Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements
利用每日收盘价和交易数据，研究股利公告日的价格形成过程，发现小公司和低价股的超额回报更高，且价格波动和交易量增加，超额回报与股利信息吸收有关。
ABSTRACT This article examines the price formation process during dividend announcement day, using daily closing prices and transactions data. We find that the unconditional positive excess returns, first documented by Kalay and Loewenstein (1985) , are higher for small‐firm and low‐priced stocks. Price volatility and trading volume also increase during this period. Examination of trade prices relative to the bid‐ask spread and volume of trades at bid and asked prices shows that the excess returns cannot be attributed to measurement errors or to spillover effects of tax‐related ex‐day trading. Rather, the price behavior is related to the absorption of dividend information.