Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements

Mukesh Bajaj and Anand M Vijh

Journal of Finance, 1995, vol. 50, issue 1, 255-79

Abstract: This article examines the price formation process during dividend announcement day using daily closing prices and transactions data. The authors find that the unconditional positive excess returns, first documented by A. Kalay and U. 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. Copyright 1995 by American Finance Association.

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819950 ... O%3B2-2&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:50:y:1995:i:1:p:255-79

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().