Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements
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收益更高，且价格波动和交易量增加，超额收益不能归因于测量误差或税收相关交易，而是与股利信息的吸收有关。
This paper examines the price formation process during dividend announcement days, 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 thebid-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.