Market Reactions to Dividend Announcements: Temporary or Temporal (Risk Stability, Signalling, Beta)
This study examines the possibility that the market changes its assessment of a firm's systematic risk as a result of the dividend signal. When the signal is given, the market perceives the firm's revised expected cash flows. The newly revealed incremental cash flows may interact with the old cash flows so as to effect changes in systematic risk. Mechanisms are examined whereby the market may assess not only the magnitude of the expected future cash flows but also their incremental interaction with the old cash flows and thereby effect changes in risk.
University of Illinois - Urbana-Champaign
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University of Illinois at Urbana-Champaign