Dividend Surprises Inferred from Option and Stock Prices
Abstract
This paper introduces a new method to measure the unexpected component of dividend announcements. While measures used previously were based on various arbitrary models of dividend expectations, the authors' suggested method compares the reaction of stock and option prices to dividend announcements. Their measure is compared to commonly used model-based measures, to a Box-Jenkins time-series-based measure, and to a Value-Line Investor Survey-based measure of dividend surprises. The new measure is more highly correlated with the market's reaction to the announcements than are alternative measures of dividend surprises. The new measure is also shown to be insensitive to the extent to which the options used to identify unexpected dividend announcements are in- or out-of-the-money. Copyright 1992 by American Finance Association.Download Info
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Bibliographic Info
Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 47 (1992)
Issue (Month): 4 (September)
Pages: 1623-40
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Christian Andres & André Betzer & Inga van den Bongard & Christian Haesner & Erik Theissen, 2011.
"Dividend Announcements Reconsidered - Dividend Changes versus Dividend Surprises,"
Schumpeter Discussion Papers
sdp11013, Universitätsbibliothek Wuppertal, University Library.
- Andres, Christian & Betzer, André & van den Bongard, Inga & Haesner, Christian & Theissen, Erik, 2012. "Dividend announcements reconsidered: Dividend changes versus dividend surprises," CFR Working Papers 12-03, University of Cologne, Centre for Financial Research (CFR).
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