Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien

On application of regression models in event studies on financial markets

Henryk Gurgul, Paweł Majdosz and Roland Mestel ()

MPRA Paper from University Library of Munich, Germany

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; regression (search for similar items in EconPapers)
JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2007, Revised 2007
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Published in Managerial Economics 1.1(2007): pp. 121-142

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Journal Article: Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68570

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