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The Weekend Effect And Corporate Dividend Announcements

Author

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  • John D. Schatzberg
  • Prabir Datta

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.

Suggested Citation

  • John D. Schatzberg & Prabir Datta, 1992. "The Weekend Effect And Corporate Dividend Announcements," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(1), pages 69-76, March.
    • Handle: RePEc:bla:jfnres:v:15:y:1992:i:1:p:69-76
    DOI: 10.1111/j.1475-6803.1992.tb00787.x
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    Citations

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    Cited by:

    1. 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.
    2. Mehmet Hasan Eken & Taylan Ozgür 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.
    3. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
    4. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 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. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    7. Aharon, David Yechiam & Qadan, Mahmoud, 2019. "Bitcoin and the day-of-the-week effect," Finance Research Letters, Elsevier, vol. 31(C).
    8. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
    9. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    10. 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.
    11. 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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