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Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien

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Listed:
  • Henryk Gurgul

    (AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics)

  • Pawel Majdosz
  • Roland Mestel

    (University of Applied Sciences Joanneum in Graz, Department of Banking and Insurance)

Abstract

In this paper an event study is conducted to detect price reactions on dividend announcements using data from the Austrian stock market. We use the Market Model and the Market Model with Dummies to describe the return generating process. To identify the significance of abnormal returns we apply parametric as well as non-parametric tests (modified rang test and bootstrap). Announced dividend increases induce stock prices to rise, whereas dividend decreases lead to shrinking prices.

Suggested Citation

  • Henryk Gurgul & Pawel Majdosz & Roland Mestel, 2007. "Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 1, pages 121-142.
    • Handle: RePEc:agh:journl:v:1:y:2007:p:121-142
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    event study; dummy variable; regressions;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G00 - Financial Economics - - General - - - General

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