Underreaction to dividend reductions and omissions?

• 成果类型: Article
• 署名作者: Liu, Yi; Szewczyk, Samuel H.; Zantout, Zaher
• 署名单位: University of North Texas System; University of North Texas Denton; Drexel University; Rider University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01337.x
• 发表日期: 2008
• 页码: 987-1020
• 关键词: LONG-RUN UNDERPERFORMANCE; stock returns; INITIATIONS; INFORMATION; earnings; FUTURE; overreaction; performance; POLICY; RISK

摘要

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.