Some Further Evidence of the Effects of Model Choice on Market Events: Distribution of Stock Dividends on the Tel-Aviv Stock Exchange

N Biger and M J Page

Studies in Economics and Econometrics, 1996, vol. 20, issue 3, 39-47

Abstract: This paper presents evidence that stocks traded on the Tel Aviv Stock Exchange (TASE), which appear to have provided significant abnormal returns following the announcement of stock dividend distributions, provide no such significant abnormal returns when the normal returns are defined in accordance with the Arbitrage Pricing Theory. The findings are similar to those reported by Biger and Page (1994) for South African shares traded on the JSE. In a sense the findings support the contention that at least some seemingly abnormal reaction of the market to corporate events is attributable to the choice of a measurement technique or model and not to market imperfections.

Date: 1996
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03796205.1996.12129099 (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:rseexx:v:20:y:1996:i:3:p:39-47

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/03796205.1996.12129099

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().