If corporate announcements provide additional signals about firms' future prospects, the degree of investors' dependency on these news should vary with the relative importance of firm-specific information on such publicly traded firms. We show that price, volume and volatility reactions to dividend change announcements are significantly stronger for less synchronized firms (e.g., low R² stocks). This indicates that lower R² stocks are less informative and thus more surprises on firm-specific news are experienced. These findings are particularly strong for dividend decrease announcements. We also show that signals about firms' earnings prospects from dividend decrease announcements are more reliable among these companies.

中文翻译：

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R2 和企业信号效应

如果公司公告提供了有关公司未来前景的额外信号，那么投资者对这些新闻的依赖程度应该随着公司特定信息对此类公开交易公司的相对重要性而有所不同。我们表明，对于同步性较差的公司（例如，低R ²股票），对股息变化公告的价格、数量和波动性反应明显更强。这表明较低的R ²股票信息量较少，因此对公司特定新闻的惊喜更多。这些发现对于减少股息的公告尤为重要。我们还表明，在这些公司中，来自股息减少公告的公司盈利前景信号更可靠。