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Alternative event study methodology for detecting dividend signals in the context of joint dividend and earnings announcements

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  • Warwick Anderson

Abstract

Friction models are used to examine the market reaction to the simultaneous disclosure of earnings and dividends in a thin‐trading environment. Friction modelling, a procedure using maximum likelihood estimation, can be used to replace both the market model and restricted least‐squares regression in event studies where there are two quantifiable variables and a number of possible interaction effects associated with the news that constitutes the study's event. The results indicate that the dividend signal can be separated from the earnings signal.

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  • Warwick Anderson, 2009. "Alternative event study methodology for detecting dividend signals in the context of joint dividend and earnings announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(2), pages 247-265, June.
    • Handle: RePEc:bla:acctfi:v:49:y:2009:i:2:p:247-265
    DOI: 10.1111/j.1467-629X.2008.00289.x
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    1. Maosheng Ye & Jim H. Shen & Eric Golson & Chien‐Chiang Lee & Yuting Li, 2022. "The impact of Sino–US trade friction on the performance of China's textile and apparel industry," International Finance, Wiley Blackwell, vol. 25(2), pages 151-166, August.
    2. Burak Pirgaip & Mehmet Berktay Akyüz, 2020. "To Be Rated or To Be Indexed: Corporate Governance Rating Experience in Borsa Istanbul," Istanbul Business Research, Istanbul University Business School, vol. 49(2), pages 271-300, November.
    3. Hunjra, Ahmed Imran & Bilal, Muhammad & Shafi, Haroon & Ullah, Ikram & Rehman, Kashif-Ur-, 2010. "Patterns of capital structure and dividend policy in Pakistani corporate sector and their impact on organization performance," MPRA Paper 40658, University Library of Munich, Germany.
    4. Scott Walker, 2015. "Repeated Dividend Increases: A Collection of Four Essays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2015, January-A.
    5. Warwick Anderson & Wen Kang, 2018. "The Relative Announcement Effects of Ordinary Dividends, Special Dividends and Share Buybacks in New Zealand," Working Papers in Economics 18/02, University of Canterbury, Department of Economics and Finance.
    6. Vahidin Jeleskovic & Yinan Wan, 2024. "The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method," Papers 2402.14206, arXiv.org.
    7. Scott Walker, 2015. "Repeated Dividend Increases: A Collection of Four Essays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 17, July-Dece.

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