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DIVIDEND POLICY AND THE BID‐ASK SPREAD: AN EMPIRICAL ANALYSIS
14 references·12 citing·47 second hop
DIVIDEND POLICY AND THE BID‐ASK SPREAD: AN EMPIRICAL ANALYSIS (1992)DIVIDEND POLICY AND THE BID‐ASK SPREAD: A…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Insider Holdings and Perceptions of Information Asymmetry: A Note (1988)Insider Holdings and Percepti…Estimating the components of the bid/ask spread (1988)Estimating the components of …Corporate payout policy (1988)Corporate payout policyAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Market Making and the Changing Structure of the Securities Industry (1985)Market Making and the Changin…Dividend Policy under Asymmetric Information (1985)Dividend Policy under Asymmet…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Two Agency-Cost Explanations of Dividends (1984)Two Agency-Cost Explanations …Differential information and the small firm effect (1984)Differential information and …GROWTH, BETA AND AGENCY COSTS AS DETERMINANTS OF DIVIDEND PAYOUT RATIOS (1982)GROWTH, BETA AND AGENCY COSTS…THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…The Only Game in Town (1971)The Only Game in TownThe impact of environmental, social and governance ( ESG ) score on dividend payment of large family firms: What is the role of financial constraints? International evidence (2023)The impact of environmental, …A bibliometric review of dividend policy literature (2023)A bibliometric review of divi…Dividend policy, systematic liquidity risk, and the cost of equity capital (2022)Dividend policy, systematic l…Does earnings transparency affect corporate payout decisions? (2020)Does earnings transparency af…DIVIDEND POLICY AND STOCK ACQUISITION ANNOUNCEMENT RETURNS: A TEST OF ASYMMETRIC INFORMATION THEORY (2018)DIVIDEND POLICY AND STOCK ACQ…How do creditors respond to disclosure quality? Evidence from corporate dividend payouts (2017)How do creditors respond to d…ANALYSIS OF ABNORMAL RETURN, STOCK RETURN AND STOCK LIQUIDITY BEFORE AND AFTER BUYBACK SHARE: CASE STUDY OF COMPANIES LISTED IN INDONESIA STOCK EXCHANGE IN PERIOD OF 2011-2015 (2017)ANALYSIS OF ABNORMAL RETURN, …New evidence on stock market reaction to dividend announcements in India (2016)New evidence on stock market …External finance and dividend policy: a twist by financial constraints (2016)External finance and dividend…INFORMATION ASYMMETRY, DIVIDEND STATUS, AND SEO ANNOUNCEMENT-DAY RETURNS (2011)INFORMATION ASYMMETRY, DIVIDE…Capital Distribution Policy and Information Asymmetry: A Real Estate Market Perspective* (2000)Capital Distribution Policy a…Potential effects of managers' entrenchment and shareholdings on competitiveness (1999)Potential effects of managers…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Cost of Transacting (1968)The capital asset pricing model: Some empirical tests (1972)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Transaction costs and the small firm effect (1983)Transaction costs and the small firm effect (1983)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Trade Size and Components of the Bid-Ask Spread (1995)Valuation in Over-the-Counter Markets (2007)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Additional evidence on equity ownership and corporate value (1990)The investment opportunity set and corporate financing, dividend, and compensation policies (1992)Agency costs of free cash flow, corporate finance, and takeovers (1996)Job Market Signaling (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Efficient Capital Markets: II (1991)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Agency Problems and the Theory of the Firm (1980)A Survey of Corporate Governance (1997)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Liquidity and Asset Prices (2006)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1985Dividend Policy under Asymmetric Information3,459 cited
  • 1984Two Agency-Cost Explanations of Dividends3,109 cited
  • 1982GROWTH, BETA AND AGENCY COSTS AS DETERMINANTS OF DIVIDEND PAYOUT RATIOS1,728 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1971The Only Game in Town855 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1984Differential information and the small firm effect527 cited
  • 1988Corporate payout policy424 cited
  • 1988Insider Holdings and Perceptions of Information Asymmetry: A Note214 cited
  • 1985Market Making and the Changing Structure of the Securities Industry139 cited

Cited by

  • 2023A bibliometric review of dividend policy literature41 cited

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  • 2016New evidence on stock market reaction to dividend announcements in India41 cited
  • 2011INFORMATION ASYMMETRY, DIVIDEND STATUS, AND SEO ANNOUNCEMENT-DAY RETURNS40 cited
  • 2000Capital Distribution Policy and Information Asymmetry: A Real Estate Market Perspective*26 cited
  • 2023The impact of environmental, social and governance ( ESG ) score on dividend payment of large family firms: What is the role of financial constraints? International evidence24 cited
  • 2022Dividend policy, systematic liquidity risk, and the cost of equity capital20 cited
  • 2016External finance and dividend policy: a twist by financial constraints20 cited
  • 1999Potential effects of managers' entrenchment and shareholdings on competitiveness20 cited
  • 2020Does earnings transparency affect corporate payout decisions?14 cited
  • 2017How do creditors respond to disclosure quality? Evidence from corporate dividend payouts14 cited
  • 2018DIVIDEND POLICY AND STOCK ACQUISITION ANNOUNCEMENT RETURNS: A TEST OF ASYMMETRIC INFORMATION THEORY13 cited
  • 2017ANALYSIS OF ABNORMAL RETURN, STOCK RETURN AND STOCK LIQUIDITY BEFORE AND AFTER BUYBACK SHARE: CASE STUDY OF COMPANIES LISTED IN INDONESIA STOCK EXCHANGE IN PERIOD OF 2011-201512 cited