DO DIVIDEND FLOWS AFFECT STOCK RETURNS?
研究股息发放日股票异常收益及对同基准组合中非股息支付股票的溢出效应，发现该效应取决于专业投资者持股比例，支持需求驱动的价格压力假说。
Abstract We examine price impacts from dividend flows. Event‐study estimates show that stocks experience abnormal returns on the dividend distribution day. Results also show a spillover effect to non‐dividend‐paying stocks that are likely to be part of the same benchmark portfolio as the dividend‐paying stocks. Regression results indicate that the effect is dependent on the ownership share by professional investors. The temporary nature of the effect on returns is in line with the literature's demand‐driven price pressure hypothesis.