Kim, Sangphill; Rui, Oliver M; Xu, Peter - In: Review of Quantitative Finance and Accounting 19 (2002) 1, pp. 45-63
This study investigates the role of the trading volume in explaining the shift of firm's total and systematic risk when a dividend change is announced. We compared the differential interpretation hypothesis and pre-announcement disagreement hypothesis with more than 20,000 samples collected for...
