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    An Investigation of Dividend Signalling on the New Zealand Stock Exchange in the 1990s and of Several New Tools Employable in such an Investigation

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    Author
    Anderson, Warwick Wyndham
    Date
    2006
    Permanent Link
    http://hdl.handle.net/10092/861
    Thesis Discipline
    Accountancy
    Degree Grantor
    University of Canterbury
    Degree Level
    Doctoral
    Degree Name
    Doctor of Philosophy

    This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.

    Subjects
    G14 Event Studies
     
    G14 Market Efficiency
     
    G12 Asset Pricing
     
    C22 Time Series Models
     
    C22 Cross-Sectional Models. C24 Tuncated and Censored Models
     
    Dividend Signalling
     
    Friction Models
     
    State Asset Pricing Models
     
    Market Model
     
    Thin Market
    Collections
    • Business and Law: Theses and Dissertations [346]
    Rights
    http://library.canterbury.ac.nz/thesis/etheses_copyright.shtml

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