Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements

Posted: 11 Aug 2004

See all articles by John R. Graham

John R. Graham

Duke University; National Bureau of Economic Research (NBER)

Jennifer L. Koski

University of Washington - Michael G. Foster School of Business

Uri Loewenstein

University of Utah - Department of Finance

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Abstract

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.

Keywords: Dividends, news releases, announcements, stock price reactions, stock returns, information flow, scheduled, unscheduled, anticipated, unanticipated

JEL Classification: G14, G35

Suggested Citation

Graham, John Robert and Koski, Jennifer Lynch and Loewenstein, Uri, Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements. Available at SSRN: https://ssrn.com/abstract=574642

John Robert Graham (Contact Author)

Duke University ( email )

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Jennifer Lynch Koski

University of Washington - Michael G. Foster School of Business ( email )

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Uri Loewenstein

University of Utah - Department of Finance ( email )

David Eccles School of Business
Salt Lake City, UT 84112
United States
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801-581-7214 (Fax)

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