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THE WEEKEND EFFECT AND CORPORATE DIVIDEND ANNOUNCEMENTS

Numerous studies document a day‐of‐the‐week effect in stock returns. Although a common explanation for this phenomenon concerns a potential daily pattern in the release of corporate information, existing studies provide conflicting evidence. To aid in resolving this issue, possible seasonalities in...

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Bibliographic Details
Published in:The Journal of financial research 1992-04, Vol.15 (1), p.69-76
Main Authors: Schatzberg, John D., Datta, Prabir
Format: Article
Language:English
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Summary:Numerous studies document a day‐of‐the‐week effect in stock returns. Although a common explanation for this phenomenon concerns a potential daily pattern in the release of corporate information, existing studies provide conflicting evidence. To aid in resolving this issue, possible seasonalities in a sample of 138,824 dividend announcements are investigated over twenty‐six years across 3,484 firms. Tests provide no support for the information hypothesis and suggest that the anomalous pattern of returns is driven by some factor unrelated to information arrivals.
ISSN:0270-2592
1475-6803
DOI:10.1111/j.1475-6803.1992.tb00787.x