Article ID: | iaor1998226 |
Country: | South Africa |
Volume: | 20 |
Issue: | 3 |
Start Page Number: | 39 |
End Page Number: | 47 |
Publication Date: | Jan 1996 |
Journal: | JSEE |
Authors: | Biger N., Page M.J. |
This paper presents evidence that stocks traded on the Tel Aviv Stock Exchange (TASE), which appear to have provided significant abnormal returns following the announcement of stock dividend distributions, provide no such significant abnormal returns when the normal returns are defined in accordance with the Arbitrage Pricing Theory. The findings are similar to those reported by Biger and Page for South African shares traded on the JSE. In a sense the findings support the contention that at least some seemingly abnormal reaction of the market to corporate events is attributable to the choice of a measurement technique or model and not to market imperfections.