scholarly journals Speed of Adjustment of Stock Returns Around Dividend Announcements in Pakistan

2021 ◽  
Author(s):  
Zubair Tanveer
Keyword(s):  
Stock Returns ◽  
Speed Of Adjustment ◽  
Dividend Announcements

Dividend Buying: Linking Dividend Announcements and Ex-Dividend Day Effects

1995 ◽  
Vol 10 (3) ◽  
pp. 421-435 ◽  
Author(s):  
Helen M. Bowers ◽  
Donald Fehrs
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Investment Strategy ◽  
Short Term ◽  
Return Variance ◽  
Dividend Announcements ◽  
Abnormal Volume ◽  
Abnormal Stock Returns ◽  
Short Term Investment

We provide a plausible explanation for earlier findings that positive abnormal stock returns associated with dividend announcements persist for several days and that abnormal volume and stock returns commence several days before a stock's ex-dividend day. This study links these two sets of findings to the short-term investment strategy of dividend buying by relating the abnormal returns and trading volume to individual stock characteristics favored by dividend buyers, namely the stock's return variance and dividend yield. We conclude that dividend buying is at least partially responsible for the abnormal returns and volume found between dividend announcement and ex-dividend days.

Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market

2004 ◽  
Vol 07 (04) ◽  
pp. 509-524
Author(s):  
Wen-Hsiu Kuo ◽  
Hsinan Hsu ◽  
Chwan-Yi Chiang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Price Limits ◽  
Speed Of Adjustment ◽  
New Information ◽  
Weak Evidence ◽  
Market Inefficiency ◽  
Daily Returns

This study empirically investigates the interaction between trading volume and cross-autocorrelations of stock returns in the Taiwan stock market. The result shows that returns on high trading volume portfolios lead returns on low trading volume portfolios when controlled for firm size, indicating that trading volume determines lead-lag cross-autocorrelations of stock returns. Overall, the empirical findings of this study demonstrate similar results for both monthly and daily returns, suggesting that nonsynchronrous trading is not the main reason for the lead-lag cross-autocorrelations presented in this study. Consequently, the empirical results presented here support the speed of adjustment hypothesis, and suggest that some market inefficiency exists in the Taiwan stock market. Additionally, compared with evidence of lead-lag cross-autocorrelations in the larger, less regulated US stock market, as examined by Chordia and Swaminathan (2000), Taiwan stock market displays less evidence of VARs and Dimson beta regressions. We conjecture that this weak evidence may result from the regulations limiting daily price movements in the Taiwan stock market. Although the price limits policy lowers risk and stabilizes stock prices, it also prevents stock prices and trading volume from instantaneously and fully reflecting new information.

The Effect of Analysts’ Earnings Forecasts Following Dividend Announcements on Stock Returns

2017 ◽  
Vol 7 (3) ◽  
pp. 105-109
Author(s):  
Chun-Uk Hong ◽  
◽  
Seong-Hyo Lee ◽  
Kyung-Ihl Kim
Keyword(s):  
Stock Returns ◽  
Earnings Forecasts ◽  
Dividend Announcements

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

2017 ◽  
Vol 18 (2) ◽  
pp. 402-415 ◽  
Author(s):  
Chanchal Chatterjee ◽  
Paromita Dutta
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Model ◽  
Cash Dividend ◽  
Developed Economies ◽  
Dividend Announcements ◽  
Abnormal Stock Returns ◽  
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.

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

2012 ◽  
Vol 01 (08) ◽  
pp. 72-76
Author(s):  
Muhammad Aamir ◽  
Syed Zullfiqar Ali Shah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Oil And Gas ◽  
Positive Impact ◽  
Theoretical Background ◽  
Study Data ◽  
Share Prices ◽  
Dividend Announcements ◽  
Abnormal Stock Returns ◽  
Rival Firms

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.

The Information Content of Quarterly Dividend Changes

1995 ◽  
Vol 10 (2) ◽  
pp. 293-317 ◽  
Author(s):  
Thomas J. Carroll
Keyword(s):  
Stock Returns ◽  
Earnings Forecasts ◽  
Positive Association ◽  
Earnings Forecast ◽  
Forecast Errors ◽  
Cross Sectional ◽  
Future Earnings ◽  
New Information ◽  
Dividend Announcements ◽  
Dividend Increases

This paper shows that dividend changes reveal new information about future earnings levels and are mixed with regard to future earnings variance. Revisions of Value Line earnings forecasts spanning up to five quarters have a positive association with unexpected dividend changes. Consistent with the negative association documented between dividend changes and future earnings variance, these revisions also exhibit greater cross-sectional dispersion following dividend decreases than following dividend increases. The relation between stock returns and earnings forecast errors following dividend announcements shows that dividend announcements convey information to the market about earnings in the next quarter and the quarter one year hence, but are not consistent with dividends revealing new information about the variance of future earnings.

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

2020 ◽  
Author(s):  
Nur-Adiana Hiau Abdullah ◽  
Rosemaliza Abdul Rashid ◽  
Yusnidah Ibrahim
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Agency Cost ◽  
Free Cash Flow ◽  
Market Reactions ◽  
Dividend Announcements ◽  
Dividend Increases

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.  

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