We compare changes in information flow and liquidity around anticipated and unanticipated dividend announcements. When the timing of the news announcement can be anticipated in advance, traditional market microstructure models predict that liquidity will deteriorate before the announcement and...

We study dividend announcements, conditioning on whether the timing of the announcement is anticipated. We find that liquidity deteriorates before (after) anticipated (unanticipated) announcements. We identify both timing and content effects and also contrast trading volume, price volatility,...