Abstract
This paper examines the Halloween effect in special dividend announcements. We find that firms are more likely to announce special dividends at the end of a year, especially in the months of November and December. There is a Halloween effect in the announcements, but more importantly, there is a Christmas effect in the propensity and abnormal returns of special dividends. This paper provides initial evidence on the Christmas effect of special dividend payments. It links monthly effects in stock returns and corporate events to explain the likelihood of the occurrence of special dividend announcements. The results of this paper shed light on why corporate events are more likely to occur in some periods, but less likely to occur in others.
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