On the Determinants and Dynamics of Dividend Policy
Samy Ben Naceur(Laboratoire d’Economie et de Finance Appliquee(LEFA), IHEC Carthage, Tunisia)
Mohamed Goaied(Laboratoire d’Economie et de Finance Appliquee(LEFA), IHEC Carthage, Tunisia)
Amel Belanes(Finance et Strategies des Affaires(FIESTA), ISG de Tunis, Bardo, Tunisia)

The authors study the dividend policy of 48 firms listed on the Tunisian Stock Exchange during the period 1996-2002. The study tests whether or not managers of Tunisian listed firms smooth their dividends. Moreover, the study outlines the main determinants that may drive the dividend policy of Tunisian quoted firms. To answer the first question, we use Lintner’s model in a dynamic setting. The results clearly demonstrate that Tunisian firms rely on both current earnings and past dividends to fix their dividend payment. However, the study shows that dividends tend to be more sensitive to current earnings than prior dividends. To find out the determinants of dividend policy, dynamic panel regressions have been performed. First, profitable firms with more stable earnings can afford larger free cash flows and thus pay larger dividends. Furthermore, they distribute larger dividends whenever they are growing fast. However, neither the ownership concentration nor the financial leverage seems to have any impact on dividend policy in Tunisia. Also, the liquidity of stock market and size negatively impacts the dividend payment. The results are somewhat robust to different specifications.

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Industry Clustering in Nordic Initial Public Offering Markets
P. Joakim Westerholm(Faculty of Economics and Business, School of Business, University of Sydney, Australia)

We present institutional features of the Nordic initial public offering(IPO) markets and relate initial return, long-run performance and size of companies listed during 1991-2002 to industry clustering and level of listing requirements. High industry clustering is related to higher initial return and lower long-run performance supporting our prediction that information asymmetry has an impact on initial underpricing while temporary over-valuation affects ling-run performance. The relatively high listing requirements and targeting of the main market have not protected the Nordic IPOs from poor ling-run performance. On two markets, Norway and Denmark, IPOs outperform the all share market index.

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The Reach of the Disposition Effect: Large Sample Evidence Across Inverstor Classes*
Philip Brown(The University of Western Australia, Western Australia, Australia)
Nick Chappel(Gresham Advisory Partners Limited, New South Wales, Australia)
Ray Da Silva Rosa(The University of Western Australia, Western Australia, Australia)
Terry Walter(UNSW Asia, Singapore)

We examine detailed daily Australian Stock Exchange share registry data for investors in IPO and index stocks between 1995 and 2000 and find that the ‘disposition effect,’ investors’ reluctance to crystallize losses and relative eagerness to realize gains, is pervasive across investor classes. However, traders instigating larger investments tend to be affected less by the disposition bias. Our novel findings include that (a) the disposition effect ameliorates over time, being undetectable from around 200 trading days after purchase, (b) the ‘house money’ effect tempers the disposition effect, (c) shareholder loyalty schemes also partially offset investors’ relative preference for selling winning stocks, and (d) the reversal of the disposition effect in June(the last month of the Australian tax year) does not occur among investors unalbe to take advantage of tax shields. In line with earlier research, our results support a tax-related explanation for the June effect rather than window dressing or momentum explanations. Finally, we confirm Odean’s finding that the disposition effect is not driven by diversification motives, or by higher transaction costs associated with lower-priced stocks.

*We gratefully acknowledge support for the research from the Australian Stock Exchange. The provision of CHESS data by ASX required that we maintain the confidentiality of these data and required that the data not be made available to other researchers without ASX permission. We have complied with both conditions. This paper is an outgrowth of Nick Chappel’s undergraduate honours thesis at The University of Sydney. We acknowledge the helpful comments of commentators and colleagues, especially Phil Dolan, Ken Peasnell, Peter Pope and Peter Swan. We thank Joe Tang for programming assistance. We claim all errors as our own.

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Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts
H. Chan(Department of Finance, The University of Melbourne, Melbourne, Australia)
R. Faff(Department of Accounting and Finance, Monash University, Victoria, Australia)
Y. K. Ho(Department of Finance and Accounting, National University of Singapore, Singapore)
A. Ramsay(Department of Accounting and Finance, Monash University, Victoria, Australia)

We study the market reaction of Australian firms issuing management earnings forecasts(MEF). Specifically, we measure and distinguish between the immediate and post-earnings announcement impact of MEF. Our analysis is conditioned on growth/value characteristics and news surprise and we test for asymmetric effects on these two conditioning variables. We find that the 3-day returns following non-routine bad news forecasts are significantly more negative for growth firms than value firms. No significant differences are found for good news forecasts. In the post-earnings announcement period, both growth and value firms have significant negative post-earnings announcement drift following non-routine bad news forecasts but they are not significantly different from each other.

* The authors would like to thank Anthony Villante, Freddy Lie and William Tang for research assistance. We would also like to thank seminar participants at Monash University and participants at the 2005 AFAANZ conference and 18th Australasian Finance and Banking conference. We would also like to thank Asher Curtis and Greg Clinch for their comments and Kylie Moreland for copy-editing services. The first author gratefully acknowledges financial assistance provided by a Faculty of Business and Economics Faculty Research grant and a Monash University Research Fellowship. The third author acknowledges a National University of Singapore Business School Research Grant. We thank Securities Industry Research Centre for Asia Pacific and Institutional Broker Estimates System for the provision of data.

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