Underreaction to Dividend Reductions and Omissions?
Using a sample of 2,337 cash dividend reduction or omission announcements over the 1927 to 1999 period, this study reports significant negative post-announcement long-term abnormal returns, which last 1 year only. However, this long-term abnormal performance is driven by the post-earnings-announcement drift. After controlling for the earnings performance and the skewness of buy-and-hold abnormal returns, there is no compelling evidence of a post-dividend-reduction or post-dividend-omission price drift. Copyright 2008 by The American Finance Association.
Year of publication: |
2008
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Authors: | LIU, YI ; SZEWCZYK, SAMUEL H. ; ZANTOUT, ZAHER |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 63.2008, 2, p. 987-1020
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Publisher: |
American Finance Association - AFA |
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