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| Author: | Brooks, R. M. |
| Title: | Changes in asymmetric information at earnings and dividend |
| Journal: | Journal of Business Finance and Accounting
1996 : APR, VOL. 23:3, p. 359-378 |
| Index terms: | EARNINGS DIVIDENDS STOCK MARKETS |
| Language: | eng |
| Abstract: | This paper empirically investigates the change in asymmetric information at earnings and dividend announcements with a model proposed by Hasbrouck (1991). The model decomposes the price variance into a random walk component and a trade component. The trade component estimates the price movement of the stock induced by trades initiated by privately informed traders. The random walk component estimates the price variance attributed to all other activities including the market microstructure. The results show that the level of information asymmetry falls at the earnings announcement; however, no significant changes are detected around the dividend announcement. |
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