Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?
研究现金股利启动和停付公告的市场反应，发现停付的短期反应更强，且公告后一年内价格持续同向漂移，尤其是停付后漂移更显著，不同于盈利意外的漂移。
This article investigates market reactions to initiations and omissions of cash dividend payments. Consistent with prior literature we find that the magnitude of short-run price reactions to omissions are greater than for initiations. In the year following the announcements, prices continue to drift in the same direction, though the drift following omissions is stronger and more robust. This post-dividend initiation/omission price drift is distinct from and more pronounced than that following earnings surprises. A trading rule employing both samples earns positive returns in 22 out of 25 years. We find little evidence for clientele shifts in either sample.