Does the pricing of financial reporting quality change around dividend changes?

Journal of Accounting Research

Volumn 45, Issue 1, 2007, Pages 1-40

  Chen, Shuping ^a   Shevlin, Terry ^a   Tong, Yen H ^b  

^a UNIVERSITY OF WASHINGTON   (United States)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33846611936     PISSN: 00218456     EISSN: 1475679X     Source Type: Journal    
DOI: 10.1111/j.1475-679X.2007.00225.x     Document Type: Article

References (29)

1. ABOODY, D.; J. HUGHES; AND J. LIU. "Earnings Quality, Insider Trading, and Cost of Capital." Journal of Accounting Research 43 (2006): 651-73.
2. AMIHUD, Y., H. MENDFLSON. "Asset Pricing and the Bid-Ask Spread. "Journal of Financial Economics 17 (1986): 223-49.
3. ANDREWS, D. 'Tests for Parameter Instability and Structural Change With Unknown Change Point."Econometrica 61 (1993): 821-56.
4. ANDREWS, D., AND W. PLOBERGER. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative. "Econometrica 62 (1994): 1383-414.
5. BENARTZI, S.; R. MICHAELY; AND R. THALEK. "Do Changes in Dividends Signal the Future or the Past?" Journal of Finance 52 (1997): 1007-34.
6. BRAV, A.; J. R. GRAHAM; C. R. HARVEY; AND R. MICHAELY. "Payout Policy in the 21st century." Journal of Financial Economics 77 (2005): 483-527.
7. BROWN, R. L.; J. DURBIN; J. M. EVANS. 'Techniques for Testing the Constancy of Regression Relationships Over Time." Journal of the Rayal Statistical Society 37 (1975): 149-63.
8. CHOW, G. C. "Tests of Equality Between Sets of Coefficients in Two Linear Regressions. " Econometrica 28 (1960): 591-605
9. CLARKSON, P.; J. GUEDES; AND R. THOMPSON. "On the Diversification, Observability and Measurement of Estimation Risk." Journal of Financial and Quantitative Analysis 31 (1996): 69-84.
10. COLES, J., AND U. LOWENSTEIN. "Equilibrium Pricing and Portfolio Composition in the Presence of Uncertain Parameters." Journal of Financial Economics 22 (1988): 279-303.
11. DECHOW, P., AND I. DICHEV. 'The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors." The Accounting Review 77 (Supplement 2002): 35-59.
12. EASLEY, D., AND M. O'HARA. "Information and the Cost of Capital. "Journal of Finance 59 (2004) : 1553-83.
13. ECKER, F.; J. FRANCIS; I. KIM; P. OLSSON; AND K. SCHIPPER. "A Return-Based Representation of Earnings Quality." Working paper, Duke University, 2005.
14. FAMA, E., AND K. FRENCH. "Common Risk Factors in the Returns on Stocks and Bonds."Journal of Financial Economics 33 (1993): 3-56.
15. FAMA, E., AND K FRENCH. "Industry Cost of Equity. "Journal of Financial Economics 43 (1997): 153-93.
16. FRANCIS, J.; R. LAFOND; P. OLSSON; AND K. SCHIPPER. "Cost of Equity and Earnings Attributes." The Accounting Review 79 (2004): 967-1010.
17. FRANCIS, J.; R. LAFOND; P. OLSSON; AND K. SCHIPPER. 'The Market Pricing of Accruals Quality." Journal of Accounting & Economics 39 (2005): 295-327.
18. GLOSTEN, L. R., AND P. R. MILGROM. "Bid, Ask and Transaction Prices in Specialist Market With Heterogeneously Informed Traders. "Journal of Financial Economics 14(1985) : 71-100.
19. GRULLON, G.; R. MICHAELY; AND B. SWAMINATHAN. "Are Dividend Changes a Sign of Firm Maturity?" Journal of Business 75 (2002): 387-424.
20. HEALY, P. M., AND K. G. PALEPU. "Earnings Information Conveyed by Dividend Initiations and Omissions. " Journal of Financial Economics 21 (1988): 149-75.
21. LAMBERT, R.; C. LEUZ; AND R. VERRECCHIA. "Accounting Information, Disclosure, and the Cost of Capital." Working paper, University of Pennsylvania, Accounting Department, 2005.
22. LEUZ, C., AND R. VERRECCHIA. "Firms' Capital Allocation Choices, Information Quality, and the Cost of Capital." Working paper, University of Pennsylvania, 2004.
23. MICHAELY, R.; R. THALER; AND K. WOMACK. "Price Reactions to Dividend Initiations and Omissions: Overreactionor Drift?" Journal of Finance 50 (1995): 573-608.
24. NISSIM, D. 'The Information Content of Dividend Decreases: Earnings or Risk News?" Working paper, University of Columbia, 2004.
25. NISSIM, D., AND A. ZIV. "Dividend Changes and Future Profitability. "Journal of Financed (2001): 2111-33.
26. O'HARA, M. "Presidential Address: Liquidity and Price Recovery. "Journal of Finance 58 (2003) : 1335-54.
27. RAJGOPAL, S., AND M. VENKATACHALAM. "Information Risk and Idiosyncratic Return Volatility Over the Last Four Decades." Working paper, University of Washington and Duke University, 2004.
28. SKINNER, D. "What Do Dividends Tell Us About Earnings Quality?" Working paper, University of Michigan, 2004.
29. ZEILEIS, A.; C. KLEIBER; W. KRAMER; K. HORNIK. "Testing and Dating of Structural Changes in Practice." Computational Statistics and Data Analysis 44 (2003): 109-23.