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

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 div...

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Autores principales: Pettenuzzo, Davide, Sabbatucci, Riccardo, Timmermann, Allan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9868400/
https://www.ncbi.nlm.nih.gov/pubmed/36714078
http://dx.doi.org/10.1016/j.jeconom.2022.11.008
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author Pettenuzzo, Davide
Sabbatucci, Riccardo
Timmermann, Allan
author_facet Pettenuzzo, Davide
Sabbatucci, Riccardo
Timmermann, Allan
author_sort Pettenuzzo, Davide
collection PubMed
description 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.
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spelling pubmed-98684002023-01-23 Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model() Pettenuzzo, Davide Sabbatucci, Riccardo Timmermann, Allan J Econom Article 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. The Authors. Published by Elsevier B.V. 2023-08 2023-01-23 /pmc/articles/PMC9868400/ /pubmed/36714078 http://dx.doi.org/10.1016/j.jeconom.2022.11.008 Text en © 2023 The Authors Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Pettenuzzo, Davide
Sabbatucci, Riccardo
Timmermann, Allan
Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model()
title Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model()
title_full Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model()
title_fullStr Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model()
title_full_unstemmed Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model()
title_short Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model()
title_sort dividend suspensions and cash flows during the covid-19 pandemic: a dynamic econometric model()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9868400/
https://www.ncbi.nlm.nih.gov/pubmed/36714078
http://dx.doi.org/10.1016/j.jeconom.2022.11.008
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