The Information Content Of Concurrently Announced Quarterly Earnings And Dividends

Abstract

This research hypothesizes that concurrently announced earnings and dividends have a multiplicative effect on residual security returns. To test the hypothesis, residual returns are regressed on unexpected earnings and unexpected dividend variables, as well as on dummy variables defined based on their signs. Using a sample of same-day announcements of earnings and dividends over an 80-month period, it is shown that only the dummy variables, which reflect multiplicative effects, are useful in explaining security returns.