Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
959486 | Journal of Financial Economics | 2013 | 21 Pages |
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.
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Authors
Samuel M. Hartzmark, David H. Solomon,