Dividend Announcements Research Articles

Liquidity Reactions Towards Dividend Announcements and Information Efficiency on the Ghana Stock Exchange

This study attempts to examine liquidity (stock returns) reaction to subsequent dividend announcements and information efficiency in the Ghanaian Market with a sample of 11 major companies from those listed on the Ghana Stock Exchange (GSE). While employing event studies to measure the event impact, one may find the techniques to outperform the market. This study employs event study methodology. More specifically, it employs the market model in generating abnormal returns surrounding subsequent dividend announcements. The liquidity levels of the studied stocks are very low. Findings show that there is a little informational content of dividend announcements on the Ghana Stock Exchange. The Ghanaian investors hardly consider dividend announcements as favorable news. The stock returns cannot however be conclusively be said to react positively to subsequent dividend announcements in GSE.

Dividend Announcement and Market Efficiency- An Empirical Study on Service Sector Companies Listed in BSE

Dividend Policy is a crucial decision area in the field of corporate finance and informational efficiency of the market has always been an area of vital interest for financial economists. The literature review documented that in imperfect capital markets with information asymmetries, the dividend announcement affects shareholder wealth. However, very few attempts have been made so far to know dividend behavior of Service sector firms in India. The present study is a little research effort in this direction. This study analyses if the announcements of dividend of stocks listed in Bombay Stock Exchange conveys any information. Fulfilling the study, we calculated the average abnormal return by applying the event study methodology. Daily stock data of 193 firms with market model adjustments on 2436 dividend announcements were used for the period 2000 to 2016 to analyze market efficiency. This study reports stock price reactions of banking, health care, IT and realty sector surrounding 21 days event window of the dividend announcement. The results found mixed results with majority of the firms having presence of informational efficiency in Indian service sector. In Realty sectors stock price reaction to dividend announcement is not statistically significant whereas for other three sectors, Banking, IT and Healthcare, it is significant.

How Important are Dividend Signals in Assessing Earnings Persistence?

We build and test a Bayesian model that shows how investors revise their earnings persistence expectations after dividend announcements. When dividend changes confirm preceding earnings changes, our model predicts inverse u-shaped investor revisions conditional on the prior expectations for noisy dividend signals. As the dividend signal becomes more informative our model predicts that investor revisions will become more skewed converging to a monotonically decreasing relation for perfectly informative dividend signals. When dividend changes contradict preceding earnings changes, our model predicts u-shaped investor revisions. In empirical tests, we find results generally consistent with our model predictions.

ANALISIS PENGARUH PENGUMUMAN PEMBAGIAN DIVIDEN TERHADAP ABNORMAL RETURN PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2013-2015

This study aims to determine the effect of the dividend's announcement to abnormal return from companies that registered in the Indonesia Stock Exchange. The study conducted by calculating the abnormal return by testing the hypothesis by using samples of 14 companies that registered IPO (Initial Pubilic Offer) on the Indonesian Stock Exchange in 2013-2015. From the analysis conducted, showed that there is significant effect between the announcement of the dividend’s announcement of the abnormal return. The result came out from the significant abnormal return that happen before, during and after the event's date

Stock price reaction to cash dividend announcements in Vietnam

This study attempts to investigate the stock price reaction to divi-dend announcements using data of Vietnamese listed firms on Hochiminh Stock Exchange (HOSE). Standard event study meth-odology has been employed on a sample of 198 cash dividend an-nouncements made in 2011. The results show that stock prices react significantly and positively to the announcements of cash dividends, including both dividend increasing and dividend decreasing events. It is also plausible that cumulative abnormal returns exhibit an in-creasing trend before announcement yet a decreasing trend after announcement dates. More specifically, we find positively signifi-cant cumulative abnormal returns of around 1.03% on announce-ment dates; other larger windows also demonstrate positive abnor-mal returns of around 1.3%. In addition, cash dividends have differ-ent effects on share prices of firms from different industries. These results support the signaling hypothesis and are also consistent with prior findings of empirical research done on more developed mar-kets, i.e. the US and the UK.

Stock price reaction to cash dividend announcements in Vietnam

Stock price reaction to cash dividend announcements in Vietnam

The Analysis of Dividend Announcement Impact on Stock Prices of Baltic Companies

The paper is aimed to analyze and evaluate the dividend announcement impact on stock prices of companies listed on the NASDAQ OMX Baltic market during 2010-2015. The analysis was performed using the market model event study analysis and calculating AARs based on 3 strategies, which assume that investors buy shares 30 days prior to the dividend announcement and sell them either 1, 3 or 7 days after the dividend announcement. During the research period, dividends were paid by 40 out of 72 companies listed on the NASDAQ OMX Baltic. A total of 168 dividend announcements have been made and analyzed in this paper. The results of the research revealed that within the analyzed event windows, positive AARs exist; however, they are not statistically significant. Positive AARs obtained 3 or 7 days after the dividend announcement imply that stock prices do not drop shortly after the dividend announcement, which would indicate weak NASDAQ OMX Baltic market efficiency.

Price Behaviour Around Dividend Announcements in the Indian Equity Market in the Existence of Corporate Dividend Tax

This article empirically examines the price behaviour around cash dividend announcements of the firms listed on the National Stock Exchange of India Ltd (NSE) in order to understand whether dividend announcements really influence stock returns in the market and carry meaningful information to the investors in the existence of corporate dividend tax. The article uses standard ‘event study’ methodology based on market model on a sample of 210 dividend announcements. Subsample analysis is employed for further analysis of firms of different categories. The study finds that cash dividend announcements do not necessarily generate abnormal stock returns in an emerging market, such as India. The whole sample is further divided into various subsamples on the basis of firm size and the size of payout ratio. The study finds that large payout firms experience greater stock returns compared to the smaller payout firms just after the dividend announcements. However, stock returns following dividend announcements do not vary across firm size. This article provides evidence to the managers about the non-linkage between cash dividend announcements and stock returns in an emerging market like India. This finding is contrary to the findings of many other studies that are based on the data of the developed economies.

Impact of Cash Dividend Announcements: Evidence from the Indian Manufacturing Companies

According to a recent survey by McKinsey and Company, the Indian manufacturing sector is expected to touch US$ 1 trillion by 2025.This study analyses the impact of the announcement of cash dividends on the stock price returns of the manufacturing companies listed on Bombay Stock Exchange using event study methodology. Further, it explores whether the US financial crisis recession impacted average abnormal returns (AARs) in the period of study. The empirical results show that cash dividend announcements have positive AARs. Overall, the results lend support to the signalling and informational content hypotheses of dividends. The paired samples t-test indicates a significant difference in the mean values of AARs in the pre-and post-recession phases, highlighting the impact of recession.

Do Dividend Changes have Informational Content to Signal the Market ? Evidence from the Indian Stock Market

This paper analyzed the signalling effect of stand-alone dividend decisions on the market prices of listed companies in the emerging Indian economy ; 158 events pertaining to 103 companies common to Bombay Stock Exchange (BSE) and National Stock Exchange of India Ltd. (NSE) were selected. GARCH (p q) model for the calculation of abnormal returns during the event window of 61 days for the period of 10 years was applied. The findings are indicative of the absence of signalling effect amidst inefficiency of the market for all levels of changes in stand-alone dividend announcements.

PENGARUH PENGUMUMAN DIVIDEN TERHADAP HARGA SAHAM DAN ABNORMAL RETURN PADA INDUSTRI JASA DI BURSA EFEK INDONESIA

The aim of this study is to determine the influence of dividend announcement on stock prices and abnormal return in the services industries listed on Indonesia Stock Exchange. This study is descriptive-quantitative. The research methods used are simple linear regression and paired T-test or Two sample T-test for comparing the two means. The result of the first hypothesis that is dividend increases variable shows significant influence on stock prices with the value of t-count is 2.876 > the value of t-table 1.667 and dividends decreases with t-count value of 0.858 < the value of t-table 1.696, proves the second hypothesis shows no significant influence on stock prices. Then the third hypothesis which states that dividend increases influence the abnormal return before and after the dividend announcement has t-count value of 7.22 > t-table is 2.776; and the fourth hypothesis that states that dividend decreases the abnormal return before and after dividend announcement showd t-count 0.416< t-table 2.776. This indicates that the fourth hypothesis in this study has no significant influence.Tujuan penelitian ini adalah untuk mengetahui pengaruh variabel dividen naik dan dividen turun secara signifikan terhadap harga saham dan Abnormal Return pada industri Jasa yang terdaftar di Bursa Efek Indonesia. Penelitian ini merupakan penelitian yang deskriptif yang bersifat kuantitatif. Metode penelitian ini menggunakan regresi sederhana dan paired t-test atau uji beda 2 sampel. Hasil penelitian menunjukkan hipotesis pertama yaitu variabel dividen naik menunjukkan pengaruh yang signifikan terhadap harga saham dengan t-hitung sebesar 2,876 > t-tabel sebesar 1,667 dan variabel dividen turun yang mempunyai nilai t-hitung sebesar 0,858 < t-tabel sebesar 1,696 sehingga hipotesis kedua tidak berpengaruh signifikan terhadap harga saham. Kemudian pada hipotesis ketiga yaitu variabel dividen naik berpengaruh terhadap Abnormal Return sebelum dan sesudah pengumuman dividen dimana t-hitung 7,22 > t-tabel 2,776 dan variabel dividen turun terhadap Abnormal Return sebelum dan sesudah pengumuman dividen menunjukkan nilai t-hitung 0,416 < t-tabel 2,776 sehingga hipotesis keempat pada penelitian ini tidak berpengaruh signifikan.

How Important are Earnings Announcements in China?

The Chinese stock is becoming more and more important for international investors; however, information may be difficult to obtain and interpret for foreigners. Using data from the Shanghai Stock Exchange and the Shenzhen Stock Exchange, for the period from 2005 to 2014 the efficiency of this market is tested over this period. Using a metric developed by Ball and Shivakumar (2008) and Basu, Duong, Markov, and Tan (2013), we calculate the R2 of quarterly earnings announcements to determine the importance of the information they contain. The overall finding is that both earning announcements and dividend announcements contain little information of value thus, demonstrating the Chinese markets are not informationally efficient so investors can’t assume assets are always correctly priced as they are in other markets.

English

English

The Information Content of Dividend Announcements: Evidence from Frontier Markets with Varying Tax Regimes

This study provides further insight into the information content of dividends by investigating stock price reaction to the announcement of cash dividends in the unique environments presented by Jamaica and Trinidad and Tobago. In the case of Jamaica, we document a positive relationship between stock prices and dividend announcements during the period when the tax rate on dividends was 25% and the capital gains tax 0%, but no relationship when the tax rate on dividends fell from 25% to 5% with the capital gains tax rate unchanged. While, in the case of Trinidad and Tobago, where there are no taxes on dividends or capital gains, we find no statistically significant stock price reaction to the announcement of dividend increases and constant dividends but a positive relationship between the announcement of dividend decreases and stock prices. The results for Jamaica are largely supportive of tax-based signaling models which argue that higher taxes on dividends relative to capital gains are a necessary condition for dividends to be informative. However, the results from Trinidad and Tobago suggest that tax differentials are an important but incomplete explanation for the information content of dividend announcements.

Reaksi Pasar Atas Pengumuman Dividen (Studi Pada Emiten Yang Terdaftar Di Jakarta Islamic Index)

This research aims to see market reaction over the increasing and declining dividend announcement. The objective in this research is to test whether the stock price reacts positively to the increasing dividend announcement and reacts negatively to the declining dividend announcement are shown by the significant abnormal return (AR) value in around the announcement date and by the significant difference of abnormal trading volume activity (ATVA) before and after the announcement. The results indicate that market does not react over increasing as well as decreasing dividend announcement. This indicates that the event of dividend changes announcement are not reacted by market.

Do what you did four quarters ago: Trends and implications of quarterly dividends

By analyzing the inter-temporal structure of quarterly dividends, we show that as more firms announce dividend increases exactly every four quarters, dividend policy has become more persistent and more predictable. Recently, nearly 60% of all dividend increases have been announced in four-quarter cycles. Valuation, earnings stability, and size are positively related to the propensity to adopt four-quarter cycles. More importantly, we provide evidence that this structure is incorporated into market participants' expectations about future dividend announcements. These findings may provide an explanation for two phenomena described in the literature: the declining information content of dividends and the higher degree of dividend smoothing.

The Relationship Between Cumulative Abnormal Returns And Earnings: Evidence From Emerging Markets

This study examines the signaling hypothesis of dividends by testing empirically the market reaction to dividends announcements. Furthermore, this study examines the information content of dividends announcements with respect to future earnings changes for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2005 to 2010. The sample consists of 183 observations and 132 observations for dividend release sample and no-dividend release sample, respectively. The Event Study Methodology (ESM) is applied to examine the market reaction to dividend release announcements. The market model is used to generate the expected returns. Also, the t-test is used to examine the significance of the mean and cumulative abnormal returns. Furthermore, a regression model is used to examine the signaling hypothesis. To test the information content of dividend changes on earnings prospects, we individually incorporate the linear model with CAR to form the model. The findings of the information content of dividends applying the ESM methodology show that there is a significant positive abnormal return on the announcement days. Also, it shows that there is an overreaction straight after the announcement day, then a correcting attempt in the post event and then it goes back to normal, which is consistent with the signaling hypothesis. For the no-dividend release sample, the results show no significant abnormal return on and around the announcement days which is again consistent with the signaling hypothesis. Our results are consistent with AlShattarat et al . (2012) suggestions that there could be value relevance for dividends rather than dividends' change. Also, the findings present a strong relationship between dividends announcements and the profitability mainly in the year of announcements and the subsequent year, whereas this relationship does not exist in the second year of announcements. The findings of this study could have significant policy implications for Jordan's existing corporate governance practices and firms' disclosure environment. The results are specific to Jordan, but they do shed light on the generality of the rival models of dividend policy.

Semi-Strong Form of Market Efficiency for Dividend and Bonus Announcements:An Empirical Study of India Stock Markets

Efficient Market Hypothesis (EMH) is predominantly a research area in the field of finance. EMH is studied worldwide to understand the share price behaviour and the same can be predicted by any means in future. Prediction of this share price behaviour helps a rational investor to earn abnormal returns from the markets. Symmetry of public information is associated with the semi-strong form of efficient market hypothesis which implies that the publicly available information is known to all the investors in the market and share prices fully reflect this information.The favourable news tends to bring a positive impact on the stock price behaviour and vice versa. Hence, the study of such corporate events can lead to predictability in the stock market which can help investors to earn abnormal returns. The present research paper has employed the event study and cross-sectional data analysis for validating the existence of semi-strong form of market efficiency in Indian stock markets pertaining to two major corporate events; 'dividend and bonus announcement'. The results of the study reveal that dividend and bonus announcements have significant impact on share prices only on 1 day pre announcement.

Do dividend shocks affect excess returns? An experimental study

The dividend announcement of a company is an informational event that can cause underreaction, momentum, overreaction, post-dividend announcement drift, and mean reversion. It is the uncertainty surrounding dividend announcements that leads to such behavioural phenomena. Most authors consider that underreaction occurs after dividend shocks because new information about the dividend is being slowly and gradually built into the stock price. The effect of dividend shocks is often reflected in excess returns, which can last up to one year after the shock. The experiment described in this paper tests whether statistically significant excess returns are realized after a shock dividend announcement. Participants trade with the stocks of two companies, which only differ by dividend-generating stochastic process. The dividend process of Company 2 is a Merton-style jump-diffusion process (consisting of two parts: Brownian motion and Poisson jump), while the dividend process of Company 1 contains only the Brownian motion component. Statistically significant excess returns are expected when trading with Company 2 stocks. An autoregressive model is applied in order to test this hypothesis. The conclusion is that a dividend shock is followed by statistically significant excess returns in 20 of the 22 experiments, which implies that markets are inefficient after sudden and large changes in dividends. Underreaction and discount rate effects are identified.

Impact of Corporate (Dividend) Action on Stocks in India

The investment decision is influenced by many factors of which one such factor is return. The shareholders may get return in the form dividend which affects the share prices. The behavior of stock prices is unpredictable as price movement for different activities will move in different ways. The stock price movements can be divided into Economic and corporate activities. The impact of economic activities will be more or less same on all the stock prices while impact of corporate action varies from one stock to the other. Dividend payment is one of the important corporate actions that will have an impact on the behavior of stock prices. This research highlights the impact of dividend payment on the behavior of stock prices. To understand this behavior, ten stocks have been randomly picked which has paid the dividend in 2016. The researchers have used popular event window study and cumulative returns. In this regard, the researchers have picked two dates, namely dividend announcement date and the other is dividend effective date. The paired sample t-test is employed to compare cumulative returns before and after dividend announcement.