Threshold cointegration and asymmetries between dividends and earnings news

Peter Sephton ()

Finance Research Letters, 2023, vol. 58, issue PB

Abstract: Cho et al. (2023) provided evidence of an asymmetric relationship between dividends and earnings using postwar US data. This note extends the analysis to threshold cointegration and demonstrates that dividends respond differently to positive and negative earnings shocks and that the response depends critically on which region the system lies when a shock occurs.

Keywords: Payout policy; Dividend smoothing; Threshold cointegration (search for similar items in EconPapers)
JEL-codes: C22 C58 G35 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008061

DOI: 10.1016/j.frl.2023.104434

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