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Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien
[On application of regression models in event studies on financial markets]

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  • Gurgul, Henryk
  • Majdosz, Paweł
  • Mestel, Roland

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

  • Gurgul, Henryk & Majdosz, Paweł & Mestel, Roland, 2007. "Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien [On application of regression models in event studies on financial markets]," MPRA Paper 68570, University Library of Munich, Germany, revised 2007.
    • Handle: RePEc:pra:mprapa:68570
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    References listed on IDEAS

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    More about this item

    Keywords

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

    JEL classification:

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

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