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Dividend announcements reconsidered: Dividend changes versus dividend surprises
Andres, Christian; Betzer, André; van den Bongard, Inga; … - 2012
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 consensus forecast as obtained from I/B/E/S as a proxy for the dividend …
Persistent link: https://www.econbiz.de/10010309228
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Dividend announcements reconsidered dividend changes versus dividend surprises
Andres, Christian; Betzer, André; van den Bongard, Inga; … - 2011
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 consensus forecast as obtained from I/B/E/S as a proxy for the dividend …
Persistent link: https://www.econbiz.de/10010291093
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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
Steiner, Christian; Groß, Anne; Entorf, Horst - 2009
This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...
Persistent link: https://www.econbiz.de/10010298727
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Price adjustment to news with uncertain precision
Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008
Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news' precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...
Persistent link: https://www.econbiz.de/10010303759
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News reaction in financial markets within a behavioral finance model with heterogeneous agents
Fischer, Thomas - 2011
This paper presents a Heterogeneous Agent Model of a financial market with chartist and fundamentalist traders that exhibit bounded rationality and short-term thinking to explain the effect of under and overreaction to news. The existence of the Market Maker's finite price adjustment speed leads...
Persistent link: https://www.econbiz.de/10010323743
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Price adjustment to news with uncertain precision
Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008
Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news' precision is rarely disclosed. Therefore, we extend standard Bayesian learning...
Persistent link: https://www.econbiz.de/10010274280
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How Effective is European Merger Control?
Duso, Thomas; Gugler, Klaus; Yurtoglu, Burcin B. - 2011
This paper applies an intuitive approach based on stock market data to a unique dataset of large concentrations during the period 1990-2002 to assess the effectiveness of European merger control. The basic idea is to relate announcement and decision abnormal returns. Under a set of four...
Persistent link: https://www.econbiz.de/10010333760
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Determinants of Capital Market Reactions to Seasoned Equity Offers by German Corporations
Gebhardt, Günther; Heiden, Stefan; Daske, Holger - 2001
Our study provides evidence on the share price reactions to the announcement of equity issues in Germany, where capital market is characterized by institutional features distinct from the U.S. market. German seasoned equity issues yield a positive market reaction which contrasts to the...
Persistent link: https://www.econbiz.de/10010316306
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Bank loan announcements and borrower stock returns: does bank origin matter?
Ongena, Steven; Roscovan, Viorel - 2009
bank loans to U.S. firms over the period of 1980- 2003. We find that investors react positively to such announcements if …’s headquarters state. Investor reaction is, in fact, the largest when the bank is foreign. Our evidence suggest that investors value … bank identities and reputation seem to matter a great deal. …
Persistent link: https://www.econbiz.de/10011605069
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Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?
Schulmeister, Stephan - 2008
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s....
Persistent link: https://www.econbiz.de/10011435253