Dividend Announcements Reconsidered: Dividend Changes Versus Dividend Surprises

Andrés, Christian; Betzer, André; Bongard, Inga van den; Haesner, Christian; Theissen, Erik

doi:10.2139/ssrn.2084886

Cited by 5 publications

(5 citation statements)

References 43 publications

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“…Treating all dividend changes as surprises does not account for the ability of market participants to incorporate information in stock prices when it first becomes available. Our results support the findings of Andres et al (2011) and strongly suggest the use of dividend surprises rather than dividend changes. Henceforth, we therefore use DIV ERR iy as a measure for dividend surprises and test our hypotheses for the classification of good news announcements.…”

Section: Dividend Announcements Effects and Market Expectationssupporting

confidence: 90%

“…Thus, with yearly dividend payments this naïve model may imply large forecast errors. Indeed, Andres et al (2011) show that share prices react to the surprise component of the announcement, not to the dividend change per se. We therefore use analysts' forecasts as proxy for market expectations.…”

Section: Measurement Of Dividend Surprisesmentioning

confidence: 99%

“…In section 4.1 we provide evidence that suggests the use of the dividend estimation error rather than the change in dividend as the appropriate measure for dividend surprises. Andres et al (2011) show that the dividend expectation error based on analysts' forecasts is a more appropriate measure of dividend surprises than dividend changes (naïve expectation model). We employ I/B/E/S analysts' forecasts 13 as a proxy for the market's expected dividend payments.…”

Section: Measurement Of Dividend Surprisesmentioning

confidence: 99%

“…21 The calculation follows da Silva, Goergen and Renneboog. See Andres et al (2011) for a more detailed description of the calculation method.…”

Section: Evidence Of Tax Effectsmentioning

confidence: 99%

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Taxes and the Valuation of Dividends: A Study of Dividend Announcements in Germany

Haesner

Schanz

2011

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in April 2011Abstract: This paper investigates the impact of the 2001 tax reform in Germany on dividend announcement returns. With this major tax reform, the full imputation system was replaced by the half-income system, which had a significant impact on the relative taxation of dividends and capital gains for most investor classes. In an event study framework, we separate the tax effect of dividends from their positive signaling and agency cost effects to offer a more comprehensive picture of the valuation implications of dividends in Germany. Controlling for signaling and agency cost effects of dividends we find that the market response to positive dividend surprises is more pronounced under the full imputation system, where dividends are generally more favorable to investors from a tax perspective, than under the half-income system. Our results suggest that the observed decline in the dividend response coefficient is synchronized with the 2001 tax reform and hence attributable to the 2001 tax reform.JEL Classification: G35, G14, H3, G34

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Section: Dividend Announcements Effects and Market Expectationssupporting

confidence: 90%

Section: Measurement Of Dividend Surprisesmentioning

confidence: 99%

Section: Measurement Of Dividend Surprisesmentioning

confidence: 99%

“…21 The calculation follows da Silva, Goergen and Renneboog. See Andres et al (2011) for a more detailed description of the calculation method.…”

Section: Evidence Of Tax Effectsmentioning

confidence: 99%

See 2 more Smart Citations

Taxes and the Valuation of Dividends: A Study of Dividend Announcements in Germany

Haesner

Schanz

2011

SSRN Journal

Self Cite

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“…Indeed recent German evidence derived from a short window event study of dividend surprise suggests that dividends may convey price relevant information (Andres et al, 2013). Furthermore both Pope and Wang (2005) and Clubb (2013) suggest that accounting conservatism may drive a positive coefficient on dividends and taxation, agency and signalling explanations for dividend value relevance have been often postulated (Clubb and Walker, 2012).…”

Section: Resultsmentioning

confidence: 99%

Dividend Irrelevance and Accounting Models of Value

Rees¹,

Valentincic

2011

SSRN Journal

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Borsa İstanbul’da COVID-19 Etkisi: Kısa Dönemli Sektörel Piyasa Tepkilerinin Endeks Bazında Ölçülmesi

Yağcılar

2021

Ekonomi, Politika &Amp; Finans Araştırmaları Dergisi

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Çalışmanın amacı, COVID-19 pandemisinin Borsa İstanbul (BİST) üzerindeki kısa dönemli etkisini ölçmek ve endekslerin pandemi ile ilişkili olaylar karışında verdikleri tepkilerde bir farklılaşma olup olmadığını tespit etmektir. Bu amaçla BİST'te yer alan sektörel endekslerden arasından seçilmiş 12 endeks üzerinde incelemeler yapılmış, olay analizi yöntemi kullanılarak pandemi ile ilişkili ikisi pozitif ikisi negatif olmak üzere 4 olaya karşı endekslerin tepkileri karşılaştırılmıştır. Seçilen olay günleri 30 Ocak 2020 tarihinde Dünya Sağlık Örgütü (DSÖ) tarafından Uluslararası halk sağlığı acil durumu ilanı, 11 Mart 2020'de Türkiye'de ilk vakanın görülmesi, 4 Mayıs 2020'de normalleşmeye ilişkin planlamaların duyurulması ve 9 Kasım 2020'de aşı çalışmalarının başarıya ulaştığı haberinin duyurulmasıdır. Bulgular değerlendirilirken Mart ayı boyunca meydana gelen farklı olayların etkileri de günlük anormal getiriler dikkate alınarak yorumlanmaya çalışılmıştır. Elde edilen sonuçlar pandemi ile ilişkili olaylar karşısında duyarlılığı en yüksek olan endekslerin Teknoloji, Ulaştırma, Turizm, KOBİ ve Bilişim sektörlerine ait olduğunu göstermiştir. Bu endekslerde pozitif olaylar karşısında pozitif, negatif olaylar karşısında negatif anormal getiriler meydana gelmiştir. Banka ve İletişim endekslerinde oluşan anormal getiriler ise öncekilerle genellikle ters yönlü olarak ortaya çıkmıştır.

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Dividend Announcements Reconsidered: Dividend Changes Versus Dividend Surprises

Cited by 5 publications

References 43 publications

Taxes and the Valuation of Dividends: A Study of Dividend Announcements in Germany

Taxes and the Valuation of Dividends: A Study of Dividend Announcements in Germany

Dividend Irrelevance and Accounting Models of Value

Borsa İstanbul’da COVID-19 Etkisi: Kısa Dönemli Sektörel Piyasa Tepkilerinin Endeks Bazında Ölçülmesi

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