The dividend month premium

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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial economics 2013-09, Vol.109 (3), p.640-660
Hauptverfasser:	Hartzmark, Samuel M., Solomon, David H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Asset pricing Behavioral finance Dividends Financial economics Investment analysis Liquidity Mispricing Personal finance Price increases Price pressure Risk premiums Stock returns Studies Volatility
Online-Zugang:	Volltext
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