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The impact of publication of analysts' recommendations on returns and trading volume
post 1945 period. A rise in average age is found to predict a rise in risk premiums. Journal ofBusiness, 1994,67(2): 165-202. (Reprinted with permission of the Journaf ofBusiness.)
INVESTMENT SELECTION ANDINDXVIDUAL PORTFOLIO MANAGEMENT A Dividend Payment Effect in Stock Returns, by Joseph P. Ogden (State University
of New York at Buffalo)
This paper presents evidence for the period 7162-12189 that individual NYSE and AMEX stocks provide relatively high average excess returns on the payment dates of quarterly cash dividends and several subsequent trading days. Additional results indicate that returns during the payment period: (a) are not a manifestation of the January, monthly or dividend yield anomalies; (b) are positively related to the stock’s dividend yield; and (c) are higher for firms that have dividend reinvestment plans. These endings are consistent with a tendency by stockholders to reinvest dividend income into the stock of the paying firm, thereby increasing demand for the stock and raising its price. Additional evidence links the returns on these days with (previously-documented) excess returns around the ex-dividend date. The Financial Review, August 1994,29(3): 345-369. (Reprinted with permission of T!re FinanciaE Review.)
The Impact of Publication of Analysts’ Recommendations on Returns and Trading Volume, by Oded Palmon (Rutgers University), Huey-Lian Sun and Alex P. Tang (Morgan State University) Publication of security analysts’ recommendations in the column “Inside Wall Street,” which is published in Business Week, induces abnormal returns on the publication day and the following day. The abnormal returns are robust to the use of alternative samples and methodologies. The publication increases trading volumes for the securities that are recommended to be purchased, but not for securities that are recommended to be sold. The abnormal returns and trading volumes support the view that stock prices do not adjust instantaneously when new info~nation arrives, and that the time pattern of price adjustment depends on the time pattern of the accessibility of the information. The authors find no statistically significant difference between the average abnormal returns that are induced by recommendations that appear at the beginnings of “Inside Wall Street” columns (and are covered more extensively than others) and the average abnormal returns induced by other r~ommendations. Tl?e Fi~l~~l~i~~Review, August 1994, 29(3): 395-417. (Reprinted with permission of Ti?e FiIlan~i~l Re~jew.~
Determinants of Relative Investor Demand for Common Stocks, by William M. Cready (Texas A&M University) This paper examines the demand for a firm’s common stock by wealthy relative to less wealthy individual investors and by individual relative to institutional investors as a function of risk, information environment (proxied by firm size and S&P 500 membership), and form of return payout (i.e., dividends versus capital gains.) The findings indicate that among
INVESTMENT SELECTION ANDINDXVIDUAL PORTFOLIO MANAGEMENT A Dividend Payment Effect in Stock Returns, by Joseph P. Ogden (State University
of New York at Buffalo)
This paper presents evidence for the period 7162-12189 that individual NYSE and AMEX stocks provide relatively high average excess returns on the payment dates of quarterly cash dividends and several subsequent trading days. Additional results indicate that returns during the payment period: (a) are not a manifestation of the January, monthly or dividend yield anomalies; (b) are positively related to the stock’s dividend yield; and (c) are higher for firms that have dividend reinvestment plans. These endings are consistent with a tendency by stockholders to reinvest dividend income into the stock of the paying firm, thereby increasing demand for the stock and raising its price. Additional evidence links the returns on these days with (previously-documented) excess returns around the ex-dividend date. The Financial Review, August 1994,29(3): 345-369. (Reprinted with permission of T!re FinanciaE Review.)
The Impact of Publication of Analysts’ Recommendations on Returns and Trading Volume, by Oded Palmon (Rutgers University), Huey-Lian Sun and Alex P. Tang (Morgan State University) Publication of security analysts’ recommendations in the column “Inside Wall Street,” which is published in Business Week, induces abnormal returns on the publication day and the following day. The abnormal returns are robust to the use of alternative samples and methodologies. The publication increases trading volumes for the securities that are recommended to be purchased, but not for securities that are recommended to be sold. The abnormal returns and trading volumes support the view that stock prices do not adjust instantaneously when new info~nation arrives, and that the time pattern of price adjustment depends on the time pattern of the accessibility of the information. The authors find no statistically significant difference between the average abnormal returns that are induced by recommendations that appear at the beginnings of “Inside Wall Street” columns (and are covered more extensively than others) and the average abnormal returns induced by other r~ommendations. Tl?e Fi~l~~l~i~~Review, August 1994, 29(3): 395-417. (Reprinted with permission of Ti?e FiIlan~i~l Re~jew.~
Determinants of Relative Investor Demand for Common Stocks, by William M. Cready (Texas A&M University) This paper examines the demand for a firm’s common stock by wealthy relative to less wealthy individual investors and by individual relative to institutional investors as a function of risk, information environment (proxied by firm size and S&P 500 membership), and form of return payout (i.e., dividends versus capital gains.) The findings indicate that among