Dividend Announcement Effects Research Articles

THE EFFECT OF DIVIDEND ANNOUNCEMENT ON STOCK RETURN – A STUDY ON SELECT DAIRY COMPANIES LISTED ON BSE

Empirical evidences on dividend policies support diversified thoughts on the impact of dividend pay-out on the share price of a company. Along with the dividend pay-outs, the reaction of markets to the announcement of dividend is an important factor driving the stock returns of a company. Previous research shows mixed results signalling the effect of dividend announcements on stock returns. The current study aims to examine the effect of dividend announcements on stock returns with reference to Indian Dairy companies. A sample of 30 final dividend announcements made by seven popular dairy food companies listed on BSE during a period of six years i.e, 2016-2021 are considered for the study. A paired sample t test was used to test whether there is significant difference in stock returns between the before and after dividend announcement periods. The results of the study have shown that that there was an increase in the average stock returns of all the seven selected companies in the post dividend announcement period. Further, it was also found that there was a significant impact of dividend announcement on the stock returns of the selected companies.

Dividend announcement effect analysis before and during the COVID-19 pandemic in theIndonesia Stock Exchange.

The emergence of the SARS-CoV-2 or COVID-19 pandemic has become a challenge for the global society, including the investors in the capital market, due to the uncertainty it has caused. In relation to the phenomenon, this research aimed to examine the impact of COVID-19 pandemic on the dividend announcement effect in Indonesia Stock Exchange by comparing the market volatility around the dividend announcement date of the selected stocks in 2019 and 2020. Implication of dividend increase and decrease as well as stock–risk profiling is also added for further learning. This research used event study methodology as a tool to analyze the data of the 23 sample companies taken from the LQ45 index. The period of analysis is ranged from 10 days before the dividend announcement to 10 days after the dividend announcement date. The study discovered that in 2019, the capital market presented a weak response toward the event, indicated by the inexistence of abnormal return. Moreover, in 2020, the dividend announcement effect caused negative insignificant abnormal returns and the number of companies with low volatility increased, which implies that the stock market is more pessimistic during the pandemic period. Even when the dividend amount increased from the previous period, the market still shows a negative reaction to it in 2020.

Empirical Evidence on the Effect of Dividend Announcement on Stock Return

Empirical Evidence on the Effect of Dividend Announcement on Stock Return

An analysis of cash dividend announcement effect: Evidence from Dhaka Stock Exchange

An analysis of cash dividend announcement effect: Evidence from Dhaka Stock Exchange

Investigating beta anomaly: comparison of Shariah-compliant and conventional stocks

PurposeThe purpose of this paper is to examine the impact of dividend announcements on the stock return of Shariah-compliant and conventional stocks.Design/methodology/approachAn event study methodology is applied to study the beta anomaly. Market-adjusted return model, mean-adjusted return model and market model have been applied to calculate excess returns. Estimation period used in this study is 130 days, and event period consists of 21 days in total, i.e. starting from the day –10 “before the cash dividend announcement” to day +10 “after the cash dividend announcements.FindingsIt has been concluded from the results that dividend plays an informational role in the Pakistan Stock Exchange. As the investors in Pakistan react favorably to the dividend increase announcements and unfavorably to the dividend decrease announcements, they consider dividend increase announcement as good news and dividend decrease announcement as bad news.Practical implicationsThe findings of this study have several implications for different participants of the stock market, such as investors, academicians, researchers, fund managers and policymakers. They can use this information to make decisions while making efficient portfolios. Investors may get abnormal returns by focusing on the dividend announcement patterns. This can influence the attitude of investors toward efficient investments in the stock market and ultimately contribute to the betterment of society. This study is also beneficial for academicians and researchers, as it provides a comparative analysis of Shariah-compliant and conventional stocks and the anomalous effect of dividend announcements on stock return.Originality/valueLimited research in the world’s context and null is available in Pakistani context on the subject matter. The comparative analysis of “Shariah-compliant” and “conventional” stocks provides insight into the asset pricing of Shariah-compliant stocks that have not been explored earlier. This study also uses three different methods (mean model, market model and market-adjusted return models) to compare Shariah-compliant and conventional stocks

Pengaruh Dividen Announcement, Capital Gain dan Kurs Terhadap Trading Volume Activity (Studi Kasus pada Saham Syariah yang Terdaftar di JII Tahun 2015-2018)

The capital market is a company tool to increase long-term funding needs by selling shares and issuing bonds. A measurement tool for calculating trading volume is trading volume activity (TVA). The purpose of this study is to examine the effect of dividend announcements, capital gains and exchange rates on trading volume activity (TVA) on Islamic stocks listed on JII in 2015 to 2018. This study uses eight Islamic shares, namely ADRO, ASII, INDF, LPFF, PGAS, PTBA, SMRA and UNTR. The data in this study were obtained through an annual report from the IDX website. Based on paired differences test shows that in 2105, 2016 and 2017 there were no significant TVA differences between before and after dividend announcements, whereas in 2018 there were significant TVA differences between before and after dividend announcements. The panel data regression analysis results showed that the capital gain variable has no effect on TVA, while the exchange rate variable has a positive and significant effect on TVA.Keywords: Trading Volume Activity, Dividen Announcements, Capital Gain, Kurs

Adjusted dividend-price ratios and stock return predictability: Evidence from China

This paper examines the predictive ability of dividend-price ratios on stock returns in the Chinese A-share market. The results show that in both the in-sample and out-of-sample settings, stock returns are positively predicted by the raw dividend-price ratio and multiple adjusted dividend-price ratios over the 2002–2018 period, especially for the pre-2008 period. However, this predictive power disappeared after the China Securities Regulatory Commission (CSRC) released the unique Semi-Mandatory Dividend Rule (the Rule) in 2008, and this sudden decrease in predictive ability has shown no signs of reversing. Tests using the event-study methodology show a reduction in the positive relation between dividend-price ratios and stock returns in the short term, indicating that the Rule has an adverse impact on the signaling effect of dividend announcements. We further demonstrate that the interference of the Rule with the information conveyed by the dividends explains the disappearance of the predictive power of dividend-price ratios. For firms with insufficient cash flow, dividends provide a negative signal of the firms' value after the enactment of the Rule instead of a positive signal of strong future cash flows. Consequently, the Rule has a negative impact on the efficiency of the cash-flow channel for predicting returns and buries the predictive power of dividend-price ratios.

The Effect of Dividend Announcements on Stock Returns for Companies Listed on the Main Board of the Kuala Lumpur Stock Exchange

Stock market reactions to the announcements of final dividend increases, decreases and no changes are empirically analyzed in an emerging market environment. A standard event study methodology is adopted to examine the price reactions of 120 listed companies surrounding sixty days of the announcement dates. Although prior studies in developed countries postulate that dividend decreases are associated with negative abnormal returns, such a reaction was not found in the Malaysian capital market. The evidence nevertheless shows that dividend increases lead to positive abnormal returns, supporting the Information Content Hypothesis, Jensen :s Free Cash Flow Hypothesis and Agency Cost Theory. As for the no change dividend announcements, no clear pattern of cumulative average abnormal returns could be observed.

Dividend Announcement and Abnormal Return :An Applied Study on Banking Shareholding Firms in Amman Bourse

This study aims to test the effect of dividend announcement on stock prices on banking shareholding companies, and investigating the information content of this announcement on either stock prices and trading volumes. it is also aims to investigate the ability of investors to earn abnormal return by using these information.The behaviour of stock prices is studied on the basis of monthly or weekly movements. On this paper an attempt was made to analyze the daily stock prices of banking shareholding companies listed in Amman bourse using CAPM model in order to estimate the normal return and the percentage change of daily stock prices in order to estimate the actual return.The hypothesizes of the study were examined by using parametric tests as one-sample test and paired sample to test. it was found that there was no information content to these dividends' announcements on stock prices and investors couldn’t neither use information to beat the market nor earning abnormal return .This study can be a source of help to market makers to improve either way of timing their decision to buy and sell stocks or the way of analyzing dividend announcement content . and it is also a source of help to potential and current investors to improve their understanding and reading of these announcements . Keywords: return(excess return),normal: dividend announcements ,stock prices, abnormal return ,CAPM,under reaction,over reaction DOI : 10.7176/RJFA/10-18-03 Publication date :September 30 th 2019

Empirical evidence of market reactions based on signaling theory in Indonesia stock exchange

Signaling theory assumes that it is necessary to signal investors to how they perceive company’s prospects. One of them is dividend announcements. The announcement of dividends is predicted to be a signal for investors in the investment decision making process. This study aims to determine and analyze the effect of dividend announcements, both increases and decreases in dividends, on stock returns. This study is intended to find empirical evidence about market reactions based on signaling theory in Indonesia Stock Exchange on the period 2017. The analysis of this study uses the event study method and hypothesis testing carried out using different test paired sample t-test. The results of this study prove that the market reacts to the announcement of dividends. The market reaction is indicated by the value of abnormal returns, namely abnormal returns in the positive direction when the announcement of dividend increased and abnormal returns in the negative direction when the announcement of dividend decreased. The value of abnormal returns in a positive direction reflects the company’s performance in good condition, and vice versa. This result indicates that dividend announcements are a signal and contain information relevant to investors in the investment decision making process.

Dividend Announcement Effect To Market Reaction in Non-Financial Companies Listed on Indonesia Stock Exchange


 
 
 Abstract: This study aims to examine the differences in market reaction before and after the announcement of dividend omissions and dividend initiations in non- financial companies listed on the Indonesia Stock Exchange in 2016-2018. The sample used in this study was 71 companies consisting of 26 companies that announced dividend omissions and 45 companies that announced dividend initiations. The sample was determined using the purposive sampling method. This study used the event study method with an event window period of 5 days before the announcement, the announcement day, and 5 days after the announcement. The Wilcoxon Signed Ranks Test results in this study indicate that there are no differences in market reaction before and after the announcement of dividend omissions. Meanwhile the announcement of dividend initiations shows that there are differences in market reaction before and after the announcement of dividend initiations.
 Keywords: Event study, Dividend Omissions, Dividend Initiations, Abnormal Return
 
 

Stock market reaction to cash dividends: evidence from the Nigerian stock market

PurposeVery little is known about the effect of dividend announcements on stock prices in Nigeria, despite the country’s unique institutional environment. The purpose of this paper is, therefore, to provide empirical evidence on this issue by investigating the stock price reaction to cash dividends by companies listed on the Nigerian Stock Exchange.Design/methodology/approachStandard event study methodology, using the market model, is employed to determine the abnormal returns surrounding the cash dividend announcement date. Abnormal returns are also calculated employing the market-adjusted return model as a robustness check and to test the sensitivity of the results to β estimation. The authors also examine the interaction between cash dividends and earnings by estimating a regression model where announcement abnormal returns are a function of both dividend changes and earnings changes relative to stock price.FindingsThe study find support for the signaling hypothesis: dividend increases are associated with positive stock price reaction, while dividend decreases are associated with negative stock price reaction. Companies that do not change their dividends experience insignificant positive abnormal returns. The results also suggest that both dividends and earnings are informative, but dividends contain information beyond that contained in earnings.Research limitations/implicationsThe sample for the study includes only cash dividend announcements occurring without other corporate events (such as interim dividends, stock splits, stock dividends, and mergers and acquisitions) during the event study period. The small firm-year observations may limit the validity of generalizations from these conclusions.Practical implicationsThe findings are useful to researchers, practitioners and investors interested in companies listed on the Nigerian stock market for their proper strategic decision making. In particular, the results can be used to encourage transparency and good governance practices in the Nigerian stock market.Originality/valueThis paper adds to the very limited research on the stock market reaction to cash dividend announcements in Nigeria; it is the first of its kind employing a unique cash dividends data.

ANALISIS LABA DAN DIVIDEN TERHADAP HARGA SAHAM PADA PERUSAHAAN YANG TERGABUNG DALAM INDEKS LQ-45 DI BURSA EFEK INDONESIA

Investors before investing in a company would pay attention to certain things that are beneficial to them. Things that concern is profits and of course with the dividend announcement. Earnings provide information on how the company's performance. While the dividend is a distribution of company profits to shareholders. From that information, the investor can make the decision to invest or not. Investor's decision to invest in a company will certainly affect the stock price of the company. The purpose of this study was to 1) test and analyze the effect of earnings to share price, 2) test and analyze the effect of dividend announcements on stock prices. Outcomes to be achieved are: 1) The Company can maximize its performance so that it can generate high profit, 2) With high profit the company can divide its profit to shareholders in the form of dividends, 3) In addition to the company's survival is assured, high profits will increase stock prices because investors will be attracted to invest in the company. This research was conducted at a company incorporated in the LQ-45 index in the Indonesia Stock Exchange from 2011-2014. Source data used are secondary data and data types are quantitative data in the form of income statements, announcements of dividends and stock prices in 2011-2014. The method used in this study are parametric statistics. Dioalah of the collected data using SPSS. The results are then analyzed and the results desired. Based on the research while the obtained results that 1) profit significan t no effect on stock prices, 2) the dividend announcement no significant effect on stock prices. In this case investors and prospective investors are not focused on profits generated by the company and they preferred the retained earnings and used for business development compared with distributed as dividends. Keyword s : Earnings, Dividend and Stock Price

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.

A study on the asymmetric effect of dividend announcement on the stock return : On the perspective of behavioral finance

A study on the asymmetric effect of dividend announcement on the stock return : On the perspective of behavioral finance

Abnormal Dividend-Yield Returns and Investment Strategy

ABSTRACTUsing the Fama-French three-factor model, we set out in this study to verify the existence of abnormal dividend-yield returns in the Taiwan stock markets. The results of our tracking of the sources of abnormal returns indicate that (1) investors are strongly in favor of high-dividend-yield stocks during the first half of the year; and (2) the information effect of dividend announcements may be the major source of abnormal returns. Our forecasts based on dividend-yield forecasts indeed capture most of the abnormal returns. Finally, our results are found to be robust to a wide variety of portfolio formation settings.

Effect of Dividend Announcement on Stock Prices in Banking Industry of Pakistan

This paper proves the result of change in dividend on the stock price. The sample of the population depends on the three banking sector of Pakistan which is Bank Al-Falah, UBL and MCB. In this paper descriptive data was gathered of the five years (2008-2012) related the Banking sectors of the payment of dividend and stock price. The descriptive statistics and regression analysis represent that there is positive or negative relationship has been found between the dividend and stock price. It is proved that the dividend has positive regression with the earning per share and negative regression dividend with the stock price.

Shareholder wealth effects of stock dividends in a unique environment

We investigate shareholder wealth effects of stock dividends using a unique dataset from Oman in which many market frictions that are used to explain the stock dividend announcement effect are either absent or limited. We find a positive stock market reaction to stock dividend distributions. We also find that firms that distribute stock dividends experience favorable changes in operating performance during the seven-year period around the stock dividend distribution. Our results suggest that stock dividends are used primarily to signal future operating performance and to a lesser extent to reduce stock prices to an optimal trading range.

Impact of Dividends on Share Price Performance of Companies in Indian Context

The study aims at finding the impact of dividends (cash and stock) on share price performance of companies in the Indian context. A sample of 67 fast moving consumer goods companies who made dividend announcements from April 2007 to August 2011 are taken. In this study, the Market Model Event Study Methodology has been employed to measure the effect of dividend announcements and its impact on the share price with a 41-day event window is taken. The stock price data is collected for 20 days prior to the dividend announcement, the share price on the announcement date (<em>An date</em>) t<sub>0</sub> and 20 days post the dividend announcement. The findings indicate that the market is found to react positively to dividend announcements and with a significantly positive Average Abnormal Returns (AAR) around the announcement date.

DIVIDEND ANNOUNCEMENTS AND THE ABNORMAL STOCK RETURNS FOR THE EVENT FIRM AND ITS RIVALS

Impact of dividend announcement on stock prices is pronounced in various studies conducted by various researchers. Event study has been conducted in this paper on 26 announcements and the firms were belonging to cement and oil and gas sector of Pakistan. In this study data span of 2004-2008 has been covered. Impact of dividend announcement on stock prices of event and rival firms has been analysed and it has been found that dividend announcement depicts positive impact on share prices of the companies at the time of announcement as well as immediately after such announcements. Performance of event firms has been evaluated in comparison with its rival firms in this study in order to give better understanding of dividend announcement effect on the financial health of the companies. Overall, our results robust the findings of earlier research and as per theoretical background of the study. Our conclusion explains the significance of t-statistics values during this study.