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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857
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Asset Pricing with Dividend Surprises
Guo, Pancheng; Li, Shi; Wang, Yan - 2023
In this paper, we derive an intertemporal dividend-surprise-augmented asset-pricing model and show that the expected … risk premium compensates for stock returns’ exposure to (i) the market-wide dividend-surprise hedge portfolio based on … dividend yield surprise and volatilities, in addition to (ii) the excess market return without dividend yield (as in the …
Persistent link: https://www.econbiz.de/10014349727
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Asset Pricing with Dividend Surprises
Guo, Pancheng; Li, Shi; Wang, Yan - 2023
In this paper, we derive an intertemporal dividend-surprise-augmented asset-pricing model and show that the expected … risk premium compensates for stock returns’ exposure to (i) the market-wide dividend-surprise hedge portfolio based on … dividend yield surprise and volatilities, in addition to (ii) the excess market return without dividend yield (as in the …
Persistent link: https://www.econbiz.de/10014353436
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Some further evidence of the effects of model choice on market events : distribution of stock dividends on the Tel-Aviv Stock Exchange
Biger, Nahum; Page, Michael J. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 20 (1996) 3, pp. 39-47
Persistent link: https://www.econbiz.de/10001373402
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Asset pricing model uncertainty
Borup, Daniel - In: Journal of empirical finance 54 (2019), pp. 166-189
Persistent link: https://www.econbiz.de/10012174790
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A decision-theoretic model of asset-price underreaction and overreaction to dividend news
Ludwig, Alexander; Zimper, Alexander - In: Annals of finance 9 (2013) 4, pp. 625-665
Persistent link: https://www.econbiz.de/10010196591
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Pure announcement and time effects in the dividend-discount model
Bask, Mikael - In: The quarterly review of economics and finance : journal … 77 (2020), pp. 266-270
Persistent link: https://www.econbiz.de/10012431111
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Dividend change announcements, ROE, and the cost of equity capital
Dempsey, Stephen J.; Sheng, Hainan - In: International review of financial analysis 86 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014248421
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Risk changes and information effects following dividend initiation announcements : evidence based on seemingly unrelated regression
Otchere, Isaac (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001596893
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Financial market efficiency tests
Bollerslev, Tim; Hodrick, Robert J. - 1992
Persistent link: https://www.econbiz.de/10000136709