آزمون تجربي فرضيه‌ي پيام رساني سود نقدي در بورس اوراق بهادار تهران

An Empirical Investigation of Dividend Signaling Hypothesis in Tehran Stock Exchange (TSE)

Introduction The mitigation of the information asymmetries between managers and owners via unexpected changes in dividend policy is the cornerstone of dividend signaling models. The information asymmetries hypothesis states that managers have inside information about the future performance of firm. They signal inside information by changes dividend policy. Dividend signaling hypothesis predicts that dividend changes convey information about the firmʹs future earnings. For example, an unexpected dividend increase may signal investors that a firmʹs directors are more optimistic about future profits than previously thought. Signaling models have two key empirical implications, first dividend changes should be followed by price changes in the same direction. Second, the models predict a positive relation between dividend changes and subsequent operating performance of the firm. The current view in the literature is that dividend changes convey information mainly about past and current earnings. This paper focused on second prediction of signaling models. Hypothesis In order to provide evidence about if changes in dividend convey information of future earnings, main hypothesis to be tested is that: H1: The changes of dividend will be positively correlated with the unexpected earnings. So, we expect pi to be positive and significantly different from zero in the following model: UE = B0 + B1,ADIV + £j,t_x (1) In estimated the model in equation (1), we control for the return on equity that are expected to affect unexpected earnings. UEjtt = /?0 + MDIV J + ROE J t + (2) Where: (ADIVjt) is the changes in dividend, (UEj t) is the unexpected earnings, (ROAj,t) is the return on equity. In this paper ADIV and UE are measured by following models: (DIVif-DIVit J ADIVjt=--^-, DIVj,^ U E jtt = (E t - E ,_,)/B V Methods The sample includes 60 production firms listed in Tehran Stock Exchange (TES) whose data are available between 1378 and 1385. Financial firms and firms that changed fiscal year end during the test period are excluded from sample. We used cross-section and polling data methods for estimated models. Results The results of estimated models (1) and (2) in cross-section and polled data methods show that the coefficient of dividend changes is positive and significant. After controlling for return on equity, T-statistics of model (2) is 17.49 and 8.477 respectively for cross-section and polled data that is significant at 1% level. Discussion and Conclusion Many theoretical models suggest that announcement of dividend increases convey favorable information about future earnings. Prior studies have found evidence that dividend changes and future earnings changes move in the same direction. However, our results provide support for the testable implication of these models. We detect significant relation between dividend changes and future earnings that are similar to results of Nissim and Ziv (2001) and Skinner (2003). These findings provide evidence about dividend signaling in TSE.