Abstract This paper investigates whether the equity market anticipates dividend changes that have large value effects in the days leading to the announcements. In particular, I partition dividend changes into those with large and small value effects based on dividend and firm characteristics and study the abnormal returns preceding the changes by the two groups. T-tests are used to test the difference in mean abnormal returns preceding dividend changes by the two groups, and regression techniques are used to test whether this difference is equal to the corresponding difference for firms that maintain dividends. The results show that the abnormal returns preceding dividend changes that have large value effects are not different from those preceding dividend changes that have minimal value effects or, if there is a difference, it is statistically similar to the corresponding difference preceding unchanged dividends. Thus, it does not appear that the equity market exploits the price effect of dividend changes that have large value effects in the days leading to the events. This contrasts evidence that shows that the equity market anticipates corporate events that have large price effects in the days proximal to the events.

中文翻译：

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股票市场是否利用了股息变化？

摘要 本文研究了股票市场是否预期在公告前几天具有较大价值影响的股息变化。特别地，我根据股利和公司特征将股利变化分为具有大价值效应和小价值效应的变化，并研究了两组变化之前的异常收益。T检验用于检验两组股利变动前平均异常收益的差异，并使用回归技术检验这种差异是否等于维持股利的公司的相应差异。结果表明，具有较大价值效应的股利变动之前的异常收益与具有最小价值效应的股利变动之前的异常收益没有区别，或者，如果存在差异，则 它在统计上类似于股息不变之前的相应差异。因此，股票市场似乎没有利用股息变化的价格效应，这些变化在导致事件发生的日子里具有巨大的价值效应。这与表明股票市场预期在事件发生前几天具有较大价格影响的公司事件的证据形成对比。