How to calculate dividend change in WRDS?

[Dara]

Hi all,

I am replicating a paper on dividend change.  I need data of dividend change and its announcement date. I found there is a Stock events database-Distribution information in CRSP.  Is it the right place to download the data I need?

I understand I need to adjust shares split or stock dividends to get more accurate dividend change data.  Do I just need to take ones with distribution code starting with 5? Do I miss something here?

If someone can provide me some sas code for reference, I will be very grateful.

Thanks!

Dara

[Shuo Li]

Hi Dara,

Recently, I am also trying to replicate a paper on dividend change, but failed to get the main findings. Here is what I did: I first got all observations with non-missing dividends announcement date (as the Declaration Date variable in CRSP, i.e.,DCLRDT). Then, I keep only dates if the absolute value of the percentage dividend change is greater than 1%. But I am not quite sure whether it is correct to use the dividend cash amount variable in CRSP (i.e., DIVAMT) to calculate percentage change in dividends or we have to do something to adjust it.

Shuo

[Dara]

Hi Shuo,

Are you replicating KSW 2009? Haha~ That is exactly what I do recently.

I guess you need to limit the sample into quarterly dividend change and also adjust stock splits.  Hope that helps:)

Dara

[Simone Carter (Simone)]

hello everyone. I am having the same issues. Were you all able to replicate the descriptive statistics? and did you all get 7,044?