经济与金融系学术讨论会第41期 

时间：2018年12月4日（周二）12:00-13:00 

地点：同济大厦A楼505室 

题目： Deviation from Target Dividend Payout and the Cross-Section of Stock Returns

主讲人： 路磊（加拿大曼尼托巴大学阿斯博商学院Bryce Douglas金融学讲席教授）

Abstract：

We examine the return information conveyed by a firm’s dividend deviation, defined as the difference between a firm’s actual dividend per share (DPS) and its target DPS. We find that underpaying stocks (i.e., stocks in the lowest dividend deviation quintile) provide 5.88% more annualized risk-adjusted return compared to overpaying stocks (i.e., stocks in the highest dividend deviation quintile). A dividend deviation factor carries a risk premium of 5.64% per annum, and is a proxy for systematic risk that is not captured by existing factor models. Potential explanations include financial constraints and overinvestments. Compared with overpaying firms, underpaying firms are more financially constrained and thus generate higher returns. After large investments, underpaying firms significantly underperform compared to their peers while overpaying firms remain statistically indifferent from their peers. In this respect, our result supports the notion that poorly governed firms tend to overinvest and thereby reduce their investment efficiency. 

主讲人简介：

路磊，加拿大曼尼托巴大学阿斯博商学院Bryce Douglas金融学讲席教授 (Bryce Douglas Chair in Finance)，博士生导师, 金融学研究生项目主任。他于2007年毕业于加拿大麦吉尔大学，获得金融学博士学位。2007-2011年任教于上海财经大学金融学院， 2011-2016年任教于北京大学光华管理学院。他的研究方向包括资产定价和行为金融。他的研究成果发表在Journal of Financial and Quantitative Analysis，Management Science, Journal of Futures Markets, Economic Theory, Economics Letters 等英文期刊；他的研究也发表在《管理科学学报》和《金融研究》等中文期刊。他曾经主持过国家自然科学基金面上项目，上海市浦江人才计划项目，以及中国金融期货交易所的研究项目。