TY - JOUR
T1 - Long-term stock performance following extraordinary and special cash dividends
AU - Chou, De Wai
AU - Liu, Yi
AU - Zantout, Zaher
N1 - Funding Information:
The authors greatly appreciate the helpful comments of the anonymous referee and the editor, the participants at the research seminar at Rider University, the 2006 Financial Management Association Meeting in Stockholm, Sweden, and the 2006 Eastern Finance Association Meeting in Philadelphia, Pennsylvania. The generous financial support of Yuan Ze University, Rider University and Capital University is also acknowledged. The usual disclaimer applies.
PY - 2009/2
Y1 - 2009/2
N2 - Using essentially all declared extraordinary and special cash dividends between 1926 and 2001 which are not preceded or followed by the same for a period of three years, we find no robust post-declaration long-term abnormal stock returns, even in sub-samples defined by the special dividend yield, the bang-for-the-buck, the declaration-period abnormal return, the sub-sampling period or the stock market condition at declaration. Only event firms in the smallest CRSP market capitalization quintile display significant positive abnormal returns during the first-year following the declaration. However, these latter are not robust across sub-sampling periods. Overall, there is no compelling evidence that investors under- or over-react to extraordinary or special cash dividends.
AB - Using essentially all declared extraordinary and special cash dividends between 1926 and 2001 which are not preceded or followed by the same for a period of three years, we find no robust post-declaration long-term abnormal stock returns, even in sub-samples defined by the special dividend yield, the bang-for-the-buck, the declaration-period abnormal return, the sub-sampling period or the stock market condition at declaration. Only event firms in the smallest CRSP market capitalization quintile display significant positive abnormal returns during the first-year following the declaration. However, these latter are not robust across sub-sampling periods. Overall, there is no compelling evidence that investors under- or over-react to extraordinary or special cash dividends.
KW - Dividend policy
KW - Market efficiency
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U2 - 10.1016/j.qref.2007.02.002
DO - 10.1016/j.qref.2007.02.002
M3 - Article
AN - SCOPUS:58449120007
SN - 1062-9769
VL - 49
SP - 54
EP - 73
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
IS - 1
ER -