Abstract

Cette these porte sur la signalisation possible du risque des firmes via les annonces de variations dans leur dividende regulier et sur le comportement subsequent des investisseurs canadiens et americains. Nous testons les implications de divers modeles de signalisation a partir d'echantillons de la periode 1984-1993. Apres avoir pris diverse precautions d'ordre econometrique et procede a des tests de controle appropries, nous montrons que, contrairement aux hausses, seules les baisses du dividende sont accompagnees du changement attendu, soit une hausse significative du risque. La baisse du dividende regulier pourrait donc signaler une hausse du risque de la firme. En outre, nous montrons que la reaction boursiere en periode d'annonce du dividende serait liee a la reputation de la firme mesuree par sa performance financiere a long terme selon la revue Fortune. Il appert donc que la prise en compte de la reputation permettrait de mieux comprendre le comportement des investisseurs en periode de variations inattendues du dividende.

Alternate abstract:

This thesis deals with the possible signaling of the risk of firms via announcements of variations in their regular dividend and the subsequent behavior of Canadian and American investors. We test the implications of various signaling models using samples from the period 1984-1993. After taking various econometric precautions and performing appropriate control tests, we show that, unlike increases, only dividend decreases are accompanied by the expected change, namely a significant increase in risk. The drop in the regular dividend could therefore signal an increase in the firm's risk. In addition, we show that the stock market reaction during the dividend announcement period would be linked to the reputation of the firm measured by its long-term financial performance according to Fortune magazine. It therefore appears that taking reputation into account would make it possible to better understand the behavior of investors in times of unexpected variations in the dividend.