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...

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...

We analyze the stock price, trading volume and liquidity reaction to corporate disclosure in Germany. Based on a broad sample of corporate announcements made between 1995 and 2007 we find that the announcements result in significant price changes, increased trading volume, and increased bid-ask...

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...

Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and...

In the pre-Sarbanes-Oxley era corporate insiders were required to report trades in shares of their firm until the 10th of the month following the trade. This gave them considerable flexibility to time their trades and reports strategically, e.g., by executing a sequence of trades and reporting...

Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and...