O efeito da crise financeira na política de dividendos das empresas cotadas na Euronext Lisbon

Ana Rita Costa, Elisabete S. Vieira, Anabela Rocha

Resumo


Neste trabalho pretendemos analisar as reações do mercado português às variações dos dividendos, considerando igualmente a interação da variação dos dividendos com a variação dos resultados. Adicionalmente, estudamos o efeito da crise financeira nessas mesmas reações. Para tal, recorremos a uma amostra composta por empresas cotadas na Euronext Lisbon, que anunciaram a distribuição de dividendos entre 2006 e 2013.
Os nossos resultados não permitiram encontrar evidências da sinalização dos dividendos nas reações do mercado português. De acordo com estudos anteriores, verificámos que o mercado reage de maneira mais forte quando os dividendos e os resultados variam na mesma direção.
Finalmente, quanto ao fator crise, concluímos que o mercado reage mais às alterações dos dividendos e dos resultados quando se encontra num período de estabilidade económica.


Palavras-chave


dividendos; resultados; teoria da sinalização; reação do mercado; rendibilidade; crise financeira

Texto Completo:

PDF

Referências


AHARONY, J.; FALK, H.; SWARY, I. Information content of dividend increases: the case of regulated utilities. Journal of Business Finance & Accounting, v. 15, n.º 3, p. 401-414, 1988.

ALI, I; MUHAMMAD, N.; GOHAR, A. Do Firms Use Dividend Changes to Signal Future Earnings? An Investigation Based on Market Rationality. International Journal of Economics and Finance, v. 9, n.º 4, Publicado on-line, 2017.

ALMEIDA, L. A. G.; TAVARES, F. O.; PEREIRA, E. T. Determinants of Dividend Policy in Portugal. Revista Universo Contábil, v. 10, n.º 4, p. 162-181, 2014.

ANWAR, S.; SINGH,S.; JAIN, P. S.. Impact of Cash Dividend Announcements: Evidence from the Impact of Cash Dividend Announcements, v. 16, n.º 1, p. 29 -60, 2017.

ASQUITH, O.; MULLINS, D. The Impact of Initiating Dividend Payments on Shareholders’ Wealth. Journal of Business, v. 56, n.º 1, p. 77-96, 1983.

BAKER, M.; WURGLER, J. A catering theory of dividends. The Journal of Finance, v. 59, n.º 3, p. 1125-1165, 2004.

BENARTZI, S.; MICHAELY, R. O. N.; THALER, R. Do Changes in Dividends Signal the Future or the Past ? Journal of Finance, v. 52, n.º 3, p. 1007–1034, 1997.

BENARTZI, S.; GRULLON, G.; MICHAELY, R.; THALER, R. Dividend Changes do not Signal Changes in Future Profitability. Journal of Business, v. 78, n.º 5, p. 1659-1682, 2005.

BENZINHO, J. The dividend policy of the Portuguese corporations: evidence from Euronext Lisbon, Working Paper n.º 1137. Coimbra, 2004.

BERNARD, V. L.; THOMAS, J. K. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research, v. 27, n.º 3, p. 1-36, 1989.

BHATTACHARYA, S. Imperfect Information, Dividend Policy, and “the Bird in the Hand” Fallacy. The Bell Journal of Economics, v. 10, n.º 1, p. 259–270, 1979.

BORGES, M. R. The Ex-Dividend Day Stock Price Behavior: The Case of Portugal. Atlantic Economic Journal, v. 36, n.º 1, p. 15–30, 2008.

BOZOS, K.; NIKOLOPOULOS, K.; RAMGANDHI, G. Dividend signaling under economic adversity: Evidence from the London Stock Exchange. International Review of Financial Analysis, v. 20, n.º 5, p. 364-374, 2011.

BRAV, A.; GRAHAM, J. R.; HARVEY, C. R.; MICHAELY, R. Managerial Response to the May 2003 Dividend Tax Cut. Financial Management, v. 37, n.º 4, p. 611–624, 2008.

BRENNAN, M. Taxes, Market Valuation and Financial Policy. National Tax Journal, v. 23, n.º 4, p. 417–429, 1970.

BRICKLEY, J. A. Shareholder wealth, information signaling and the specially designated dividend. Journal of Financial Economics, v. 12, n.º 2, p. 187–209, 1983.

BROWN, N. C.; CHRISTENSEN, T. E.; ELLIOTT, W. B.; MERGENTHALER, R. D. Investor Sentiment and Pro Forma Earnings Disclosures. Journal of Accounting Research, v. 50, n.º 1, p. 1-40, 2012.

CHEN, G.; FIRTH, M.; GAO, N. The Information Content of Concurrently Announced Earnings, Cash Dividends, and Stock Dividends: An Investigation of the Chinese Stock Market. Journal of Internacional Financial Management & Accounting, v. 13, n.º 2, p. 101–124, 2002.

CHRISTIE, W. Are dividend omissions truly the cruelest cut of all? Journal of Financial and Quantitative Analysis, v. 29, n.º 3, p. 459-480, 1994.

CONROY, R. M.; EADES, K. M.; HARRIS, R. S. A Test of the Relative Pricing Effects of Dividends and Earnings: Evidence from Simultaneous Announcements in Japan. The Journal of Finance, v. 55, n.º 3, p. 1199-1227, 2000.

DEANGELO, H.; DEANGELO, L. Dividend policy and financial distress: An empirical investigation of troubled NYSE firms. The Journal of Finance, v. 45, n.º 5, p. 1415-1432, 1990.

DEANGELO, H.; DEANGELO, L.; SKINNER, D. Dividends and losses. The Journal of Finance, v. 47, n.º 5, p. 1837-1864, 1992.

DEANGELO, H.; DEANGELO, L.; SKINNER, D. Reversal of fortune dividend signaling and the disappearance of sustained earnings growth. Journal of Financial Economics, v. 40, n.º 3, p. 341-371, 1996.

DEANGELO, H.; DEANGELO, L.; SKINNER, D. J. Special dividends and the evolution of dividend signaling. Journal of Financial Economics, v. 57, p. 309-354, 2000.

EASTERBROOK, F. Two agency-cost explanations of dividends. The American Economic Review, v. 74, n.º 4, p. 650-659, 1984.

EASTON, S. Earnings and dividends: is there an interaction effect? Journal of Business Finance & Accounting, v. 18, n.º 2, p. 255-267, 1991.

EDDY, A.; SEIFERT, B. Stock price reactions to dividend and earnings announcements: Contemporaneous versus noncontemporaneous announcements. Journal of Financial Research, v. 15, n.º 3, p. 207-218, 1992.

EISDORFER, A. The Importance of Cash-Flow News for financially distressed firms. Financial Management, v. 36, n.º 3, p. 33-48, 2007.

ELTON, E. J.; GRUBER, M. J. Marginal Stockholder Tax Rates and the Clientele Effect. Review of Economics and Statistics, v. 52, n.º 1, p. 68-75, 1970.

FARRAR, D.; SELWYN, L. Taxes, Corporate Financial Policy and Return to Investors. National Tax Journal, v. 20, n.º 4, p. 443-454, 1967.

FULLER, K.; GOLDSTEIN, M. Do dividends matter more in declining markets? Journal of Corporate Finance, v. 17 n.º 3, p. 457-473, 2011.

JENSEN, M. Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers. The American Economic Review, v. 76, n.º 2, p. 323-329, 1986.

JENSEN, M. C.; MECKLING, W. H. Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics, v. 3, p. 305-360, 1976.

JOHN, K.; LANG, L. Insider trading around dividend announcements: theory and evidence. The Journal of Finance, v. 46, n.º 4, p. 1361-1390, 1991.

JOHN, K.; WILLIAMS, J. Dividends, Dilution, and Taxes : A Signalling Equilibrium. Journal of Finance, v. 40, n.º 4, p. 1053–1071, 1985.

KANE, A.; LEE, Y.; MARCUS, A. Earnings and dividend announcements: is there a corroboration effect? The Journal of Finance, v. 39, n.º 4, p. 1091-1099, 1984.

KARPAVIČIUS, S. Dividends: Relevance, rigidity, and signaling. Journal of Corporate Finance, v. 25, p. 289-312, 2014.

LA PORTA, R.; LOPEZ-DE-SILANES, F.; SHLEIFER, A.; VISHNY, R. Agency problems and dividend policies around the world. Journal of Finance, v. 55, n.º 1, p. 1-33, 2000.

LANG, L. H. P.; LITZENBERGER, R. H. Dividend Announcements: Cash Flow Signaling versus Free Cash Flow Hypothesis. Journal of Financial Economics, v. 24, n.º 1, p. 181-191, 1989.

LINTNER, J. (). Distribution of incomes of corporations among dividends, retained earnings, and taxes. The American Economic Review, v. 46, n.º 2, p. 97-113, 1956.

LIU, C.; CHEN, A. S. Do firms use dividend changes to signal future profitability? A simultaneous equation analysis. International Review of Financial Analysis, v. 37, p. 194-207, 2015.

LIU, Y.; SZEWCZYK, S.; ZANTOUT, Z. Underreaction to dividend reductions and omissions? The Journal of Finance, v. 63, n.º 2, p. 987-1020, 2008.

LITZENBERGER, R. H.; RAMASWAMY, K. The effect of personal taxes and dividends on capital asset prices. Journal of Financial Economics, v. 7, n.º 2, p. 163-195, 1979.

LONIE, A. A.; ABEYRATNA, G.; POWER, D. M.; SINCLAIR, C. D. The stock market reaction to dividend announcements: a UK study of complex market signals. Journal of Economic Studies, v. 23, n.º 1, p. 32-52, 1996.

MICHAELY, R.; ROBERTS, M. Corporate Dividend Policies: Lessons from Private Firms. Working Paper, Cornell University, 2007.

MILLER, M. H.; MODIGLIANI, F. Dividend policy, growth, and the valuation of shares. Journal of Business, v. 34, n.º 4, p. 411-433, 1961.

MILLER, M. H.; MODIGLIANI, F. Corporate Income Taxes and the Cost of Capital: A Correction. American Economic Review, v. 53, n.º 3, p. 433-443, 1963.

MILLER, M.; ROCK, K. Dividend policy under asymmetric information. The Journal of Finance, v. 40, n.º 4, p. 1031-1052, 1985.

NGUYEN, X.; TRAN, Q. Dividend Smoothing and Signaling Under the Impact of the Global Financial Crisis: A Comparison of US and Southeast Asian Markets. International Journal of Economics and Finance, v. 8, n.º 11, Publicado on-line, 2016.

NITTA, K. Does Dividend Policy Enhance Shareholder Value? Financial Research Group-NLI Research, p. 1-7, 2006.

NISSIM, D.; ZIV, A. Dividend Changes and Future Profitability, The Journal of Finance, v. 56, n.º 6, p. 2111-2133, 2001.

OFER, A.; THAKOR, A. A theory of stock price responses to alternative corporate cash disbursement methods: Stock repurchases and dividends. The Journal of Finance, v. 42, n.º 2, p. 365-394, 1987.

PANDEY, V. Do Dividend Changes have Informational Content to Signal the Market? Evidence from the Indian Stock Market. Indian Journal of Research in capital Markets, v. 4, n.º 1. Publicado on-line, 2017.

PETTIT, R. R. Dividend Announcements, Security Performance, and Capital Market Efficiency. Journal of Finance, v. 27, n.º 5, p. 993-1007, 1972.

RIBEIRO, A. Determinantes da política de Dividendos: Evidência empírica para as empresas não financeiras cotadas na Euronext Lisbon. Revista Portuguesa e Brasileira de Gestão, v. 9, n.º 1-2, p. 15-25, 2010.

ROZEFF, M. Growth, Beta and Agency Costs as Determinants of Payout Ratios. Journal of Financial Research, v. 5, n.º 3, p. 249-259, 1982.

SANT, R.; COWAN, A. R. Do dividends signal earnings? The case of omitted dividends. Journal of Banking & Finance, v. 18, n.º 6, p. 1113-1133, 1994.

VIEIRA, E. Dividend policy: signaling or maturity hypothesis? Journal of Applied Management and Investments, v. 1, n.º 1, p. 22-29, 2012.

VIEIRA, E.; PINHO, C.; LEITE, S. Reação do Mercado ao Anúncio de Dividendos: Evidência em Países Europeus. Revista Estudos Do ISCA, v. 4, n.º 5, p. 1-14, 2013.

VIEIRA, E.; RAPOSO, C. Signalling with dividends? The signalling effects of dividend change announcements: new evidence from Europe. Working Paper, SSRN, 2007.

WATTS, R. The Information Content of Dividends. Journal of Business, v. 46, n.º 2, p. 191-211, 1973.

WOOLRIDGE, J. The information content of dividend changes. Journal of Financial Research, v. 5, n.º 3, p. 237-247, 1982.

YILMAZ, A.; SELCUK, E. Information Content of Dividends : Evidence from Istanbul Stock Exchange. International Journal of Economics and Finance, v. 3, n.º 3, p. 126-132, 2010.

YOON, P.; STARKS, L. Signaling, investment opportunities, and dividend announcements. Review of Financial Studies, v. 8, n.º 4, p. 995-1018, 1995.




DOI: http://dx.doi.org/10.1234/ei.v0i15.5101



ISSN: 1646-4850 | © 1981-2010 ISCA-UA