat data on dividend payments and share repurchases of over 2000 US industrial firms by using 2-yearly averages for the period 1992-2007. First, dynamic auto-regressive models for dividends and share repurchases were estimated by maximum likelihood to yield consistent and efficient estimates. Second, because firms pay dividends at different rates, comprehensive dynamic and static random-effects models for dividends were estimated. Third, models were estimated for share repurchases and the interrelationships between dividends and repurchases were investigated, tackling endogeneity issues. The results showed that dividend decisions are likely to precede those regarding share repurchases, and higher dividend payments decreased the magnitudes of repurchases; the effects of repurchases on dividends were generally insignificant. Copyright (c) 2010 Royal Statistical Society.

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  • Alok Bhargava, 2010. "An econometric analysis of dividends and share repurchases by US firms," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(3), pages 631-656.
    • Handle: RePEc:bla:jorssa:v:173:y:2010:i:3:p:631-656
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-985X.2010.00644.x
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    Cited by:

    1. Black, Bernard & de Carvalho, Antonio Gledson & Khanna, Vikramaditya & Kim, Woochan & Yurtoglu, Burcin, 2014. "Methods for multicountry studies of corporate governance: Evidence from the BRIKT countries," Journal of Econometrics, Elsevier, vol. 183(2), pages 230-240.
    2. von Eije, Henk & Goyal, Abhinav & Muckley, Cal B., 2014. "Does the information content of payout initiations and omissions influence firm risks?," Journal of Econometrics, Elsevier, vol. 183(2), pages 222-229.
    3. Onali, Enrico & Ginesti, Gianluca, 2015. "Sins of Omission in Value Relevance Empirical Studies," MPRA Paper 64265, University Library of Munich, Germany.
    4. Bhargava, Alok, 2014. "Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US," Journal of Econometrics, Elsevier, vol. 183(2), pages 241-250.

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