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

Warwick Anderson

Accounting and Finance, 2009, vol. 49, issue 2, 247-265

Abstract: Friction models are used to examine the market reaction to the simultaneous disclosure of earnings and dividends in a thin‐trading environment. Friction modelling, a procedure using maximum likelihood estimation, can be used to replace both the market model and restricted least‐squares regression in event studies where there are two quantifiable variables and a number of possible interaction effects associated with the news that constitutes the study's event. The results indicate that the dividend signal can be separated from the earnings signal.

Date: 2009
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https://doi.org/10.1111/j.1467-629X.2008.00289.x

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