Modelling Companies’ Dividend Policy Using Account Panel Data

  • Jean-Francois Malécot
Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 33)


Econometric testing in finance is mainly carried out using time series or cross section data. The availability of long time series of disagreggated price data partially explains this phenomenon. Very little empirical work for testing capital asset pricing models, for instance, have been done using panel data methods. Early studies, which have used panel data in finance, have mainly concentrated on dividends. In finance, empirical testing relies mostly on firm specific samples limited to stock market quoted firms. As Bond and Meghir [1987] suggest: “A sample of exclusively quoted firms is non-random, since firms may only receive a stock market listing if they satisfy specified criteria and even they may choose to remain unquoted”. As a matter of fact, this decision, to be officially quoted or not, can be controlled by allowing for fixed effects.


Agency Cost Dividend Payment Joint Significance Dividend Policy Payout Ratio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Anderson, G.J. [1983]: The Internal Financing Decisions of the Industrial and Commercial Sector: A reappraisal of the Lintner Model of Dividend Disbursements, Economica, 50, 235–248.CrossRefGoogle Scholar
  2. Arellano M. and S. Bond, [1988]: Dynamic Panel Data Estimation Using DPD — A Guide for Users, Working Paper, Institute for Fiscal Studies, London, 21 p.Google Scholar
  3. Arellano M. and S. Bond, [1991]: Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, 58, 277–297.CrossRefGoogle Scholar
  4. Auerbach A. [1979]: Share Valuation and Corporate Equity Policy, Journal of Public Economics, 11, 291–305.CrossRefGoogle Scholar
  5. Blundell R., S. Bond, M. Devereux and F. Schiantarelli [1987]: Dos Q Matter for Investment? Some Evidence from a Panel of UK Companies, Working Paper, Institute for Fiscal Studies, London, 31 p.Google Scholar
  6. Bond S. and C. Meghir [1990]: Dynamic Investment Models and the Firm’s Financial Policy, Working Paper, Institute for Fiscal Studies, London, 44 p.Google Scholar
  7. DeAngelo H, L.DeAngelo and D.J. Skinner [1992]: Dividends and Losses, Journal of Finance, 47, 1837–1863.CrossRefGoogle Scholar
  8. Feldstein M. and J. Green [1983]: Why Do companies Pay Dividend?, American Economic Review, 73, 17–30.Google Scholar
  9. Flavin M. A. [1981]: The Adjustment of Consumption to Changing Expectations about Future Incomes, Journal of Political Economy, 86, 974–1009.CrossRefGoogle Scholar
  10. Ghosh, G and J.R. Woolridge [1989]: Stock-Market Reactions to growth-Induced dividend Cuts: are Investors Myopic?, Managerial and Decision Economics, 10, 2535.CrossRefGoogle Scholar
  11. Higgins R. [1972]: The Corporate Dividend-Savings Decision, Journal of Financial and Quantitative Analysis, 7, 1527–1541.CrossRefGoogle Scholar
  12. Jensen M. C. and W. H. Meckling [1976]: The Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure, Journal of Financial Economics, 3, 305–360.CrossRefGoogle Scholar
  13. John K. and A. Kalay [1982]: Costly Contracting and Optimal Payout Constraints, Journal of Finance, 37, 457–470.CrossRefGoogle Scholar
  14. King M. A. [1977]: Public Policy and the Corporation, Chapman and Hall, London.Google Scholar
  15. Lee C.F. C. Wu and M. Djarraya [1987]: A Further Empirical Investigation of the Dividend Adjustment Process, Journal of Econometrics, 35, 267–285.CrossRefGoogle Scholar
  16. Lintner J. [1956]: The Distribution of Incomes of Corporations Among Dividends, Retained Earnings and Taxes, American Economic Review, 46, 97–113.Google Scholar
  17. Maï H.M., and J.-F. Malècot [1995]: Investissements et baisses de dividendes: les réactions du marché autour des dates de détachement, Finance, (forthcoming).Google Scholar
  18. Miller M.H. and F.Modigliani [1961]: Dividend Policy, Growth and the Valuation of Shares, Journal of Business, 34, 411–433.CrossRefGoogle Scholar
  19. Nakamura A. and M. Nakamura [1985]: Rationale Expectations and the Firms’s Dividend Behavior, The Review of Economics and Statistics, 67, 606–615.CrossRefGoogle Scholar
  20. Nickell S. [1981]: Biases in Dynamic Models with Fixed Effects, Econometrica, 49, 1417–1426.CrossRefGoogle Scholar
  21. Partington G.H. [1985]: Dividend Policy and its Relationship to Investment and Financing Policies: Empirical Evidence, Journal of Business, Finance and Accounting, 12 (4), 531–542.CrossRefGoogle Scholar
  22. Rozeff M [1982]: Growth, Beta and Agency Costs as Determinants of Dividend Payout Ratios, Journal of Financial Research, 5, 249–259.Google Scholar

Copyright information

© Kluwer Academic Publishers 1996

Authors and Affiliations

  • Jean-Francois Malécot

There are no affiliations available

Personalised recommendations