This paper reconsiders the issue of share price reactions to dividend announcements. Previous papers rely almost exclusively on a naive dividend model in which the dividend change is used as a proxy for the dividend surprise. We use the difference between the actual dividend and the analyst...

Do demand or supply shocks which are not accompanied by new information affect prices? If so, is the price effect temporary ("price pressure hypothesis") or permanent ("imperfect substitutes hypothesis")? Numerous empirical studies have dealt with these questions and yet the issue is still...