On average, nonconvertible preferred stocks have significantly positive abnormal returns and trading volume on the ex-day. For the less liquid stocks, however, the abnormal returns are significantly positive, and abnormal trading volume is insignificantly different from zero. This evidence suggests that long-term individual investors set the ex-day prices of less liquid stocks. For the more liquid stocks, the ex-day abnormal returns are closer to zero, and there is significantly positive abnormal trading volume on the ex-day and the day before the ex-day. These results suggest that short-term investors set the ex-day prices of more liquid stocks through dividend capture strategies. Despite this evidence, some inconsistent empirical findings make the overall evidence on dividend capture somewhat mixed.

Public announcement, Preannouncements of information, Private information, Price reaction

Abstract. This paper presents the results of 16 laboratory markets designed to test the theoretical assertion that, when disclosures are credible, managers/sellers will fully disclose private information to potential investors/buyers. Sellers are predicted to disclose all information so as not to be classified as having the worst possible information. This experiment manipulated two treatments: the number of disclosure options available to the seller and the buyers' knowledge of those disclosure options. The results show that, after repeated dealings between sellers and buyers, the sellers moved toward full disclosure. Buyers adjusted their bidding strategies in response to the seller's disclosure strategy in all markets except those that had both (1) a large number of disclosure options and (2) no knowledge by buyers of the disclosure options. These results may provide some perspective on the market‐based results that show that investors do not react in a fully skeptical fashion with respect to managerial disclosures. Our results suggest that knowledge of the menu of disclosure options may increase the speed of markets adjusting to disclosures, particularly when the menu of disclosure options is large. Résumé. Les auteurs présentent les résultats de l'étude en laboratoire de seize marchés à partir desquels ils ont voulu vérifier l'affirmation théorique selon laquelle, lorsque l'information communiquée est vraisemblable, les gestionnaires‐vendeurs présentent intégralement l'information privilégiée aux investissieurs‐acheteurs potentiels. La décision des vendeurs de communiquer intégralement l'information serait motivée par leur désir de ne pas laisser supposer que l'information qu'ils possèdent est extrêmement négative. Dans le cadre de cette expérience, les auteurs ont abordé la question sous deux angles: le nombre d'options dont dispose le vendeur en matière de présentation de l'information et la connaissance de ces différentes options chez l'acheteur. Les résultats démontrent qu'après plusieurs séances de négociation entre vendeurs et acheteurs, les vendeurs consentaient à la présentation intégrale de l'information. Les acheteurs adaptaient leur stratégie d'offre en réponse à la stratégie de présentation de l'information du vendeur dans tous les marchés, à l'exception des marchés caractérisés à la fois par 1) un nombre important d'options de présentation de l'information et 2) aucune connaissance, chez les acheteurs, des options de présentation de l'information. Ces résultats pourraient ouvrir certaines perspectives en ce qui a trait aux résultats, fondés sur le marché, qui démontrent que les investisseurs ne mettent pas systématiquement en doute l'information présentée par les gestionnaires. Les résultats de l'étude laissent supposer que la connaissance des différentes options de présentation de l'information peut accélérer l'adaptation des marchés à la présentation de l'information, en particulier lorsque les options de présentation sont nombreuses.

In this paper we report the results of experimental markets designed to test a disclosure model based on the models of Dye [1985] and Jung and Kwon [1988]. These authors show that when receivers of information do not know whether senders possess private information, the senders will not fully disclose their private information. Their models were motivated by the discrepancy between the theoretical predictions for voluntary disclosures and empirical results. In the theoretical area, Grossman [1981] and Milgrom [1981] predicted that private information will be fully disclosed when disclosures are credible and receivers know the holder has private information; agents disclose to identify themselves as not possessing the worst possible information. Watts [1977] argued that voluntary disclosure will occur because of market pressures and the threat of regulatory intervention. Beaver [1977; 1988] described how auditing and legal liability may induce full disclosure. Nevertheless, empirical research indicates full disclosure is not always observed (e.g., Penman [1980] and Seligman [1986]).

This paper provides descriptive data on standard sources of analyst forecasts used in accounting research: the Value Line Investment Survey, the Institutional Brokers Estimate System (IBES), and, toa lesser extent, the Standard & Poor's Earnings Forecaster and Zacks Investment Research. We examine the relative accuracy of seven forecast error metrics, using various combinations of Value Line and IBES forecasts of quarterly earnings per share (EPS) and actual earnings as reported by Value Line, IBES, and Compustat. (Appendix A reports the relative accuracy of a forecast error metric based on a smaller sample of Standard and Poor's forecasts of annual EPS). We find the forecast error metric that pairs the Value Line forecast EPS with the Value Line actual EPS produces the smallest absolute forecast errors. We also test the association of these forecast error metrics with threeday excess returns centered on the data of a quarterly earnings announcement. The strongest associations are obtained with the use of Value Line actual earnings and either Value Line or IBES forecast data. This suggests that the choice of actual EPS data is more crucial than the source of forecast EPS data. Our overall conclusion is that Value Line

Data for metals sold on commodity exchanges and at prices set by producers are used to test the relationship between the organization of markets and the behavior of prices. On the production side the question is whether prices are more stable in concentrated industries. And on the sales side the question is whether markets where buyers are consumers have more stable prices than those with consumers and speculators. The recent increase in metal-price instability is explained by changes in the market-structure and organization variables. Foremost is increased reliance on commodity exchanges. Declines in concentration are of less importance.

Journal Article Entry Deterrence, Divisionalization, and Investment Decisions Get access E. C. H. Veendorp E. C. H. Veendorp Clark University Search for other works by this author on: Oxford Academic Google Scholar The Quarterly Journal of Economics, Volume 106, Issue 1, February 1991, Pages 297–307, https://doi.org/10.2307/2937918 Published: 01 February 1991

Many authors have identified the hazards of ignoring event-induced variance in event studies. To determine the practical extent of the problem, we simulate an event with stochastic effects. We find that when an event causes even minor increases in variance, the most commonly-used methods reject the null hypothesis of zero average abnormal return too frequently when it is true, although they are reasonably powerful when it is false. We demonstrate that a simple adjustment to the cross-sectional techniques produces appropriate rejection rates when the null is true and equally powerful tests when it is false.