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4/26/05
Dividend Studies

Today's announcement that IBM will be increasing its dividend for stockholders of record May 10 raises the question of how such dividend increasers have been performing. Mr. Dude Pomada of this office is an expert on such quick studies and he made the following Compustat study with less than the usual degree of survival bias. All data are from the close on the date of the announcement.

         
t = the announcement of a higher dividend        
         
DIVt>DIVt-1        
         
RET% t-20 t+20 t+20,t+60 t+60,t+120
AVG 0.98 -0.01 1.70 1.11
SD 9.70 9.26 13.04 15.50
CNT 752 764 739 702
WIN% 52.66 51.83 57.51 52.42
Zdrft 1.93 -1.19 1.73 0.42
SP_FUT same holding period        
  t-20 t+20 t+20,t+60 t+60,t+120
AVG 0.30 0.39 0.87 0.86
SD 5.05 4.76 6.62 7.39
CNT 772 766 747 720
WIN% 55.44 58.36 56.89 56.67
         
         
anDIVt>anDIVt-1        
         
RET% t-20 t+20 t+20,t+60 t+60,t+120
AVG 1.44 0.67 0.53 0.95
SD 9.70 8.84 12.87 15.68
CNT 738 737 717 686
WIN% 57.32 54.00 53.28 51.90
Zdrft 2.88 -0.03 0.01 0.20
SP_FUT same holding period        
  t-20 t+20 t+20,t+60 t+60,t+120
AVG 0.41 0.68 0.52 0.83
SD 4.89 4.93 6.60 8.30
CNT 748 743 726 703
WIN% 56.68 57.60 55.23 55.62

 

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