Capital market effects around dividend announcements: an analysis of the Berlin stock exchange in 1895

Jens Günther

Accounting History Review, 2017, vol. 27, issue 3, 249-278

Abstract: This study analyses share-price and trading effects around dividend announcements of firms listed on the Berlin Stock Exchange in 1895. Based on a sample of 166 firms, I find statistically and economically significant positive (negative) cumulative average abnormal returns following a positive (negative) dividend surprise. The positive price impact evolves in advance, while the price impact of negative surprises arises at the announcement date. Consistent with the dividend-signalling hypothesis, these effects are more pronounced for smaller firms and firms with lower financial reporting transparency. Furthermore, trading increases around announcements. The effect is negatively associated with a firm’s market value. These findings are consistent with a differential belief revision among individual investors.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/21552851.2017.1359099 (text/html)
Access to full text is restricted to subscribers.

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:taf:acbsfi:v:27:y:2017:i:3:p:249-278

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rabf21

DOI: 10.1080/21552851.2017.1359099

Access Statistics for this article

Accounting History Review is currently edited by Stephen Walker

More articles in Accounting History Review from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().