| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 97 === The main purpose for this paper is to investigate whether reductions and omissions of dividend induce post-announcement long-term abnormal returns. We use the CAPM model, the Fama-French three-factor model and buy-and-hold abnormal returns to measure the post-announcement long-term stock performance of dividend-reducing and dividend-omitting firms.
Our empirical results show that dividend-reducing and dividend-omitting firms experience negative post-announcement long-term abnormal stock returns, but the abnormal returns last one year only. However, a further examination reveals that the long-term abnormal performance is driven by the post-earnings-announcement drift. Specifically, after controlling for the earning performance, there is no evidence of a post-dividend-reduction or post-dividend-omission price drift. This implies that the dividend-reducing and dividend-omitting firms do not have post-announcement long-term abnormal returns.
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