The Long - Run Performance Following Dividend Initiations And Resumptions Underreaction or Product of Change ?  

Oleh:

Sorescu, Sorin M. ; Boehme, Rodney D.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 871-900.
Topik: Performance; studies; dividencds; rates of return; stock prices; long term; portfolio performance; regression analysis
Fulltext: p 871.pdf (143.09KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We examine the long - term stock performance following dividend initiations and resumptions from 1927 to 1998. We show that post announcement abnormal returns are significantly positive dor equally weighted calendar time portfolios, but become insignifican twhen the portfolios are value weighted. Moreover, the equally weighted results are not robust across subsamples. We also document post announcement reductions in the risk factor loadings of underlying stocks. Cross - sectionally, these reductions are negatively related to the contemporaneous price results underscore the importance of testing for changes in risk loadings in future long - term event studies.

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