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The Weekend Effect and Corporate Dividend Announcements

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  • Schatzberg, John D
  • Datta, Prabir
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    Abstract

    Numerous 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 Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 15 (1992)
    Issue (Month): 1 (Spring)
    Pages: 69-76

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    Handle: RePEc:bla:jfnres:v:15:y:1992:i:1:p:69-76

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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    Web page: http://www.southwesternfinance.org/
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    Cited by:
    1. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
    2. 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.
    3. Mehmet Hasan Eken & Taylan Ozg├╝r Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
    4. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
    5. Faruk Bostanci & Saim Kilic, 2010. "The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 1-14.
    6. A. R. Zafer Sayar & Onder Kaymaz & Ali Alp, 2010. "The Effect of the Transparency Level of the ISE-Listed Banks on Liquidity," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 27-58.
    7. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
    8. 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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