The dividend month premium |
| |
Authors: | Samuel M Hartzmark David H Solomon |
| |
Institution: | University of Southern California, Marshall School of Business, 3670 Trousdale Parkway, Bridge Hall Suite 308, Los Angeles, CA 90089, United States |
| |
Abstract: | We find an asset pricing anomaly whereby companies have positive abnormal returns in months when they are predicted to issue a dividend. Abnormal returns in predicted dividend months are high relative to other companies and relative to dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value premium, but less volatile. The premium is consistent with price pressure from dividend-seeking investors. Measures of liquidity and demand for dividends are associated with larger price increases in the period before the ex-day (when there is no news about the dividend) and larger reversals afterward. |
| |
Keywords: | G12 G14 G35 |
本文献已被 ScienceDirect 等数据库收录! |
|