Abnormal Stock Returns, Private Information In Stock Prices And Dividend Changes

Abstract

Dividend decisions is one of the most complex and important financial decisions of Managers. Thus, identifying factors affecting firms' dividend is very important. Financial markets and information generated in these markets are two important factors affecting firms' dividend. Abnormal Stock returns and Private information in stock prices are useful and effective information on firms' dividend that financial markets provides to managers. The main aim of this study is investigation into the effect of abnormal stock returns and Private information in stock prices on dividend changes, and also the effect of Private information in stock prices on the relationship between abnormal stock returns and dividend changes. For doing so, required data collected from a target sample which consists of 109 firms listed in Tehran Stock Exchange during 2006 to 2015(1385- 1394 Iranian calendar).Collected data were analyzed using multivariable regression through panel data method. Results of the research indicated that abnormal stock returns have a positive effect on the changes of dividend payments but private information in stock prices has a negative effect on dividend changes. Results also show that the effect of abnormal return on dividends changes decreases when stock prices convey more private information.