Open AccessThe Information Content Of Concurrently Announced Quarterly Earnings And Dividends
Author(s) -
Joseph K. Cheung,
Mandy Li
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.149
H-Index - 22
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v9i4.5998
Subject(s) - dividend , earnings , multiplicative function , econometrics , residual , economics , business , accounting , mathematics , finance , mathematical analysis , algorithm
This research hypothesizes that concurrently announced earnings and dividends have a multiplicative effect on residual security returns. To test the hypothesis, residual returns are regressed on unexpected earnings and unexpected dividend variables, as well as on dummy variables defined based on their signs. Using a sample of same-day announcements of earnings and dividends over an 80-month period, it is shown that only the dummy variables, which reflect multiplicative effects, are useful in explaining security returns.