This study examines the differential market reaction to unexpected dividends between large firms and small firms by employing the Cumulative Sum Technique of Hillmer and Yu (1979). The technique allows the incorporation of both the magnitude of the security price adjustment and the speed of the price adjustment into the analysis. We provide additional information by adjusting for the firm size effect. Contrary to the results from previous studies, the empirical evidence presented here suggests an insignificant difference in market reaction between different firm‐size portfolios.
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