Dividend surprises inferred from option and stock prices

Article Abstract:

This paper introduces a new method to measure the unexpected component of dividend announcement. While measures used previously were based on various arbitrary models of dividend expectations, our suggested method compares the reaction of stock and option prices to dividend announcements. Our measure is compared to commonly used model-based measures, to a Box-Jenkins time-series-based measure, and to a Value-Line Investor Survey-based measure of dividend surprises. The new measure is more highly correlated with the market's reaction to the announcements than are alternative measures of dividend surprises. The new measure is also shown to be insensitive to the extent to which the options used to identify unexpected dividend announcements are in- or out-of-the-money. (Reprinted by permission of the publisher.)

Stocks, Options (Finance), Stock prices

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A comparison of forward and futures prices of an interest rate-sensitive financial asset

Article Abstract:

This paper focuses on contractual distinctions as an explanation for the price divergence between futures and forward contracts. Specifically, it investigates the effect of marking-to-market on the observed price differences using the pricing model described in Cox, Ingersoll, and Ross (CIR)(1981, Journal of Financial Economics 9, 321-346). Using previously unavailable data, this paper employs Eurodollars, an interest rate-sensitive financial asset, to test the CIR-model. Unlike prior empirical studies, test results support both the weak prediction concerning the sign of the average price difference and the stronger prediction that specific covariances explain the variation in the price differences. (Reprinted by permission of the publisher.)

Futures, Foreign exchange futures

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A test of the relative pricing effects of dividends and earnings: evidence from simultaneous announcements in Japan

Article Abstract:

The authors examine business practices in Japan. Topics include corporate report disclosure, financial forecasting, and stock pricing.

United States, Japan, Statistical Data Included, Methods, Forecasts and trends, Forecasting, Corporation reports, Company reports

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