In the U.S., dividends are paid quarterly, semiannually, or annually. Why do most dividend-paying firms pay dividends quarterly? We test explanations related to information signaling and agency costs, but neither explanations pan out. We also test whether managers are catering to shareholder demand for frequent dividends, but find no evidence of it. We then conduct an event study to see how the market reacts to dividend frequency-change announcements. When a firm announces an increase in its dividend-payout frequency, we find positive abnormal announcement returns. Further analysis suggests dividend frequency-increasing announcements signal an increase in future dividends, but not future earnings.