Hostname: page-component-84b7d79bbc-x5cpj Total loading time: 0 Render date: 2024-07-26T05:49:48.022Z Has data issue: false hasContentIssue false
  • English
  • Français

Efficient Market Tests of the Informational Content of Dividend Announcements: Critique and Extension

Published online by Cambridge University Press:  06 April 2009

Clarence C. Y. Kwan
Get access Rights & Permissions [Opens in a new window]

Extract

In recent years a major controversy has formed in the finance literature regarding the empirical evidence of the informational content of dividends. Despite considerable support for the position of dividend nontriviality by various studies, the work by Watts [13] represents a formidable challenge. Because of the close proximity of the firm's earnings and dividend announcement dates, the major issue of the dispute has centered on the identification and control of contemporaneous earnings information. In an attempt to settle this controversy, the present study evaluates and extends Watts' methodology.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 16 , Issue 2 , June 1981 , pp. 193 - 206
Copyright
Copyright © School of Business Administration, University of Washington 1981

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Aharony, J., and Swary, I.. ”Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis.” Journal of Finance, Vol. 35 (03 1980), pp. 1–12.CrossRefGoogle Scholar
[2]Brown, S. J., and Warner, J. B.. ”Measuring Security Price Performance.” Journal of Financial Economics, Vol. 8 (09 1980), pp. 205–258.CrossRefGoogle Scholar
[3]Charest, G. ”Dividend Information, Stock Returns and Market Efficiency – II.” Journal of Financial Economics (06/09 1978), pp. 297–330.CrossRefGoogle Scholar
[4]Fama, E. F., and Babiak, H.. ”Dividend Policy: An Empirical Analysis.” Journal of the American Statistical Association, Vol. 63 (12 1968), pp. 1132–1161.CrossRefGoogle Scholar
[5]Gonedes, N. J. ”Corporate Signaling, External Accounting, and Capital Market Equilibrium: Evidence on Dividends, Income, and Extraordinary Items.” Journal of Accounting Research, Vol. 16 (Spring 1978), pp. 26–79.CrossRefGoogle Scholar
[6]Griffin, P. A. ”Competitive Information in the Stock Market: An Empirical Study of Earnings, Dividends, and Analysts' Forecasts.” Journal of Finance Vol. 31 (05 1976), pp. 631–650.Google Scholar
[7]Laub, P. M. ”On the Informational Content of Dividends.” Journal of Business, Vol. 49 (01 1976), pp. 73–80.CrossRefGoogle Scholar
[8]Lintner, J. ”Distribution of Incomes among Dividends, Retained Earnings and Taxes.” American Economic Review, Vol. 46 (05 1956), pp. 97–113.Google Scholar
[9]Lloyd-Davies, P., and Canes, M.. ”Stock Prices and the Publication of Second-hand Information.” Journal of Business, Vol. 51 (01 1978), pp. 43–56.CrossRefGoogle Scholar
[10]Pettit, R. R. ”Dividend Announcements, Security Performance, and Capital Market Efficiency.” Journal of Finance, Vol. 27 (12 1972), pp. 993–1007.CrossRefGoogle Scholar
[11]Pettit, R. R. ”The Impact of Dividend and Earnings Announcements: A Reconciliation.” Journal of Business (01 1976), pp. 86–96.CrossRefGoogle Scholar
[12]Theil, H.Principles of Econometrics. New York: John Wiley & Sons, Inc. (1971).Google Scholar
[13]Watts, R. ”The Information Content of Dividends.” Journal of Business, Vol. 46 (04 1973), pp. 191–211.CrossRefGoogle Scholar
[14]Watts, R. ”Comments on ‘on the Informational Content of Dividends.’” Journal of Business, Vol. 49 (01 1976), pp. 81–85.CrossRefGoogle Scholar
[15]Watts, R. ”Comment on ‘the Impact of Dividend and Earnings Announcements: A Reconciliation.’” Journal of Business, Vol. 49 (01 1976), pp. 97–106.CrossRefGoogle Scholar