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Alternative event study methodology for detecting dividend signals in the context of joint dividend and earnings announcements
Author(s) -
Anderson Warwick
Publication year - 2009
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2008.00289.x
Subject(s) - dividend , earnings , econometrics , context (archaeology) , event study , event (particle physics) , ordinary least squares , dividend yield , economics , estimation , financial economics , dividend policy , accounting , finance , paleontology , physics , quantum mechanics , biology , management
Friction models are used to examine the market reaction to the simultaneous disclosure of earnings and dividends in a thin‐trading environment. Friction modelling, a procedure using maximum likelihood estimation, can be used to replace both the market model and restricted least‐squares regression in event studies where there are two quantifiable variables and a number of possible interaction effects associated with the news that constitutes the study's event. The results indicate that the dividend signal can be separated from the earnings signal.