The Weekend Effect and Corporate Dividend Announcements
AbstractNumerous studies document a day-of-the-week effect in stock returns. Although a common explanation for this phenomenon concerns a potential daily pattern in the release of corporate information, existing studies provide conflicting evidence. To aid in resolving this issue, possible seasonalities in a sample of 138,824 dividend announcements are investigated over twenty-six years across 3,484 firms. Tests provide no support for the information hypothesis and suggest that the anomalous pattern of returns is driven by some factor unrelated to information arrivals.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 15 (1992)
Issue (Month): 1 (Spring)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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- repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
- Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
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- Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
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