290 E.F.FamafJournal of Financial Economics 49 (1998)283-306 Eventually,the mispricing is fully absorbed as further public information con- firms the information implied by the event announcement.The general predic- tion for selective events is thus momentum;stock returns after an event an- nouncement will tend to have the same sign as the announcement period return. Does the DHS prediction about selective events stand up to the data?Table 1 summarizes the signs of short-term announcement returns and long-term Table 1 Signs of long-term pre-event,announcement,and long-term post-event returns for various long- term return studies Event Long-term Announcement Long-term pre-event return post-event return return Initial public offerings (IPOs) Not (Ibbotson,1975;Loughran and Ritter,1995) available Seasoned equity offerings (Loughran and Ritter,1995) Mergers(acquiring firm) (Asquith,1983; Agrawal et al.,1992) Dividend initiations (Michaely et al,1995) Dividend omissions (Michaely et al,1995) Earnings announcements Not (Ball and Brown,1968;Bernard available and Thomas,1990) New exchange listings (Dharan and Ikenberry,1995) Share repurchases(open market) (Ikenberry et al,1995;Mitchell and Stafford,1997) Share repurchases (tenders) (Lakonishok and Vermaelen,1990; Mitchell and Stafford,1997) Proxy fights -(or0) (Ikenberry and Lakonishok,1993) Stock splits (Dharan and Ikenberry,1995;Ikenberry etal,1996) Spinoffs +(or0) (Miles and Rosenfeld,1983;Cusatis etal,1993)Table 1 Signs of long-term pre-event, announcement, and long-term post-event returns for various long￾term return studies Event Long-term pre-event return Announcement return Long-term post-event return Initial public offerings (IPOs) (Ibbotson, 1975; Loughran and Ritter, 1995) Not available # ! Seasoned equity offerings (Loughran and Ritter, 1995) #! ! Mergers (acquiring firm) (Asquith, 1983; Agrawal et al., 1992) # 0 ! Dividend initiations (Michaely et al., 1995) ## # Dividend omissions (Michaely et al., 1995) !! ! Earnings announcements (Ball and Brown, 1968; Bernard and Thomas, 1990) Not available # # New exchange listings (Dharan and Ikenberry, 1995) ## ! Share repurchases (open market) (Ikenberry et al., 1995; Mitchell and Stafford, 1997) 0 # # Share repurchases (tenders) (Lakonishok and Vermaelen, 1990; Mitchell and Stafford, 1997) 0 # # Proxy fights (Ikenberry and Lakonishok, 1993) !# ! (or 0) Stock splits (Dharan and Ikenberry, 1995; Ikenberry et al., 1996) ## # Spinoffs (Miles and Rosenfeld, 1983; Cusatis et al., 1993) ## # (or 0) Eventually, the mispricing is fully absorbed as further public information con- firms the information implied by the event announcement. The general predic￾tion for selective events is thus momentum; stock returns after an event an￾nouncement will tend to have the same sign as the announcement period return. Does the DHS prediction about selective events stand up to the data? Table 1 summarizes the signs of short-term announcement returns and long-term 290 E.F. Fama/Journal of Financial Economics 49 (1998) 283—306