Asymmetric responses to dividend announcements (notice n° 547209)
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| fixed length control field | 01921cam a2200229 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121114637.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Agbetonyo, Yaovi Sélom |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Asymmetric responses to dividend announcements |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2019.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 10 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper investigates how changes in the macro-financial environment impact the way in which capital market prices react to dividend announcements. Using a sample of 841 dividend announcements by French companies belonging to the SBF 120 index, we examined the role of changes in the ambiguity level (Knightian uncertainty) around the announcement date (implied volatility – VCAC – is used as an empirical proxy for ambiguity) on the response of investors to a release of dividend information. Based on a global sample and applying interaction methodology, we found that, consistent with ambiguity theory, an increase in VCAC leads investors to place more weight on news of bad dividends than on news of good dividends. When the sample is split, depending on the VCAC sign, the results are more complex. We actually obtained an important asymmetric impact between good and bad news for the larger window [-15; +15] but not for the smaller one [-1; +1]. Nevertheless, in this latter case, we observed that, consistent with the ambiguity explanation, the reaction to good (bad) news decreases (increases) dramatically when ambiguity increases, compared to when ambiguity decreases. JEL code: G14, G35. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | ambiguity |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | knightian uncertainty |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | French market |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | dividend announcements |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Fromont, Emmanuelle |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Viviani, Jean-Laurent |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Revue de l'OFCE | o 160 | 1 | 2019-02-04 | p. 77-104 | 1265-9576 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-revue-de-l-ofce-2019-1-page-77?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-revue-de-l-ofce-2019-1-page-77?lang=en&redirect-ssocas=7080</a> |
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