The Department of Finance is proud to announce the upcoming seminar with Hank Bessembinder, University of Utah.
Hank will present:
Predicting Corporate Distributions
Hank Bessembinder, University of Utah
Feng Zhang, University of Utah
Corporate distribution events, including stock splits, stock dividends, special dividends, and increases in regular dividends, are predictable, in part because they tend to recur periodically. The market partially anticipates such recurring events, as average abnormal announcement returns are smaller if the event is more predictable. Nevertheless, a simple trading strategy that involves purchasing firms with high predicted probabilities of recurring distribution events earns significant abnormal monthly returns. These results parallel, but are distinct from, previously documented return anomalies related to predictable earnings and dividend announcements.