Logo
Munich Personal RePEc Archive

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.

[thumbnail of MPRA_paper_68570.pdf]
Preview
PDF
MPRA_paper_68570.pdf

Download (258kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.