Working Paper: CEPR ID: DP14571
Authors: Josef Zechner; Georg Cejnek; Otto Randl
Abstract: This paper shows for major equity markets that the proportion of index values attributable to the first five years of dividends dropped substantially in the first quarter of 2020 and that this drop has not been reversed by the end of the year. In the cross-section, this breakdown of dividend smoothing due to COVID-19 was less severe for firms with higher operating cash flows and more positively co-skewed stock returns and more pronounced for those with higher leverage and in the financial sector. Heavy dividend cutters also experienced a substantial increase in exposure to systematic risk.
Keywords: No keywords provided
JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| COVID-19 (I15) | corporate dividend policies (G35) |
| operating cash flow (D25) | stability of dividends (G35) |
| leverage (G24) | breakdown of dividend smoothing (G35) |
| financial sector (G21) | breakdown of dividend smoothing (G35) |
| dividend policy decisions (G35) | exposure to systematic risk (G11) |