Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien

Gurgul, Henryk and Majdosz, Paweł and Mestel, Roland (2007): Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien. Published in: Managerial Economics , Vol. 1, No. 1 (2007): pp. 121-142.

Abstract

In this paper an event study is conducted to detect price reactions on dividend announcements using data from the Austrian stock market. We use the Market Model and the Market Model with Dummies to describe the return generating process. To identify the significance of abnormal returns we apply parametric as well as non-parametric tests (modified rang test and bootstrap). Announced dividend increases induce stock prices to rise, whereas dividend decreases lead to shrinking prices.

• Item Type: MPRA Paper
• English Title: On application of regression models in event studies on financial markets
• Language: German
• Keywords: event study, dummy variable, regression
• Subjects: G - Financial Economics > G0 - General; G - Financial Economics > G0 - General > G00 - General

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