The Effect of Institutional Interest on the Information Content of Dividend-Change Announcements
We test the hypothesis that the information content of dividend change announcements, as reflected in stock prices, is directly related to the degree of pre-announcement information asymmetry in the stock. The dividend change announcements include initiations, large increases, large decreases, and omissions. Information asymmetry is proxied by the proportion of stock held by institutions. Consistent with the hypothesis, we document a significantly positive relation between the absolute values of the announcement-period excess returns and the degree of pre-announcement information asymmetry in the stock. This finding appears to hold for all types of dividend changes except dividend omissions.
Year of publication: |
1999
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Authors: | Alangar, Sadhana ; Bathala, Chenchuramaiah T ; Rao, Ramesh P |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 22.1999, 4, p. 429-48
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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