The Influence of Stock Market Liquidity on Dividend Changes in Europe.
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Disciplina/sAdministración y Dirección de Empresas
Materia/sEconomía del Área Europea
Although dividend changes are said to have an especially reliable signaling value concerning the value of the firm, various studies focus on detecting the driving determinants of dividend payout probabilities and dividend yields while the determinants of dividend changes are less well studied. The objective of the present dissertation is to put an additional piece of the dividend change puzzle in place by analyzing how stock market liquidity influences dividend changes for a panel of European firms from 2006 to 2014. The theoretical impact of stock liquidity on dividend changes is ambiguous: it can be either substitutive or complementary. Because the results can vary with the classification techniques applied, traditional techniques such as regression analysis and linear discriminant analysis are used alongside the tree-based machine learning methods decision tree, random forest and gradient boosting. Even though there are considerable differences among those classification techniques,...