An Empirical Study on Cash Distribution Intensity and Market Reaction of Public REITs -- Evidence from 443 Dividend Announcements of 78 Products
Abstract
become an important channel for investors to obtain operating information on underlying assets. However, existing studies mostly focus on
whether dividends have a signaling effect, while paying less attention to the quantitative differences in dividend "intensity" and their corresponding market reactions. Using 443 dividend announcements from 78 public REITs as the research sample, this paper constructs a Cash
Distribution Intensity (CDI) indicator standardized by net asset value, and employs the event study method to empirically examine the relationship between CDI and market reaction around dividend announcements. The study finds that CDI is significantly positively correlated with
market reaction, with a Pearson correlation coefficient of 0.275; the market reaction of the high-CDI group is significantly higher than that of
the low-CDI group, showing an incremental effect; and there exists asset type heterogeneity, with franchise-type assets exhibiting stronger
reactions than property-type assets. This paper provides a standardized quantitative tool for REITs dividend research and offers empirical evidence for understanding the information content of dividend announcements in China's infrastructure REITs market.
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DOI: http://dx.doi.org/10.70711/memf.v3i11.10271
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