Abstract

http://ssrn.com/abstract=2287642
 


 



Predictable Corporate Distributions and Stock Returns


Hendrik Bessembinder


University of Utah - Department of Finance

Feng Zhang


University of Utah - Department of Finance

May 16, 2014


Abstract:     
Announcements of corporate distributions, including stock splits, stock dividends, special dividends, and increases in regular dividends, are quite predictable, mainly because they tend to recur at regular calendar intervals. The market fails to fully appreciate the implications of current distributions for future distributions and stock returns, as a simple strategy that involves purchasing firms with high predicted probabilities of distribution announcements earns significant abnormal monthly returns. These results are distinct from previously documented return anomalies related to regular earnings and dividend announcements and return seasonality.

Number of Pages in PDF File: 65

Keywords: stock dividends, stock splits, special dividends, dividend increases, predictability, return anomaly

JEL Classification: G14, G35

working papers series


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Date posted: July 1, 2013 ; Last revised: May 17, 2014

Suggested Citation

Bessembinder, Hendrik and Zhang, Feng, Predictable Corporate Distributions and Stock Returns (May 16, 2014). Available at SSRN: http://ssrn.com/abstract=2287642 or http://dx.doi.org/10.2139/ssrn.2287642

Contact Information

Hendrik (Hank) Bessembinder (Contact Author)
University of Utah - Department of Finance ( email )
David Eccles School of Business
Salt Lake City, UT 84112
United States
Feng Zhang
University of Utah - Department of Finance ( email )
David Eccles School of Business
Salt Lake City, UT 84112-9303
United States
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