This study examines changes in beta risk around dividend announcement dates. The evidence shows that beta changes are strongly influenced by the changing behavior of large and small betas. This implies that researchers who attribute risk changes to specific announcements may need to control their research design for regression order bias. Further research may also be needed to ascertain whether or not this regression order bias plays a significant role in the estimation of abnormal returns in event studies.
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Carroll et al. (1994) studied this question.
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