The Long‐run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance?
研究1927至1998年间股息启动与恢复后的长期股票表现，发现等权组合有显著正异常收益，但价值加权后不显著，且结果不稳健，价格漂移可能是样本特定的偶然结果。
ABSTRACT We examine the long‐term stock performance following dividend initiations and resumptions from 1927 to 1998. We show that postannouncement abnormal returns are significantly positive for equally weighted calendar time portfolios, but become insignificant when the portfolios are value weighted. Moreover, the equally weighted results are not robust across subsamples. We also document postannouncement reductions in the risk factor loadings of underlying stocks. Cross‐sectionally, these reductions are negatively related to the contemporaneous price drifts, suggesting the price drifts may be a sample‐specific result of chance. Our results underscore the importance of testing for changes in risk loadings in future long‐term event studies.