Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model

Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann

Journal of Econometrics, 2023, vol. 235, issue 2, 1522-1541

Abstract: Firms suspended dividend payments in unprecedented numbers in response to the outbreak of the Covid-19 pandemic. We develop a multivariate dynamic econometric model that allows dividend suspensions to affect the conditional mean, volatility, and jump probability of growth in daily industry-level dividends and demonstrate how the parameters of this model can be estimated using Bayesian Gibbs sampling methods. We find considerable heterogeneity across industries in the dynamics of daily dividend growth and the impact of dividend suspensions.

Keywords: Covid-19; High-frequency cash flows; Dividend suspensions; Predictive density modeling; Bayesian estimation (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:235:y:2023:i:2:p:1522-1541

DOI: 10.1016/j.jeconom.2022.11.008

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