Dividend Restrictions and Search for Income

Esther Cáceres, Matías Lamas
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Abstract

We measure the reaction of search for income in mutual funds to supervisory-induced dividend restrictions on euro area banks during the COVID-19 pandemic, which operated as an exogenous shock to payouts in this sector. Using granular data on euro area-based mutual funds’ holdings, we show that demand for dividends motivated portfolio decisions in this period and that these decisions had implications for stock returns. Specifically, we document that there were more sales of bank stocks by income-oriented funds after payout restrictions were set in place. These funds were however less inclined to dispose of bank CoCos, an alternative high income-generating asset issued by credit institutions and not subject to supervisory distribution limits. Lastly, we analyze the price impact of these portfolio adjustments, documenting negative abnormal returns in bank stocks more exposed to income-oriented funds after the policy announcement. Our research evidences that search for income is relevant in asset allocation decisions and price formation, and quantifies some of the side effects of dividend restriction policies.
股息限制和寻求收入
在 COVID-19 大流行期间,监管机构对欧元区银行实施了股息限制,这对该行业的派息造成了外生冲击,我们衡量了共同基金寻求收益的反应。我们利用欧元区共同基金所持股票的细粒度数据表明,在此期间,对股息的需求推动了投资组合决策,而这些决策对股票回报产生了影响。具体来说,我们发现在派息限制实施后,以收入为导向的基金出售了更多的银行股。然而,这些基金不太倾向于出售银行 CoCos,因为这是一种由信贷机构发行的替代性高收益资产,不受监管分配限制。最后,我们分析了这些投资组合调整对价格的影响,结果显示,在政策公布后,受收益导向型基金影响较大的银行股出现了负的异常回报。我们的研究证明,寻找收益与资产配置决策和价格形成相关,并量化了股息限制政策的一些副作用。
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