In this paper, the authors use stock market data to examine the intraindustry effects of the July 5, 1982, closure of the Penn Square Bank. A sample of fifty-four bank stocks is divided into four portfolios: industry, money center, Texas, and upstream. The latter group consists of banks that had...

In this paper, the authors examine the stock market reaction to dividend announcements. A sample of dividend increases and decreases is partitioned by payout ratio increases and decreases. Previous research has examined the differential reaction to payout ratio increases and decreases only for...

In this paper, the author outlines a dummy-variable technique that is a convenient procedure for obtaining cumulative prediction errors and related test statistics. By appending a vector of (0,1) dummy variables to the right-hand side of the market model, results usually obtained in two steps...

In this paper we examine the relationship between bond re-ratings and changes in systematic risk. Using both time series and cross-sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta....