Purpose

This study examines the effect of dividend policy on the ex ante probability of stock price crash and the ex ante probability stock price jump.

Design/methodology/approach

We use the data of publicly listed non-financial firms from France and the ex ante measures of crash and jump probabilities (based on the Flexible Quadrants Copulas) to test our hypothesis during the period between 1997 and 2019.

Findings

Our results show that dividend payments are negatively associated with the ex ante probability of crash and positively associated with the ex ante probability of jump. Our results are robust across various sub-samples and across different proxies of dividend policy. Our findings also hold when we use ex-post measures of crash and jump probabilities.

Originality/value

Unlike prior literature, we use ex ante measures of crash and jump probabilities. The main advantage of this forward looking measure is that it allows for more flexibility by modeling the dependence between market returns and stock returns as functions of their actual state. Our measure is also consistent with the behavior of investors and market participants in a way that the market participants do not know the future outcome with certainty, but rather they are anticipating the future.

中文翻译：

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股息政策和极端回报的概率

目的

本研究考察了股利政策对股价暴跌事前概率和股价上涨事前概率的影响。

设计/方法/方法

我们使用法国上市非金融公司的数据以及碰撞和跳跃概率的事前测量（基于灵活象限 Copulas）来检验我们在 1997 年至 2019 年期间的假设。

发现

我们的结果表明，股息支付与事前崩溃概率呈负相关，与事前跳跃概率呈正相关。我们的结果在各种子样本和不同的股息政策代理中都是稳健的。当我们使用事后测量碰撞和跳跃概率时，我们的发现也成立。

原创性/价值

与先前的文献不同，我们使用了碰撞和跳跃概率的事前测量。这种前瞻性措施的主要优点是它通过将市场回报和股票回报之间的依赖建模为它们的实际状态的函数来提供更大的灵活性。我们的衡量标准也与投资者和市场参与者的行为一致，市场参与者不确定未来的结果，而是预测未来。