Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien

Henryk Gurgul, Paweł Majdosz and Roland Mestel ()

Managerial Economics, 2007, vol. 1, 121-142

Abstract: In this paper an event study is conducted to detect price reactions on dividend announcements using data from the Austrian stock market. We use the Market Model and the Market Model with Dummies to describe the return generating process. To identify the significance of abnormal returns we apply parametric as well as non-parametric tests (modified rang test and bootstrap). Announced dividend increases induce stock prices to rise, whereas dividend decreases lead to shrinking prices.

Keywords: event study; dummy variable; regressions (search for similar items in EconPapers)
Date: 2007
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Working Paper: Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:1:y:2007:p:121-142

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