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Factors of the Dividend Policy Pursued by Russian Companies

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Abstract—

The article examines the determinants of the dividend policy pursued by Russian companies. Dividend policy is seen as a consistent adoption of two decisions: on the payment of dividends and on their amount. In order to assess the influence of various factors on both of these decisions, a semiparametric two-step procedure for evaluating models with nonrandom selection is proposed combining the advantages of the W.K. Newey and L.-F. Lee approaches. The proposed procedure demonstrated an advantage over classical approaches and made it possible to assess the impact of age, size, return on assets, form of ownership, and the share of fixed assets in the assets of firms, both on the probability and on the amount of dividend payments.

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Notes

  1. The problem of nonrandom selection arises from the existence of unobservable (in the data) characteristics of firms that simultaneously affect both the probability of dividend payments and their amount. Such characteristics may include, for example, various features of corporate governance. Statistical estimates of the impact made by the considered factors on the size of dividend payments may be biased and untenable if the presence of relevant characteristics is not taken into account using special econometric tools, which, as a rule, include the Heckman method. The main idea of this method is that the equation of selection (whether to pay dividends or not) and the main equation (the amount of dividends paid) are modeled simultaneously.

  2. “Information Resource SPARK” Network Edition. Mass media registration certificate EL no. FS 77-67950 issued by the Federal Service for Supervision of Communications, Information Technology and Mass Media (Roskomnadzor) on December 21, 2016. https://spark-interfax.ru.

  3. It is assumed that the corresponding distribution has a random error \({{u}_{i}}\). At the same time, in order to ensure the identifiability of the estimated parameters, the distribution is standardized to zero mathematical expectation and unit variance. Parameters \({{d}_{u}}\) represent the polynomial coefficients in the Gallant and Nychka distributions.

  4. The expression for estimating the asymptotic covariance matrix can be obtained by analogy with [16].

  5. We also applied the Newey method with a classical smoothing function calculated as the inverse Mills ratio for the standard normal distribution. In this case, the optimal value of the parameter turned out to be equal to three, and the coefficients at the powers of the smoothing function were significant, which indicates a violation of the normality assumption. At the same time, according to cross-validation, for individual objects and the value of the determination coefficient, the classical Newey method was inferior in accuracy to the proposed modification.

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Funding

The work was supported by the Russian Science Foundation (RNF), project no. 21-18-00427 “Development and application of methods for econometric estimation of parameters of economic models taking into account endogeneity and nonrandom selection of observations.”

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Authors and Affiliations

  1. National Research University, Higher School of Economics, 101000, Moscow, Russia

    S. I. Dolgikh & B. S. Potanin

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  1. S. I. Dolgikh
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  2. B. S. Potanin
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Correspondence to B. S. Potanin.

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The authors declare that they have no conflicts of interest.

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Translated by I. Pertsovskaya

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Dolgikh, S.I., Potanin, B.S. Factors of the Dividend Policy Pursued by Russian Companies. Stud. Russ. Econ. Dev. 34, 381–388 (2023). https://doi.org/10.1134/S1075700723030036

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