THE INFORMATION CONTENT OF DIVIDEND CHANGES

Research output: Contribution to journalArticle

33 Citations (Scopus)

Abstract

In this study, the open empirical question as to whether or not dividends contain information is investigated. The study involves 200 stocks and 376 dividend announcements over the 1971 to 1977 period; measures of unexpected dividends are related to measures of abnormal returns for dividend changing stocks. This study is important for three reasons: A tested ex ante dividend expectational model is used;The analysis is centered on daily, as opposed to monthly, returns; and,The influence of earnings on stock price is controlled explicitly. The evidence indicates that abnormal stock returns vary in sign with unexpected dividends. The results are consistent with the hypothesis that dividends contain information.

Original languageEnglish (US)
Pages (from-to)237-247
Number of pages11
JournalJournal of Financial Research
Volume5
Issue number3
DOIs
StatePublished - Jan 1 1982

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Dividends
Information content
Stock returns
Dividend announcements
Stock prices
Stock dividends
Abnormal returns

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance

Cite this

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abstract = "In this study, the open empirical question as to whether or not dividends contain information is investigated. The study involves 200 stocks and 376 dividend announcements over the 1971 to 1977 period; measures of unexpected dividends are related to measures of abnormal returns for dividend changing stocks. This study is important for three reasons: A tested ex ante dividend expectational model is used;The analysis is centered on daily, as opposed to monthly, returns; and,The influence of earnings on stock price is controlled explicitly. The evidence indicates that abnormal stock returns vary in sign with unexpected dividends. The results are consistent with the hypothesis that dividends contain information.",
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THE INFORMATION CONTENT OF DIVIDEND CHANGES. / Woolridge, J. Randall.

In: Journal of Financial Research, Vol. 5, No. 3, 01.01.1982, p. 237-247.

Research output: Contribution to journalArticle

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