کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090635 | 1375640 | 2009 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dividends and price momentum
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Stock market evidence shows that momentum profits are lower among dividend-paying firms than their non-paying counterparts due to differences in losers' returns. Additionally, dividend maintenance is associated with higher returns for losers but not for winners. Finally, buying winners that increased their dividends and shorting losers that decreased their dividends enhances momentum profits. Consistent with the evidence, the behavioral models suggest that investors underreact to the losers' positive dividend-maintaining news, reducing their return momentum and shrinking the payers' momentum profit. Also, underreaction to positive news from winners' dividend-increasing announcements as well as to negative news from losers' dividend-decreasing announcements explains the higher momentum profits for strategies based on these stocks. The results do not appear consistent with risk-based explanations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 3, March 2009, Pages 486-494
Journal: Journal of Banking & Finance - Volume 33, Issue 3, March 2009, Pages 486-494
نویسندگان
Ebenezer Asem,