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| Author: | Boehme, R.D. Sorescu, S.M. |
| Title: | The long-run performance following dividend initiations and resumptions: Underreaction or product of chance? |
| Journal: | Journal of Finance
2002 : APR, VOL. 57:2, p. 871-900 |
| Index terms: | Stock markets Share prices Rate of return Portfolio management Performance appraisal Regression analysis USA |
| Language: | eng |
| Abstract: | This study examines long-term stock performance following dividend initiations and resumptions from 1927 to 1998. It is shown that post-announcement abnormal returns are significantly positive for equally weighted calendar time portfolios, but become insignificant when the portfolios are value weighted. Moreover, the equally weighted results are not robust across subsamples. Post-announcement reductions in the risk factor loadings of underlying stocks are also documented. The results underscore the importance of testing for changes in risk loadings in future long-term event studies. |
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