STOCK PRICE REACTIONS TO DIVIDEND AND EARNINGS ANNOUNCEMENTS: CONTEMPORANEOUS VERSUS NONCONTEMPORANEOUS ANNOUNCEMENTS

In this paper we examine stock price reactions to contemporaneous and noncontemporaneous dividend and earnings announcements. Overall, the stock price reaction to joint announcements is significantly greater than the reaction to just one signal. This implies that there is information content to two signals being given simultaneously, and that announcements are not perfect substitutes. Some evidence shows that the reaction to a joint announcement is approximately twice that to a noncontemporaneous announcement. On average, the stock price reaction to joint contradictory announcements is not significant. Finally, for joint announcements where only one of the two announcements is expected to affect the stock price significantly, the market reaction is determined by the nonzero signal.     

THE TIMELINESS OF HALF YEARLY EARNINGS ANNOUNCEMENTS AND STOCK RETURNS

This paper examines the association between the timeliness of the half-yearly report for Australian firms and the abnormal stock price behaviour around the time of the announcement. The results support the overseas evidence that reports containing ‘good’ news are released earlier than reports containing ‘bad’ news. The abnormal returns are consistent with the direction and magnitude of the earnings and dividend information. We find no evidence to support the Kross and Schroeder [1984] conclusion that timeliness per se is associated with abnormal returns once appropriate control is made for earnings/dividend information.     

STOCK PRICE BEHAVIOR OF PURE CAPITAL STRUCTURE ISSUANCE AND CANCELLATION ANNOUNCEMENTS

I examine planned senior-for-junior and junior-for-senior transactions that are subsequently canceled. I find statistically significant stock returns for issuance and cancellation announcements that are positively related to the direction of the leverage change. The magnitude and direction of the returns differ from previous research. Discrepancies are attributed to different issuance purposes.     

CHANGES IN THE STOCK PRICE REACTION OF SMALL FIRMS TO COMMON INFORMATION

We hypothesize that changes in the technological and regulatory environment result in a more rapid response to marketwide information by small firms. We find that the correlations between small-firm returns and lagged large-firm returns decline over time, which suggests an increase in the efficiency of capital markets. Similar lead-lag patterns are found in the returns of portfolios sorted by dollar trading volume. The price response of low-volume stocks improves over time in much the same way as that of small-capitalization stocks.     

A FURTHER EXAMINATION OF STOCK PRICE CHANGES AND TRANSACTION VOLUME

This study provides a further test of whether the price change-volume relationship is asymmetric as Epps' theoretical model and empirical evidence indicate. Testing during periods of known information arrival supports his hypothesis that the ratio of volume to absolute price change on price increases is higher than that ratio on equivalent price decreases. There is some contrary evidence when the testing occurs over trading days for which there is no known information arrival. This reversal of results could be due to the combined effect of positive transaction costs and no information arrival. There is evidence in support of this explanation.     

EARNINGS FORECAST REVISIONS ASSOCIATED WITH STOCK SPLIT ANNOUNCEMENTS

Recent studies document abnormal stock returns at stock split announcements. Three hypotheses related to expected future earnings—the trading range, attention, and signaling hypotheses—have been offered as explanations. Evidence has also been provided that splitting firms have greater postannouncement earnings growth than control nonsplitting firms. Using earnings expectation data from the Institutional Brokers Estimate System, significantly greater forecast revisions are found in this study for split firms than for control nonsplit firms. The difference is significantly related to abnormal stock returns of splitting firms.