Dividend Announcements Reconsidered: Dividend Changes versus Dividend Surprises

Andres, Christian ; Betzer, André ; Bongard, Inga van den ; Haesner, Christian ; Theissen, Erik

DOI: https://doi.org/10.2139/ssrn.1763201
Additional URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id...
Document Type: Working paper
Year of publication: 2011
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Abstract: This paper reconsiders the issue of share price reactions to dividend announcements. Previous papers rely almost exclusively on a naive dividend model in which the dividend change is used as a proxy for the dividend surprise. We use the difference between the actual dividend and the analyst consensus forecast as obtained from I/B/E/S as a proxy for the dividend surprise. Using data from Germany, we find significant share price reactions after dividend announcements. Once we control for analysts’ expectations, the dividend change loses explanatory power. Our results thus suggest that the naive model should be abandoned. We use panel methods to analyze the determinants of the share price reactions. We find (weak) support in favor of the dividend signaling hypothesis and no support for either the free cash flow hypothesis or the rent extraction hypothesis.
Additional information: Online-Ressource

Dieser Eintrag ist Teil der Universitätsbibliographie.

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