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Media type:
E-Article
Title:
Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements
Contributor:
BAJAJ, MUKESH;
VIJH, ANAND M.
Published:
Wiley, 1995
Published in:
The Journal of Finance, 50 (1995) 1, Seite 255-279
Language:
English
DOI:
10.1111/j.1540-6261.1995.tb05173.x
ISSN:
0022-1082;
1540-6261
Origination:
Footnote:
Description:
ABSTRACTThis article examines the price formation process during dividend announcement day, using daily closing prices and transactions data. We find that the unconditional positive excess returns, first documented by Kalay and Loewenstein (1985), are higher for small‐firm and low‐priced stocks. Price volatility and trading volume also increase during this period. Examination of trade prices relative to the bid‐ask spread and volume of trades at bid and asked prices shows that the excess returns cannot be attributed to measurement errors or to spillover effects of tax‐related ex‐day trading. Rather, the price behavior is related to the absorption of dividend information.