عملکرد بلند مدت سهام ها بدنبال سود تقسیمی نقدی فوق العاده و ویژه
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|13607||2009||20 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : The Quarterly Review of Economics and Finance, Volume 49, Issue 1, February 2009, Pages 54–73
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.
نتیجه گیری انگلیسی
We begin our analyses by examining the post-declaration long-term abnormal stock returns for the entire sample. Table 2 reports the results for the first, second and third post-declaration years and for the one-, two-, and three-year post-declaration periods. The equally-weighted average abnormal monthly returns during the first-year following the declaration date, using the OLS and the WLS methods, are positive and their magnitude is close 0.18 and 0.16%, respectively. These monthly abnormal returns translate to only 2.18 and 1.93% when compounded over the one year, which is an economically small abnormal performance. In any case, while the WLS estimate of 0.16% is statistically significant at the 5% level, the OLS estimate of 0.18% has an unimpressive t-statistic of 1.43. Also, when portfolios are value-weighted by market capitalization, the average abnormal monthly returns during the first-year following the declaration date are much smaller in magnitude (0.02%), and the WLS estimate has a negative sign. Clearly, neither the magnitude, nor the sign, nor the statistical significance of the first-year post-declaration abnormal return is robust to changing the weighting method or the estimation procedure. In addition, all the abnormal returns over the second and third post-declaration years and over the two- and three-year post-declaration periods are statistically insignificant. Therefore, there is no clear evidence that investors generally under- or over-react to declarations of extraordinary or special U.S. cash dividends. We examine next whether our aggregate/general results for the entire sample mask some pricing inefficiency(ies) in some sub-samples.