Does the month after a payout change follow the change's size or earlier returns?
Study 36 · Inconclusive · recorded 3 October 2026 · answer: Not settled · full paper with figures
The question
An earlier study found the month after a payout cut no different from the same company's ordinary months; an average can hide a pattern. We ask whether the next 21 trading days' return, beyond the market and the company's ordinary months, grows with the change's size or follows the company's returns over about six months ending a month earlier.
Rules fixed before the result
We fixed the rules before computing any outcome: the change's size explains the month if its slope's 95% range lies wholly above zero, and earlier returns do if their range excludes zero; otherwise neither is established. The study would stop unless a check made in advance, without outcomes, showed it could detect a size slope of 5 percentage points per unit, the slope at which a cut to three quarters moves the month by about 1.4 points. It passed.
Data and method
The changes are 1,425 cuts and raises in regular payouts to shareholders (173 cuts, 1,252 raises) by 296 established payers, each dated by the first day the share trades without the payment, from October 2013 to December 2022. For each, the return over the next 21 trading days beyond the market, less its average after unchanged payouts, was compared by regression with the change's size and the share's earlier returns, likewise measured; ranges come from resampling companies 2,000 times.
The answer
The result is inconclusive: neither explanation is established. The change's size is measured as the natural log of the new payout over the old; per unit of that measure, the month's return was about 0.1 percentage points higher (95% range 2.5 lower to 2.7 higher), a range wholly below the 5-point target set in advance, though smaller effects remain compatible. Per standard deviation of the company's earlier returns, the month's return was about 0.45 points lower (1.1 lower to 0.4 higher); this is the earlier-returns slope. In the same companies' months without a payout change, the earlier-returns slope was about zero (0.31 lower to 0.35 higher).
Main estimate
0.001 fraction (95% range -0.025 to 0.027), from 1425 observations
What it changes
No trading rule built on payout changes now takes the change's size or the company's earlier returns into account. The work on payout changes rests where the earlier study left it: the month after a cut could not be told apart from the same company's ordinary months.
What remains uncertain
These changes were studied before, in study twenty-four, and changes by different companies can fall on the same dates, a dependence the resampling, which draws companies, does not treat. Cuts are too few to settle size on their own: the check on cuts alone could detect only a slope of about 6.2 points, above the 5-point target. The other side checks show no contradiction; they are not independent evidence.
How it was made
Run took 28 minutes; independent code review: approve; the recorded calculation reruns to the same result.
Fingerprints
plan 2ea0ac83ba13b80c060ac9f1e3137f4f5dfc6e5c86b949f9df5beba1d426c067 result ae6a0ec5080ad32a3c443c2de7610846c6728f0cf4ca494071d677f7ae327b60
Exploratory work on development data; not a performance claim.