Premium
POST‐ANNOUNCEMENT DRIFTS ASSOCIATED WITH DIVIDEND CHANGES
Author(s) -
Bae Gil S.
Publication year - 1996
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1996.tb00229.x
Subject(s) - dividend , earnings , stock exchange , dividend policy , business , stock (firearms) , economics , monetary economics , financial economics , accounting , finance , engineering , mechanical engineering
In this paper I assess the presence of post‐announcement drifts associated with dividend changes after controlling for earnings surprises. All quarterly cash dividend changes announced by firms listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) from 1974 through 1989 are examined. The results show that significant post‐announcement drifts associated with dividend changes are present after controlling for earnings surprises. However, the results are not conclusive on whether the market fully incorporates the simple time‐series properties of dividends.