Alternative event study methodology for detecting dividend signals in the context of joint dividend and earnings announcements

Accounting and Finance

Volumn 49, Issue 2, 2009, Pages 247-265

  Anderson, Warwick ^a  

^a UNIVERSITY OF CANTERBURY   (New Zealand)

Author keywords

Dividend signalling; Event study; Friction model; Joint announcements; Market model

Indexed keywords

EID: 65649120080     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2008.00289.x     Document Type: Article

References (23)

1. Almekinders, G. J. S. C. W. Eijffinger, 1996, A friction model of daily Bundesbank and Federal Reserve intervention, Journal of Banking and Finance 20, 1365 1380. (Pubitemid 126164529)
2. Bartholdy, J. A. Riding, 1994, Thin trading and the estimation of betas: the efficacy of alternative techniques, Journal of Financial Research 27, 241 254. (Pubitemid 24805050)
3. Berglund, T., E. Liljeblom A. Loflund, 1989, Estimating betas on daily data for a small stock market, Journal of Banking and Finance 13, 41 64.
4. Cohen, K. J., G. A. Hawawini, S. F. Maier, R. A. Schwartz D. K. Whitcomb, 1983, Estimating and adjusting for the intervalling-effect Bias in beta, Management Science 29, 135 148.
5. Cragg, J. C., 1986, The relationship of dividend payments to the characteristics of the earnings streams of corporations, in : M. H. Preston R. E. Quandt, eds, Prices, Competition and Equilibrium (Phillip Allen, London 191 213.
6. Dagenais, M. G., 1969, A threshold regression model, Econometrica 37, 193 203.
7. Dagenais, M. G., 1975, Application of a threshold regression model to household purchases of automobiles, Review of Economics and Statistics 57, 275 285.
8. DeSarbo, W. S., V. R. Rao, J. H. Steckel, J. Wind R. Colombo, 1987, A friction model for describing and forecasting price changes, Marketing Science 6, 299 319.
9. Dimson, E., 1979, Risk management when shares are subject to infrequent trading, Journal of Financial Economics 7, 197 226.
10. Dimson, E. P. R. Marsh, 1983, The stability of UK risk measures and the problem of thin trading, Journal of Finance 38, 753 783.
11. Forbes, S. M. L. S. Mayne, 1989, A friction model of the prime, Journal of Banking and Finance 13, 127 135.
12. 2 and thin trading on the Toronto Stock Exchange, Journal of Finance 33, 1201 1210.
13. Galpin, N., 2004, Can the pecking order explain the costs of raising capital? working paper (Kelley School of Business, Indiana University, Bloomington, IN).
14. Hashimoto, Y. I. Takatoshi, 2004, High-frequency contagion between the exchange rates and stock prices, working paper no. 10448 (National Bureau of Economic Research, Cambridge, MA).
15. Kane, A., Y. K. Lee A. Marcus, 1984, Earnings and dividend announcements: is there a corroboration effect? Journal of Finance 39, 1091 1099.
16. Kao, C. C. Wu, 1994, Tests of dividend signaling using the Marsh-Merton model: a generalized friction approach, Journal of Business 67, 45 68. (Pubitemid 24761294)
17. Lesmond, D. A., 1995, Transaction costs and security return behavior: the effect on systematic risk and firm size (Dissertation). State University of New York, Buffalo, NY.
18. Lesmond, D. A., J. P. Ogden C. A. Trzcinka, 1999, A new estimate of transactions costs, Review of Financial Studies 12, 1113 1141.
19. Lonie, A. A., G. Abeyratna, D. M. Power C. D. Sinclair, 1996, The stock market reaction to dividend announcements, Journal of Economic Studies 23, 32 52.
20. Maddala, G. S., 1983, Limited Dependent and Qualitative Variables in Econometrics, Econometric Society Monographs no. 3 (Cambridge University Press, Cambridge, UK).
21. Miller, M. H. F. Modigliani, 1961, Dividend policy, growth, and the valuation of shares, Journal of Business 34, 411 433.
22. Rosett, R. N., 1959, A statistical model of friction in economics, Econometrica 27, 263 267.
23. Scholes, M. J. Williams, 1977, Estimating betas from nonsynchronous data, Journal of Financial Economics 5, 309 327.