TY - JOUR
T1 - Dividend increases and initiations and default risk in equity returns
AU - Charitou, Andreas
AU - Lambertides, Neophytos
AU - Theodoulou, Giorgos
PY - 2011/10
Y1 - 2011/10
N2 - This study extends the Grullon, Michaely, and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in default risk. This reduction is shown to be a priced risk factor beyond the Fama and French (1993) risk measures, and it explains the dividend payment decision and the positive market reaction around dividend increases and initiations. Further analysis reveals that the reduction in default risk is a significant factor in explaining the 3-year excess returns following dividend increases and initiations.
AB - This study extends the Grullon, Michaely, and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in default risk. This reduction is shown to be a priced risk factor beyond the Fama and French (1993) risk measures, and it explains the dividend payment decision and the positive market reaction around dividend increases and initiations. Further analysis reveals that the reduction in default risk is a significant factor in explaining the 3-year excess returns following dividend increases and initiations.
UR - http://www.scopus.com/inward/record.url?scp=81255165236&partnerID=8YFLogxK
UR - http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8444528&fileId=S0022109011000305
U2 - 10.1017/S0022109011000305
DO - 10.1017/S0022109011000305
M3 - Article
AN - SCOPUS:81255165236
SN - 0022-1090
VL - 46
SP - 1521
EP - 1543
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 5
ER -