Information flow and liquidity around anticipated and unanticipated dividend announcements

Published

Journal Article

We study dividend announcements, conditioning on whether the timing of the announcement is anticipated. We find that liquidity deteriorates before (after) anticipated (unanticipated) announcements. We identify both timing and content effects and also contrast trading volume, price volatility, adverse selection, and price impact separately for anticipated and unanticipated events. Our results generally imply that news announcements reduce information asymmetry. An implication of our analysis is that market reactions around information events differ depending on whether an event's timing is known in advance. Therefore, researchers should consider whether event timing is known ex ante when studying news announcements. © 2006 by The University of Chicago. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Graham, JR; Koski, JL; Loewenstein, U

Published Date

  • September 1, 2006

Published In

Volume / Issue

  • 79 / 5

Start / End Page

  • 2301 - 2336

International Standard Serial Number (ISSN)

  • 0021-9398

Digital Object Identifier (DOI)

  • 10.1086/505236

Citation Source

  • Scopus