Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?
研究现金股利启动和停发公告后的市场反应，发现停发公告的短期价格反应更大，且公告后一年内价格持续同向漂移，这种漂移强于盈利意外后的漂移，基于两者的交易策略在25年中有22年获得正收益。
ABSTRACT 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.