haku: @indexterm Economic efficiency / yhteensä: 231
viite: 156 / 231
| Tekijä: | Ghosh, C. Woolridge, J. R. |
| Otsikko: | Dividend omissions and stock market rationality. |
| Lehti: | Journal of Business Finance and Accounting
1991 : APR, VOL. 18:3, p. 315-330 |
| Asiasana: | DIVIDENDS STOCK MARKETS ECONOMIC EFFICIENCY USA |
| Kieli: | eng |
| Tiivistelmä: | Stock market rationality vis-a-vis dividend omissions is studied. First, it is argued that in an efficient market with rational investors, successive announcements of dividend omissions convey little information. Therefore, successive dividend omissions should not induce significant wealth effects. The data support this hypothesis. Next, a stronger test of market rationality is developed on the basis of the unbiased expectations hypothesis. A testable implication of this hypothesis is that since dividend decisions are taken at predictable dates, investors can anticipate dividend changes so that the aggregate average excess returns around all dividend announcements should be zero. The evidence indicates a weak rejection of the rationality hypothesis. |
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