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- Title
Underreaction to Dividend Reductions and Omissions?
- Authors
LIU, YI; SZEWCZYK, SAMUEL H.; ZANTOUT, ZAHER
- Abstract
Using a sample of 2,337 cash dividend reduction or omission announcements over the 1927 to 1999 period, this study reports significant negative post-announcement long-term abnormal returns, which last 1 year only. However, this long-term abnormal performance is driven by the post-earnings-announcement drift. After controlling for the earnings performance and the skewness of buy-and-hold abnormal returns, there is no compelling evidence of a post-dividend-reduction or post-dividend-omission price drift.
- Subjects
FINANCIAL market reaction; DIVIDENDS; RATE of return on stocks; STOCK prices; STOCKS (Finance); RATE of return
- Publication
Journal of Finance (Wiley-Blackwell), 2008, Vol 63, Issue 2, p987
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.2008.01337.x