Predictable Corporate Distributions and Stock Returns

Abstract

Corporate managers frequently announce corporate distributions, including stock splits, stock dividends, special dividends, and increases in regular dividends, on the anniversary of a like announcement at the same firm. The market appears to not 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 regularities related to regular earnings and dividend announcements and return seasonality.