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Dividend Announcements and Changes in Beta

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  • Carroll, Carolyn
  • Sears, R Stephen

Abstract

This study examines changes in beta risk around dividend announcement dates. The evidence shows that beta changes are strongly influenced by the changing behavior of large and small betas. This implies that researchers who attribute risk changes to specific announcements may need to control their research design for regression order bias. Further research may also be needed to ascertain whether or not this regression order bias plays a significant role in the estimation of abnormal returns in event studies. Copyright 1994 by MIT Press.

Suggested Citation

  • Carroll, Carolyn & Sears, R Stephen, 1994. "Dividend Announcements and Changes in Beta," The Financial Review, Eastern Finance Association, vol. 29(3), pages 371-393, August.
    • Handle: RePEc:bla:finrev:v:29:y:1994:i:3:p:371-93
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    Cited by:

    1. Seonhyeon Kim & Jin-young Jung & Sung-woo Cho, 2021. "Does Information Asymmetry Affect Dividend Policy? Analysis Using Market Microstructure Variables," Sustainability, MDPI, vol. 13(7), pages 1-19, March.
    2. López-Herrera, Francisco & Valencia-Herrera, Humberto, 2016. "Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(22), pages 75-103, primer se.

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