An econometric analysis of dividends and share repurchases by US firms

Alok Bhargava ()

Journal of the Royal Statistical Society Series A, 2010, vol. 173, issue 3, 631-656

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.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/j.1467-985X.2010.00644.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssa:v:173:y:2010:i:3:p:631-656

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-985X

Access Statistics for this article

Journal of the Royal Statistical Society Series A is currently edited by A. Chevalier and L. Sharples

More articles in Journal of the Royal Statistical Society Series A from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().