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

December 2, 2013


Abstract:     
Corporate distribution events, including stock splits, stock dividends, special dividends, and increases in regular dividends, are predictable, in part because they tend to recur at regular calendar intervals. The market fails to fully appreciate the implications of current distribution events for future distribution events and returns, as a simple trading strategy that involves purchasing firms with high predicted probabilities of recurring distribution events 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: 57

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

JEL Classification: G14, G35

working papers series


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Date posted: July 1, 2013 ; Last revised: December 3, 2013

Suggested Citation

Bessembinder, Hendrik and Zhang, Feng, Predictable Corporate Distributions and Stock Returns (December 2, 2013). 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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