| Author: | Chang, S. J. Chen, S. N. |
| Title: | Stock Price Adjustment to Earnings and Dividend Surprises |
| Journal: | Quarterly Review of Economics and Business
1989 : SPRING, VOL. 29:1, p.68-81 |
| Index terms: | MONETARY ECONOMICS CAPITAL MARKETS |
| Language: | eng |
| Abstract: | This paper studies the adjustment process of stock prices in response to earnings and dividend announcements. Based on the cumulative sum tests, it was found that the mean and the variance of stock price differences would change largely with big increases or decreases in earnings and/or dividends. Further, it was demonstrated that overall stock prices responded to new information more with increased variability than with mean changes. While excess profit opportunity arising from mean changes dissipated rapidly, some speculative trading forced increased price variability for about a month. |
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