Аннотация
This article investigates market reactions to initiations and omissions of cash
dividend payments. Consistent with prior literature we find that the magnitude of
short-run price reactions to omissions are greater than for initiations. In the year
following the announcements, prices continue to drift in the same direction, though
the drift following omissions is stronger and more robust. This postdividend
initiation/omission price drift is distinct from and more pronounced than that
following earnings surprises. A trading rule employing both samples earns positive
returns in 22 out of 25 years. We find little evidence for clientele shifts in either
sample.
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