Portfolio Selection Project
1
1
Part One
1. Read Brown and Warner (Journal of Financial Economics, 1985) and summarize main analysis and equations
2. Reproduce key equations using equation edito
Part Two
1. CORPORATE EVENT TO BE STUDIED IS DIVIDEND EMLIMIANTION
2. Create a sample of at least 30 observations using newswire sources. Factiva (available through Hofstra li
aries homepage) provides Dow Jones and Reuters news reports. Log date and time (EST) of newswire report. Events that occur after market close will have event date on the next day. You must document your event with weblink, screenshot, etc. and include with submission.
3. Download historical data (-250, +10) around each event date for each company. Download contemporaneous market data (S&P500 index) for each company in your sample.
You may use Yahoo! Finance (easiest) or CRSP (Center for Research in Security Prices) available through WRDS. To use WRDS you need to request access to receive approval.
4. Analysis will be based on:
· Raw returns
· Market-adjusted returns
· Risk-adjusted returns
· Draw conclusions and statistical significance
5. Analyze t-statistics for event dates and windows below. In addition, the t-statistics are computed for raw returns, market-adjusted returns, and risk-adjusted returns. There is a total of 15 t-statistics to compute.
a) t = -1
) t = 0
c) t= +1
d) t= (-1, 1)
e) t= (0, 5)
6. Conduct cross-sectional analysis on abnormal returns only (Dependent variable) and several firm-specific (independent) variables relevant to your topic. Hypothesize why you chose these independent variables and justify with citation from academic literature (if possible).
INDEPENDENT VARIABLES ARE:
liquid funds or liquidity
-net profit
-amount of dividend
AR (on day 0) = b0 + b1X1 + b2X2+ b3X3
Full output and interpretation required: t-statistics, p-value, R2, adjusted R2, F-statistic.
7. Deliverable is Word file (not pdf) of report following basic academic format: abstract, introduction, data/sample, methodology, empirical tests and results, conclusions and limitations.
8. Excel work submitted as separate file on BB
Updated June 2020
COVER
STUDENT'S NAME:
COURSE: FINANCE 205 A
PROFESSOR:
ASSIGNMENT: EVENT STUDY
TOPIC: DIVIDEND ELIMINATION
DATE: 06/13/2020
SAMPLE
Column1 DATE COMPANY SOURCE
1 11/3/16 MDC PARTNER https:
seekingalpha.com/news/ XXXXXXXXXXmdc-partnersminus-21_4-misses-in-q3-suspends-dividend
2 4/30/20 DUNKIN BRANDS GROUP https:
www.dividend.com/news/2020/04/30/dunkin-
ands-group-suspends-dividend-covid-19-crisis
3 12/16/19 Kewaunee Scientific https:
www.bloomberg.com/press-releases/ XXXXXXXXXX/kewaunee-scientific-reports-results-for-second-quarter-suspension-of-dividend
4 12/20/17 PG&E http:
investor.pgecorp.com/news-events/press-releases/press-release-details/2017/PGE-Announces-Suspension-of-Dividend-Citing-Uncertainty-Related-to-Causes-and-Potential-Liabilities-Associated-with-Northern-California-Wildfires/default.aspx
5 4/27/20 General Motors https:
www.cnbc.com/2020/04/27/general-motors-suspends-dividend-stock-buybacks-to-preserve-cash.html
6 5/15/12 JCPenny https:
www.marketwatch.com/story/jc-penney-swings-to-loss-suspends-dividend XXXXXXXXXX
7 11/8/19 Tupperware Brands https:
ir.tupperware
ands.com/stock-information/dividend-history
8 10/26/17 Mattel’s https:
money.cnn.com/2017/10/26/investing/mattel-q3-earnings/index.html
9 9/3/19 Superior Industries International Inc. https:
www.businesswire.com/news/home/ XXXXXXXXXX/en/Superior-Announces-Suspension-Quarterly-Common-Dividend
10 4/20/20 Las Vegas Sands https:
www.cnbc.com/2020/04/20/sheldon-adelson-fails-to-comply-with-a-mantra-hes-used-for-years-yay-dividends.html
11 4/24/20 Moog inc. https:
www.businesswire.com/news/home/ XXXXXXXXXX/en/Moog-Reports-Quarter-Results
12 5/21/18 Li
ey Inc. https:
www.prnewswire.com/news-releases/li
ey-suspends-quarterly-cash-dividend-to-further-prioritize-debt-reduction-and-strategic-investments-reaffirms-2018-guidance XXXXXXXXXXhtml
13 4/15/20 Estee Lauder https:
markets.businessinsider.com/news/stocks/companies-cut-suspended-dividends-coronavirus-fallout-april-cancel-shareholders-pay XXXXXXXXXX#4-estee-lauder-suspends-its-dividend4
14 4/30/19 Meridian Bioscience https:
seekingalpha.com/news/ XXXXXXXXXXmeridian-bioscience-suspends-quarterly-cash-dividend
15 12/20/18 Wheeler REIT https:
seekingalpha.com/article/ XXXXXXXXXXwheeler-real-estate-investment-trust-after-suspension-of-prefe
ed-dividends-now-what
16 4/17/20 AMC Entertainment Holdings https:
www.cnbc.com/2020/04/17/amc-says-it-can-withstand-theater-closures-until-thanksgiving.html
17 12/2/16 Allegheny Technologies https:
www.cnbc.com/2016/12/02/allegheny-technologies-falls-more-than-10-percent-after-dividend-cut.html
18 2/28/18 Frontier Communications https:
www.ba
ons.com/articles/after-frontiers-dividend-cut-facebook-and-disney-to-telecoms-rescue XXXXXXXXXX
19 11/2/17 RAIT Financial Trust https:
markets.businessinsider.com/news/stocks
ait-financial-trust-suspends-dividend-on-common-shares-quick-facts XXXXXXXXXX
20 4/2/20 Dave And Busters Entertainment https:
www.marketwatch.com/story/dave-busters-stock-rallies-on-earnings-beat-coronavirus-cost-cuts XXXXXXXXXX
21 4/17/13 Ambassadors Group (EPAX) https:
seekingalpha.com/dividends/dividend-news?page=383
22 3/31/20 Cruise Operator Carnival https:
www.ba
ons.com/articles/carnival-launches-6-billion-in-debt-and-stock-sales-its-also-suspending-its-dividend XXXXXXXXXX
23 4/21/20 HCA Healthcare https:
www.reuters.com/article/us-hca-healthcare-results/hca-healthcare-suspends-dividend-buybacks-as-covid-19-delays-surgeries-idUSKCN2231SA
24 7/24/12 AKSteel https:
www.marketwatch.com/story/ak-steel-loss-widens-suspends-dividend XXXXXXXXXX
25 7/25/12 RadioShack https:
www.dallasnews.com
usiness/2012/07/25
adioshack-suspends-its-dividend-to-shareholders-and-swung-to-a-second-quarter-loss
26 2/22/11 Barnes and Nobles https:
www.bloomberg.com/news/articles/ XXXXXXXXXX
arnes-noble-falls-after-dividend-halt-same-store-sales-rise
27 9/23/08 American International Group https:
www.businesswire.com/news/home/ XXXXXXXXXX/en/AIG-Announces-Suspension-Common-Stock-Dividends
28 7/16/10 Bp https:
www.marketwatch.com/story
p-suspends-dividend-after-deepwater-horizon-spill XXXXXXXXXX
29 9/16/06 Ford https:
www.wsj.com/articles/SB XXXXXXXXXX
30 3/1/16 Tesco https:
www.oilandgas360.com/tesco-corporation-reports-fourth-quarter-2015-results-and-announces-suspension-of-dividend
https:
seekingalpha.com/news/ XXXXXXXXXXmdc-partnersminus-21_4-misses-in-q3-suspends-dividendhttps:
www.cnbc.com/2020/04/27/general-motors-suspends-dividend-stock-buybacks-to-preserve-cash.htmlhttps:
www.marketwatch.com/story/jc-penney-swings-to-loss-suspends-dividend XXXXXXXXXX15https:
www.businesswire.com/news/home/ XXXXXXXXXX/en/Superior-Announces-Suspension-Quarterly-Common-Dividendhttps:
seekingalpha.com/dividends/dividend-news?page=383https:
www.prnewswire.com/news-releases/li
ey-suspends-quarterly-cash-dividend-to-further-prioritize-debt-reduction-and-strategic-investments-reaffirms-2018-guidance XXXXXXXXXXhtmlhttps:
markets.businessinsider.com/news/stocks
ait-financial-trust-suspends-dividend-on-common-shares-quick-facts-1006591374https:
www.oilandgas360.com/tesco-corporation-reports-fourth-quarter-2015-results-and-announces-suspension-of-dividend
RAW DATA
C O M P A N I E S
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
DAYS MDC PARTNER DUNKIN BRANDS GROUP Kewaunee Scientific PG&E General Motors JCPenny Tupperware Brands Mattel’s Superior Industries International Inc. Las Vegas Sands Moog Inc. Li
ey Inc. Estee Lauder Meridian Bioscience Wheeler REIT AMC Entertainment Holdings Allegheny Technologies Frontier Communications RAIT Financial Trust Dave And Busters Entertainment Ambassadors Group Cruise Operator Carnival HCA Healthcare AKSteel RadioShack Barnes and Nobles American International Group Bp Ford Tesco
-250 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.81 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.16 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 1,350.60 $ XXXXXXXXXX $ 9.71 $ XXXXXXXXXX
-249 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.30 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.10 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ - 0 $ XXXXXXXXXX $ 1,349.40 $ XXXXXXXXXX $ 9.76 $ XXXXXXXXXX
-248 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.07 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 4.96 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 1,353.00 $ XXXXXXXXXX $ 9.66 $ XXXXXXXXXX
-247 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 7.97 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.13 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 1,371.80 $ XXXXXXXXXX $ 9.72 $ XXXXXXXXXX
-246 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.14 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.10 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ - 0 $ XXXXXXXXXX $ 1,379.00 $ XXXXXXXXXX $ 9.79 $ XXXXXXXXXX
-245 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.17 $ XXXXXXXXXX $ XXXXXXXXXX $ 9.98 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.37 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ - 0 $ XXXXXXXXXX $ 1,378.20 $ XXXXXXXXXX $ 9.96 $ XXXXXXXXXX
-244 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.58 $ XXXXXXXXXX $ XXXXXXXXXX $ 9.14 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.40 $ XXXXXXXXXX $ XXXXXXXXXX $ 9.21 $ - 0 $ XXXXXXXXXX $ 1,378.40 $ XXXXXXXXXX $ 9.85 $ XXXXXXXXXX
-243 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.51 $ XXXXXXXXXX $ XXXXXXXXXX $ 8.90 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.46 $ XXXXXXXXXX $ XXXXXXXXXX $ 9.12 $ XXXXXXXXXX $ XXXXXXXXXX $ 1,387.80 $ XXXXXXXXXX $ 9.95 $ XXXXXXXXXX
-242 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.07 $ XXXXXXXXXX $ XXXXXXXXXX $ 8.70 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.49 $ XXXXXXXXXX $ XXXXXXXXXX $ 7.80 $ XXXXXXXXXX $ XXXXXXXXXX $ 1,387.40 $ XXXXXXXXXX $ 9.86 $ XXXXXXXXXX
-241 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 8.04 $ XXXXXXXXXX $ XXXXXXXXXX $ 8.66 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.39 $ XXXXXXXXXX $ XXXXXXXXXX $ 8.45 $ XXXXXXXXXX $ XXXXXXXXXX $ 1,402.20 $ XXXXXXXXXX $ 9.86 $ XXXXXXXXXX
-240 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 7.98 $ XXXXXXXXXX $ XXXXXXXXXX $ 8.32 $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ XXXXXXXXXX $ 5.28 $ XXXXXXXXXX $ XXXXXXXXXX $ 8.29 $ XXXXXXXXXX $ XXXXXXXXXX $ 1,370.60 $ XXXXXXXXXX $ 9.89 $ XXXXXXXXXX
-239 $ XXXXXXXXXX $ XXXXXXXXXX $