Information asymmetry is proxied by the proportion of stock held by institutions. This finding appears to hold for all types of dividend changes except dividend omissions. Forthcoming Winter 1999. We test the hypothesis that the information content of dividend change announcements, as reflected in stock prices, is directly related to the degree of pre-announcement information asymmetry in the stock. The dividend change announcements include initiations, large increases, large decreases, and omissions.
Information asymmetry is proxied by the proportion of stock held by institutions.
This finding appears to hold for all types of dividend changes except dividend omissions. Forthcoming Winter 1999. A well-known example of a class of distributions that admits LCE is the elliptical distributions, of which the normal is a special case. A larger family, not mentioned in the existing literature, that admits LCE is the Pearson system. As a result, the distribution assumption to derive the capital asset pricing theories can be relaxed to the wider LCE family.