A test of the relative pricing effects of dividends and earnings: Evidence from simultaneous announcements in Japan

• 成果类型: Article
• 署名作者: Conroy, RM; Eades, KM; Harris, RS
• 署名单位: University of Virginia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00245
• 发表日期: 2000
• 页码: 1199-1227
• 关键词: Asymmetric information; forecasts; INITIATIONS; OMISSIONS; analysts; returns; WEALTH; POLICY; prices

摘要

We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations from analysts' forecasts, we find that share price reactions are significantly affected by earnings surprises, especially management forecasts of next year's earnings. The information content of dividends is marginal and is restricted to announcements of next year's dividends. Consistent with Modigliani and Miller's dividend irrelevance proposition, current dividend surprises have no material impact on stock prices in Japan.