Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model
55 Pages Posted: 24 Sep 2020 Last revised: 13 May 2022
Date Written: December 28, 2020
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.
Keywords: COVID-19; high-frequency cash flows; dividend suspensions; predictive density modeling, Bayesian estimation
JEL Classification: C5, C11, G35
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