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1
Ozo, Friday Kennedy. "Dividend policy and stock market reactions to dividend announcements in Nigeria." Thesis, University of Central Lancashire, 2014. http://clok.uclan.ac.uk/23991/.
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The impact of dividend announcements on firm value represents one of the longest standing puzzles in the literature of modern finance. Based on either a behavioural or empirical approach, studies have provided rationales to address the issue of why companies pay dividends and whether the market response to the announcements can be predicted. However, these studies have failed to resolve the dividend puzzle, as no single convincing explanation about the observed dividend behaviour of firms has emerged. Moreover, most of these studies have been conducted in countries with developed capital markets; there is very little attention to corporate dividend policy research that addresses issues related to the development of emerging stock markets of sub-Saharan Africa, such as Nigeria. This study aims to provide additional evidence from an emerging market by investigating the managerial perspectives on dividend policy and the impact of dividend announcements on share prices of listed companies in Nigeria. For the purpose of the research in this thesis, a mixed-method research design, consisting of both the quantitative and qualitative approaches was employed. A postal questionnaire survey was employed to investigate the perspectives of Nigerian managers on the factors that drive dividend decision and the relevance of dividend policy to firm value. This was followed by an empirical investigation of the stock market reaction to cash dividend announcements in Nigeria employing a market-based standard event study methodology. Finally, interviews were conducted with 21 financial managers of Nigerian listed companies to ascertain their views on various dividend policy as a means of validating the findings from the questionnaire survey and the event study analysis. The findings from the questionnaire survey and interviews indicate that Nigerian listed companies’ exhibit dividend conservatism and typically focus on the level of current earnings, the stability of earnings and liquidity considerations such as the availability of cash when determining their current dividend levels. Nigerian managers believe that dividend policy affect firm valuation. Nigerian managers express strong support for the signalling explanation for paying dividends, but not for the bird-in-the-hand, tax-preference and agency cost explanations. However, majority of Nigerian listed companies do not have target payout ratios; instead, companies target the dividend per share when determining the disbursement level. Nevertheless, views regarding some of these issues differ between financial and non-financial firms. The results of the event study analysis show that the Nigerian stock market reacts significantly to cash dividend announcements, implying that dividends do convey price-sensitive information to the market. However, there is evidence of both lagging and sluggish response to cash dividend announcements, suggesting that the Nigerian stock market is not semi-strong efficient. The thesis makes a novel contribution to the growing body of corporate finance literature by providing additional evidence on the impact of dividend announcements on share prices from the context of an emerging market. As well as being timely in view of the dearth of empirical studies on stock market reaction to cash dividend announcements in Nigeria, the research is also important because it takes account of a novel feature of the Nigerian tax environment, where personal income from dividends is taxable while capital gains are exempt from taxation during the period of this study. In addition, the study is also unique because it examined the views of managers from both the financial and non-financial firms, thereby contributing to the literature on industry-related dividend effect. The focus of the investigation is also novel in that the study is the first comprehensive investigation of the perceptions of Nigerian corporate managers on dividend policy.
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Khan, Naimat Ullah. "Dividend policy and the stock market reaction to dividend announcements in Pakistan." Thesis, University of Dundee, 2011. https://discovery.dundee.ac.uk/en/studentTheses/3e0c65e3-cc48-4966-8787-9c9e43cc5694.
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Dividends are payments made to the shareholders (owners) out of firms? earnings. Numerous academics, adopting either a behavioural or empirical approach, have provided rationales to address the issue of why companies pay dividends and whether the market response to the announcements can be predicted. However, these endeavours have failed to achieve unanimity on either issue. Moreover, most of these studies have been conducted in countries with developed markets; relatively little research has been conducted in the emerging stock markets of (Southern) Asia, such as Pakistan. This thesis tries to fill the gap in the literature by investigating both the impact of dividend announcements on the share prices of Pakistani firms and the behavioural determinants of dividend policy. The Pakistani market was characterised by a unique tax system, with capital gains totally exempted from taxation before June 2010. This unique feature provides an additional motivation for the researcher to explore the reasons why Pakistani firms pay dividends despite the tax penalty associated with such disbursements. For the purposes of the research, a mixed-methods approach was employed involving, firstly, an event study to calculate any unexpected share returns around dividend announcements for a sample of 639 dividend events across 202 firms listed on the Karachi Stock Exchange (KSE) over the period 2005-09. Secondly, interviews were conducted with 23 company executives to ascertain their views about the determinants of dividend policy and its perceived impact on share prices. To gain an alternative – investor – perspective on the signalling impact of dividends, 16 financial analysts were also interviewed. The results of the event study indicate that dividend announcements do not convey information about Pakistani firms to the stock market; insignificant unexpected returns are documented for the announcement date. Nonetheless, the disaggregated results of the event study showed significant unexpected returns for the dividend increase and no-change sub-groups – usually before the actual dividend announcement date. However, consistent with results for developed countries with diverse shareholdings, this research suggests that earnings are the dominant signal in Pakistan, in the context of an interaction effect where earnings and dividends signals re-enforce each other. The results of the interviews indicated that Pakistani executives primarily base their dividend decisions on earnings, followed by liquidity. However, Pakistani firms do not appear have target payout ratios or employ a constant speed-of-adjustment to decide on payout levels. Indeed, most of the firms indicated that they decided the current payout ratio on an ad hoc basis. More importantly, both sets of interviewees (company officials and financial analysts) believed in the signalling effect, where dividends were sometimes used by investors as a signal of future earnings.
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Parada, Sofia Madalena Sequeira. "Portuguese market reaction to earnings and dividend announcements." Master's thesis, Universidade de aveiro, 2011. http://hdl.handle.net/10773/6610.
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Mestrado em Mercados financeirosO principal objectivo desta dissertação de mestrado é contribuir para uma melhor compreensão do mercado de acções Português, através de evidência empírica sobre a eficiência do mercado na forma semi-forte. Para atingir este objectivo concentramo-nos no efeito da divulgação de informação financeira (anúncio de resultados e dividendos), analisando tanto a reacção do preço das acções como do seu volume de negócios. A investigação baseou-se na metodologia do estudo de eventos, através da análise de 548 eventos, 446 anúncios de resultados e 102 anúncios de dividendos por empresas admitidas à cotação no índice bolsista PSI-20 durante o período de Janeiro de 2005 a Dezembro de 2010. Os resultados evidenciam o conteúdo informativo dos anúncios de resultados e dividendos, uma vez que encontramos evidência empírica de rentabilidade e volume de transacção anormal em torno do dia dos anúncios. No entanto, encontramos também evidência que sugere que o mercado Português não é eficiente na forma semi-forte quanto à divulgação de informação financeira, verificando-se que este não reage imediata e totalmente à nova informação divulgada. Esta dissertação fornece nova evidência sobre o conteúdo informativo da informação financeira divulgada no mercado Português, através da análise da reacção do preço das acções e do seu volume de negócios a anúncios de resultados e dividendos considerados pelo mercado como “boas” notícias, “más” notícias ou anúncios que não transmitem “nenhuma” notícia. Ao utilizar a amplitude relativa do preço das acções, o nosso estudo contribui para a literatura existente, dado que tanto quanto sabemos, nenhum outro estudo explorou a variação da amplitude do preço das acções em torno de determinados anúncios.
The main intent of this master degree thesis is to contribute to a better understanding of the Portuguese stock market based on empirical evidence on the semi-strong market efficiency. To achieve this goal, we focused on the announcement effect of financial information (corporate earnings and dividend announcements), analysing both the stock price and trading volume response to the announcements. The investigation is based on the event studies methodology, with the analysis of 548 events, 446 earnings announcements and 102 dividend announcements for 23 companies listed on the PSI-20 stock index from January 2005 through December 2010. The results provide some evidence of the information content of earnings and dividends, as we found evidence of abnormal returns and abnormal trading volume around the announcement day. Nevertheless, our evidence also suggests that the Portuguese stock market is not semi-strong form efficient regarding the disclosure of financial information, as we verify that the stock market does not reacts immediately and fully to the new information. This thesis provides new evidence on the information content of financial information for the Portuguese stock market, as we aim to examine both earnings and dividend announcements through the analysis of the stock price and the trading volume response to good, bad and no news announcements. By using the stock price relative range, our study adds to the existing literature, as far as we know, no previous study explored the analysis of the stock price range variation around certain announcements.
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L'Heureux, Julie. "Canadian market reaction to dividend omission and resumption announcements." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0018/MQ47808.pdf.
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Turkiela, Jason. "How Do Dividend Announcements Affect Bondholder and Shareholder Wealth?" Thesis, University of Oregon, 2014. http://hdl.handle.net/1794/18544.
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Dividend payments to shareholders can create conflicts between debt and equity investors as these payments can expropriate wealth from bondholders to shareholders. However, dividend payments can also serve as a signal regarding firms' future earnings. Utilizing both improved bond event study techniques as well as a conditional event study model to control for self-selection and the presence of confounding earnings announcements, I find that, on net, dividend increases represent a transfer of wealth from debtholders to shareholders. Nevertheless, bondholders react more favorably to larger dividend changes consistent with the presence of a positive signaling effect. The conditional event study approach also provides the ability to test whether managerial hesitancy in cutting dividends may represent an additional source of expropriation. My results indicate that while bondholders are clearly harmed by these implicit dividend increases, evidence in support of shareholders' gains is mixed.
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Abu, Khalaf Bashar Khaled. "Dividend smoothness, determinants and impact of dividend announcements on share prices : empirical evidence from Jordan." Thesis, Heriot-Watt University, 2013. http://hdl.handle.net/10399/2654.
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Dividends are the portion of the company’s earnings paid to the shareholders. Many researchers have used different estimation techniques to estimate the smoothness of dividends, determinants of dividends and the impact of dividend announcements on share prices. They used these estimation techniques in order to understand better the reason that companies smooth their dividends, be able to know what determines the dividend decisions and determine if the market reaction to the dividend announcements can be predicted. However, these investigations have been unsuccessful in finding an agreement on the above three issues. Furthermore, the concentration of such empirical investigations has been on the developed markets; rather few studies have been conducted on the developing markets such as Jordan. This study has tried to fill three main gaps in the previous literature by empirically investigating the smoothness of dividends, the determinants of the two dividend decisions and the impact of dividend announcements on share prices. In addition, different empirical methods have been used in the three empirical chapters: firstly, fixed and random effects techniques are used to check the smoothness of dividends; secondly, the results of three estimation techniques (OLS, Tobit and Heckman’s simultaneous technique) are compared to estimate the determinants of the two dividend decisions; finally, the standard OLS event study methodology is compared with a hybrid method (OLS/EGARCH) to check the impact of the dividend announcements on share prices. The results of the first empirical chapter confirmed that the non-financial Jordanian companies smooth their dividends in a moderate rate. In addition, our results contradict the signalling theory; we find that large companies smooth their dividend faster than small ones. Furthermore, in line with the agency cost theory; low leveraged firms smooth their dividends faster than high leveraged firms. Also, our results confirmed that highly profitable companies smooth their dividend more and this comes in line with the signalling theory. The second empirical chapter concluded that Hechman’s model is the better technique to estimate the determinants of the two dividend decisions. The main determinants are profitability, growth, leverage and size. The last empirical chapter showed that the Hybrid method provided a higher level of significance and concluded that dividend has no impact on share prices on the dividend announcements day. However, the results suggested that there was a significant information leakage prior to the announcements. In addition, the market reacts significantly one day after the dividend announcements and the third day.
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Acker, Daniella. "Studies in volatility changes surrounding accounting and market announcements." Thesis, University of Bristol, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.246271.
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Magnusson, Jacob Magnusson, and N. E. Ludvig Karlsson. "Exploiting Market Reactions to Dividend Cuts : Contrarian Trading Strategies in a Short Investment Horizon - Evidence from the Swedish Stock Market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-298351.
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This paper investigates the impact of dividend reduction announcements on the returns to stocks listed on the Stockholm Stock Exchange. We perform an event study on dividend cutting firms between 2002-2016 to determine if contrarian trading on the basis of negative dividend announcement yields abnormal returns. We evaluate the immediate market reaction during a three-day event window surrounding dividend announcements. Thereafter we test a contrarian trading strategy by examining abnormal returns during a holding period up to twenty days following the initial event. We evaluate the results in reference to previous literature on post earnings (dividend) announcement drift and contrarian investment strategies. The findings suggest that the initial market reaction to dividend cuts is negative, but that the abnormal returns to buying stock following dividend reduction announcements are negligible. Furthermore, we argue that there might be means of increasing these returns by supplementary analysis of firm specifics.
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Abeyrathna, G. "An empirical investigation of UK stock market reaction to dividend announcements in a complex signalling setting." Thesis, University of Dundee, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.388844.
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McAree, David. "An empirical investigation of the information content of annual earnings and dividend announcements and the interaction effect of annual earnings and dividend signals : UK evidence." Thesis, University of Ulster, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.419111.
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McCaffrey, Kate. "Dividend initiation announcements effects in Initial Public Offerings : a test of the signalling and agency theory models." Thesis, Bangor University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364986.
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Hansson, Fredrik. "How does dividend events affect stock prices? : An event study on market efficiency." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-435231.
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This paper examines the effects of dividend announcements and dividend payments on OMX30 stock prices and tests if these effects indicate market efficiency. An event study methodology is used to find if the dividend events have a significant impact on stock prices. The study finds that both dividend announcements and dividend payments have a significant negative effect on prices. Disappointed investors or lowered expectations for future dividends may be the cause of the announcement effect. The results indicate that the stock market is semi-strong efficient for the announcements but inefficient when it comes to the payments.
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Agbetonyo, Sélom Yaovi. "Les conséquences des annonces de variations des dividendes sur le marché financier français en temps de crise : une analyse comparative par rapport à la crise financière de 2007-2009." Thesis, Rennes 1, 2016. http://www.theses.fr/2016REN1G032.
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Cette thèse analyse les conséquences et les implications des annonces de dividendes sur le marché boursier français dans un contexte de crise financière. Elle comporte quatre chapitres dont un premier, théorique qui trace les orientations des trois études empiriques réalisées. À l’issue de ce chapitre, il est proposé un cadre d’analyse de l’impact de la crise sur la politique de dividendes. Le deuxième chapitre traite de l’impact de la crise sur les réactions du marché. Il a testé et validé l’hypothèse d’une réaction différenciée des investisseurs aux annonces de dividendes en fonction du contexte économique. De surcroît, il met en évidence des réactions asymétriques des investisseurs en période de crise. Le troisième chapitre fournit une nouvelle explication à ces réactions asymétriques à travers la théorie de l’ambiguïté. L’hypothèse selon laquelle la nature et le degré d’incertitude de l’environnement macroéconomique auraient un impact sur la manière dont les investisseurs réagissent suite aux annonces de dividendes a été testée et validée. Le quatrième chapitre analyse la prévision des bénéfices comptables par les dividendes en période de crise, au regard de la théorie du signal. Nos résultats valident globalement les théories du signal et de l’ambiguïté. Même si la crise a affecté les réactions du marché français, elle n’a pas eu d’impact sur la relation significative qui existe entre les changements de dividendes et les variations de bénéfices futurs. Cette thèse analyse les conséquences et les implications des annonces de dividendes sur le marché boursier français dans un contexte de crise financière. Elle comporte quatre chapitres dont un premier, théorique qui trace les orientations des trois études empiriques réalisées. À l’issue de ce chapitre, il est proposé un cadre d’analyse de l’impact de la crise sur la politique de dividendes. Le deuxième chapitre traite de l’impact de la crise sur les réactions du marché. Il a testé et validé l’hypothèse d’une réaction différenciée des investisseurs aux annonces de dividendes en fonction du contexte économique. De surcroît, il met en évidence des réactions asymétriques des investisseurs en période de crise. Le troisième chapitre fournit une nouvelle explication à ces réactions asymétriques à travers la théorie de l’ambiguïté. L’hypothèse selon laquelle la nature et le degré d’incertitude de l’environnement macroéconomique auraient un impact sur la manière dont les investisseurs réagissent suite aux annonces de dividendes a été testée et validée. Le quatrième chapitre analyse la prévision des bénéfices comptables par les dividendes en période de crise, au regard de la théorie du signal. Nos résultats valident globalement les théories du signal et de l’ambiguïté. Même si la crise a affecté les réactions du marché français, elle n’a pas eu d’impact sur la relation significative qui existe entre les changements de dividendes et les variations de bénéfices futursThis dissertation investigates the consequences and implications of dividend announcements on French stock market in a context of financial crisis. It consists of four chapters including a first theoretical chapter that draws directions of the three empirical studies we realised. After this chapter, we provide an analysis framework of the impact of the crisis on the dividend policy. The second chapter discusses the impact of the financial crisis on french market reactions following dividend announcements. It tested and validated the hypothesis of a differentiated reaction of investors to dividend announcements based on the economic environment. Furthermore, it highlights asymmetric reactions of investors in times of crisis. The third chapter provides a new explanation for these asymmetric reactions through the ambiguity theory. The hypothesis according to which the nature and the degree of uncertainty of the macroeconomic environment has an impact on the way in which capital market prices react to dividend announcements was tested and validated. The fourth chapter analyses earnings forecast by dividends in times of crisis, according to the signaling theory. Our findings generally support the signaling and ambiguity theories. But, although the crisis affected the French market reactions to dividend announcements, it has no impact on the significant relationship between dividends changes and future earnings variations
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Olsson, Fredrik, and Axel Oppmark. "Är utdelningar aktiemarknadens fyrtorn? : En eventstudie om tillkännagivande av utdelning och dess påverkan på börsen." Thesis, Södertörns högskola, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-38408.
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Trenden med stort fokus på utdelning bland investerare håller i sig år 2019 och storbolagen förväntas betala ut över 250 miljarder svenska kronor. Bolag undviker att sänka sin utdelning, oavsett om det går bra eller dåligt, för att inte ge signaler om negativa framtidsutsikter. Den aktuella studien undersöker om den svenska aktiemarknaden, i enlighet med signaleringsteorin, följer de signaler som bolagsledningen sänder ut genom sin utdelning. Studien är en eventstudie och har en kvantitativ ansats med ett eventfönster på 11 dagar och en estimeringsperiod på 120 dagar. Urvalet består av 89 bolag från Stockholmsbörsens Large Cap lista. Resultatet visar en signifikant abnormal avkastning vid sänkt utdelning i linje med signaleringsteorin. Vid oförändrad eller höjd utdelning återfinns ingen signifikant abnormal avkastning och därmed finns inget stöd för signaleringsteorin. Slutsatsen är att den svenska aktiemarknaden följer signaleringsteorin vid sänkt utdelning men inte vid höjd.The trend with a strong focus on dividends among investors is continuing in 2019 and the major companies are expected to pay out over SEK 250 billion. Companies avoid reducing their dividends in order to prevent signals of negative prospects. The current study investigates whether the Swedish stock market, in accordance with the signaling theory, follows the signals that corporate management sends out through its dividend. This study is an event study and has a quantitative approach with an event window of 11 days and an estimation period of 120 days. The sample consists of 89 companies from the Stockholm Stock Exchange's Large Cap list. The result show a significant abnormal return on reduced dividends in line with the signaling theory. With unchanged or increased dividends there is no significant abnormal return, hence there is no support for the signaling theory. The conclusion is that the Swedish stock market follows the signaling theory when the dividend is reduced, but not when increased.
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Mollah, A. Sabur. "Dividend policy and behaviour, and security price reaction to the announcement of dividends in an emergency market : a study of companies listed on the Dhaka stock exchange." Thesis, University of Leeds, 2001. http://etheses.whiterose.ac.uk/700/.
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'The harder we look at the dividend picture, the more it seems like a puzzle, with pieces that just don't fit together'(Black 1976, p. 5). A number of researchers provide insights, theoretical as well as empirical, into the dividend policy puzzle. However, the issue as to why firms pay dividends is as yet unresolved. Several rationales for the corporate dividend policy propose in the literature, but there is no unanimity among researchers. Everyone, however, agrees that the issue is important, as dividend payment is one of the most commonly observed phenomenon in corporations worldwide. Several studies have been conducted on dividend policy and behaviour, and security price reaction to the announcement of dividends but a very few studies have been conducted on emerging markets, therefore, a quite lot of issues of the emerging markets are still unresolved. Therefore, the existing published evidence is of limited relevance in identifying the appropriate dividend policy and behaviour, and security price reaction to the announcement of dividends in an emerging market. The objectives of this thesis are threefold: firstly, to identify the detenninants of dividend policy, secondly, to investigate the dividend behaviour, and thirdly, to identify the security price reaction to the announcement of dividends in an emerging market. The empirical results identify leverage, size, insider ownership, and collateralizable assets as the major determinants of dividend policy. However, the empirical results document that dividend decision is primarily governed by cash flow for measuring the capacity of the companies to pay dividends and dividends paid in the previous years, i. e., lagged dividends. The empirical results also identify Britain's (1966) partial adjusted model as the best-fit dividend behavioural model. Furthermore,as insiders trade in the market, so, information used to be adjusted with the share prices before announcement and consequently dividend announcement does not carry any new information to the market. Therefore, the empirical results document no significant impact of dividend announcements on the security prices of an emerging market. Finally, the empirical results identify that the emerging markets are inefficient.
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Santos, Rita Roque Aires Gameiro dos. "A assimetria de informação e a reacção do mercado ao anúncio de distribuição de dividendos das empresas cotadas na bolsa portuguesa." Master's thesis, Universidade de Évora, 2009. http://hdl.handle.net/10174/21021.
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Este trabalho de investigação analisa o comportamento dos preços das acções das empresas cotadas no Euronext Lisbon com a pretensão de examinar a relação entre a reacção do mercado na data de anúncio do dividendo, verificando se existe assimetria de informação entre os insiders e o mercado. A metodologia adoptada foi o Estudo de Eventos sobre empresas pertencentes ao PSI GERAL que distribuíram dividendos no período compreendido de Janeiro de 2001 a Junho de 2009, donde se analisou uma amostra de 179 anúncios de dividendos de 29 empresas distintas. Os resultados alcançados não permitem confirmar a existência de assimetria de informação pois não existe significância estatística que confirme a não existência de uma reacção anormal no preço da acção ao anúncio de distribuição de dividendos, no entanto parecem indiciar a existência de fuga de informação privilegiada antes do anúncio oficial da mesma. - ABSTRACT: This investigation analyzes the behavior of the prices of the Portuguese listed companies' in Euronext Lisbon with the pretension of examining the relationship among the reaction of the market around the dividend's announcement date, verifying if information asymmetry exists between the insiders and the market. The Event Study's Methodology was used on the PSI GERAL's companies that distributed dividends in the period from January 2001 to June 2009, from where a sample of 179 announcements of dividends of 29 different companies was analyzed. The results reached don't confirm the asymmetric information with statistical significance stating the non existence of an abnormal reaction of the stock's prices to the announcement of the dividends' distribution, however they seem to indict the existence of a leak of privileged information before its official announcement.
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Lutete, Flávio Banza. "Impacto do anúncio de pagamento de dividendos no preço das ações: estudo comparativo do sector financeiro entre a África do Sul e Nigéria." Master's thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/26694.
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O presente estudo tem como foco a análise do impacto do anúncio do pagamento de dividendos sobre o preço das ações do sector financeiro de dois dos maiores mercados financeiros de África nomeadamente, Nigéria e África do Sul. Para o efeito, são abordadas teorias financeiras relacionadas com a hipótese de eficiência dos mercados e teorias relacionadas com a política de dividendos que representam a componente bibliográfica do trabalho. A componente empírica é baseada na metodologia de estudos de eventos (MacKinlay 1997).
Foram estudadas empresas do setor financeiro cotadas nas duas bolsas enunciadas, e que anunciaram o pagamento de dividendos durante o período de janeiro 2014 a janeiro 2017. Com vista a avaliar a hipótese de eficiência dos mercados na sua forma semiforte foram analisadas as rentabilidades posteriores ao anúncio de pagamento de dividendos com intuito de verificar se sofrem alterações significativas face as rentabilidades esperadas.
De forma global em ambos os mercados os resultados apontam para existência de rentabilidades médias anormais estatisticamente não significantes; Abstract:
Impact of dividend payment announcement on stock prices: Nigerian and South African financial sector comparative study.
The present study focuses on the analysis of the influence of the announcement of dividend payments on the financial sector stock price of two of Africa's largest financial markets, namely, Nigeria and South Africa. the hypothesis of market efficiency and the dividend policy that represent the bibliographic component of the work. The empirical component is based on the event study methodology (MacKinlay 1997).
Financial sector companies listed on the two listed exchanges, which announced the payment of dividends during the period from January 2014 to January 2017, will be studied. In order to evaluate the hypothesis of market efficiency in its semi-strong form, post-announcement returns will be analyzed. payment of dividends and to verify whether they undergo significant changes in relation to expected returns.
Overall in both markets the results point to the existence of statistically non-significant abnormal returns.
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Lin, Ting-Yu, and 林庭妤. "Insider Trading around Stock Dividend Announcements." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/16489904499090152624.
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碩士臺灣大學
財務金融學研究所
96
Few researches examine the cross-sectional variations in the market response to stock dividend announcements. In this paper, we investigate the interaction between the announcement effect and the insider trading prior to the stock dividend initiations to better understand how investors react to the stock dividend announcements. We examine 384 stock dividend initiations initiated by NYSE, AMEX and NASDAQ firms from 1985 through 2005.We stratify the sample based on insider trading activity within a specified time, say a quarter prior to the announcement day. We find that the 1-day excess returns on the announcement day are negative and significantly lower for firms with insider selling than for the remaining firms. Moreover, the 2-day cumulative abnormal returns are positive and significantly higher for firms with insider buying than the remaining firms. This suggests that insider trading immediately prior to the announcement of stock dividend initiations has significant explanatory power. Specifically, rather than viewing insider trading and stock dividends as additive independent signals, the market views them as complementary signals. However, there is no significant difference for the 2-day cumulative abnormal returns between firms with insider selling and those with no insider trading. This implies that stock dividend announcements reduce the negative valuation effect of abnormal insider selling. Stock dividends seem to be treated on average as good news by the market.
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Lin, Ting-Yu. "Insider Trading around Stock Dividend Announcements." 2008. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1501200811015400.
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Chen, Shih-Wei, and 陳士韋. "The Impact of Investor Sentiments on abnormal returns of Dividend Announcements." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/29822904774188598639.
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碩士國立臺灣科技大學
財務金融研究所
98
The primary goal of this study is to investigate how investor sentiment affects a firm’s stock prices after its dividend announcements. To this end, we first study the effect of a firm’s dividend announcements on its stock prices and then see whether investor sentiment plays a role in explaining this effect. Many researchers have found the signaling effect of dividend announcements. For example, McNichols and David (1990) argue that the positive abnormal returns of the dividend announcement event are due to the fact that investors expect the firm’s will increase in the future. The sample period of this study covers from 2001 to 2009, and the sample includes all Taiwanese firms with dividend announcements. We use the event study methodology to conduct our analysis, and employ the market model to estimate abnormal returns after dividend announcements for each sample firm. Because it is difficult to collect the data on the direct indices of investor sentiment, we follow Baker and Wurgler (2006) and other studies to calculate the indirect indices of investor sentiment. The indirect indices are classified into two categories: one is the firm-specific index and the other one is the market-wide index. Then we run the OLS regression to see how investor sentiment affects a firm’s stock prices after its dividend announcements. Some important empirical results are noted as follows. First, we find that there are positive cumulative abnormal returns after announcement day 0 to day 2. Second, there is a negative relationship between investor sentiment and positive cumulative abnormal returns, meaning that low market-wide sentiment leads to high cumulative abnormal returns. Third, the firm-specific index has no impacts on cumulative abnormal returns. Fourth, we find that cumulative abnormal returns are significantly negatively affected by market-wide sentiment for small, young, unprofitable and high-volatility stocks.
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Leu, Jiann-Lee, and 呂建禮. "The Impact of Short-selling and Margin-purchasing on Stock Returns around Dividend Announcements and Ex-dividend Days." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/40141502933384618223.
Full textAbstract:
碩士國立中正大學
企業管理研究所
99
Abstract The purpose of this study is to examine the relationship between credit trading and stock returns under the dividend announcements (announcement date and ex-dividend date) for the listed companies of Taiwan from January 2000 to December 2009. According to the analysis results of abnormal credit trading, I find that individual investors can not make abnormal returns by doing credit trading activities before the special events. It implies that since the costs and risks of credit trading are higher, people who own the internal information may do the credit trading. In addition, the credit trading activities of institutional investors and insiders are restricted by the rules of Taiwan stock market. This may causes the hypotheses set up by our empirical research can not reach the significant effect. From the analysis results of abnormal credit trading level during the announcement date and ex-dividend date, I find that the abnormal credit trading still exists after announcements. Therefore, it presents that the stock market lacks efficiency because of the tardy response after the special event. Keywords: regression analysis; special event; credit trading; abnormal returns
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Liu, Szu-Han, and 劉思漢. "The Complementary and Substitution of Interaction Effects between Earnings and Dividend Announcements." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/97043492658997961784.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
100
This paper examines the relative strengths of complementary and substitution of interaction effects between non-contemporaneous earnings and dividend announcements on common stock returns. The results indicate that the stock market in Taiwan has significant complementary effect, especially in cases where dividend announcements precede earnings announcements or the latter announcements are bad news. Further, the magnitude of investors’ reaction tend to be more drastic to prior announced information, unexpected dividend and good news. In addition, the evidence also indicates that differences between industries do affect the information effects of earnings and dividend announcements.
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Wu, Chih-Hsun, and 吳致勳. "The Wealth Effects of Dividend Announcements on Bondholders-The Case Taiwan Bond Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/wxpzh9.
Full textAbstract:
碩士國立中正大學
企業管理系研究所
105
Bond is very common financial tools in the west capital market. It makes company operating on a better financial leverage without stock dilution. And also create tax shield to save cash flow and create value of business. But bond is less common in Taiwan. And we found the issuing and trading volumes of bond is decline in past years. According the previous study, we found there’s wealth transfer effect between bondholders and stockholders. And we suspected that’s why investors don’t put their money into bond market. Taiwan’s company don’t care about bondholder’s equity. So this study used event study methodology to observe the price change of bond and stock after cash dividend announcement. We found there significant abnormal return before the cash dividend announcement 60 day to 30 day. Though we can proved that result relate to directors and supervisors holdings or management holdings. We still suspected there’s insider trading affect the return. And we also observed the price change of bond between the period day -1 to day 1. Found the result is insignificant. We though there some reason lead to this result, include the trading of bond is low, the insider trading before announcement and the mixing of signaling effect and wealth transfer effect.
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Chen, liang-shu, and 陳良姝. "The Relation Among Dividend Policy, Firm Size, and the Information Amount of Earnings Announcements." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/28369828039393274139.
Full textAbstract:
碩士國立高雄第一科技大學
金融營運所
92
Venkatesh (1989) finds that the firm’s quarterly earnings announcement is less informative following its initiation of dividends. Mozes and Rapaccioli (1995) also find that if the dividend announcement precedes the earnings announcement, no size effect exists. However, if firm does not pay dividends or if the firm’s earnings announcement precedes its dividend announcement, the size effect exists. This study draws a random sample of 117 firms from the Taiwan stock exchange corporation (TSEC). First, this study estimates the SI index for each sample during the earnings announcement period. Secondly, we construct regression models to investigate whether the size effect exists in the Taiwan stock market and the impact of the dividend announcement on size effect. The empirical conclusions of this study are as follows: 1.The relationship between firm size and the information content of earnings announcement is significantly negative. This shows that the size effect exists. 2.For all firm observations, if dividends are announced before the earnings announcement, size effect does not exist, but if the earnings announcement precedes the dividend announcement or the firms do not pay dividends, the size effect exists. 3.For the traditional and the electronic stocks, if the dividend announcement precedes the earnings announcement, size effect still does not exist. But, if the earnings announcement precedes the dividend announcement or the firm does not pay dividends, the size effect exists.
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Lanh, Nguyen Thi, and 阮氏蘭. "The Effect of Dividend Increase Announcements on Stock Price: Evidence from the Vietnamese Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/36sy7e.
Full textAbstract:
碩士逢甲大學
國際經營管理碩士學位學程
102
The Vietnam stock market is an emerging market where dividend taxes are higher than capital gains taxes, Vietnamese firms have a high state-ownership, a majority of dividends are paid by cash and there is significant inconsistency in dividend payouts. This study investigates the effect of dividend increase announcements on stock price reactions over the period 2007 to 2012. We examine 198 announcements for 101companies listed on the HOSE market and show that announcements of dividend increase do not cause reactions in security prices. These results support Black’s (1976) tax-based dividend signaling hypothesis about the condition for dividend announcements becoming market information when dividend taxes are higher than capital gains taxes. These findings are also in line with Chen et al (2002).
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Pan, zhao-yi, and 潘昭儀. "Dividend announcements and Tobin''s Q theory: cash flow signaling VS. free cash flow hypothesis." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/19954425231552607997.
Full textAbstract:
碩士國立彰化師範大學
商業教育學系
85
Under the cash flow signaling hypothesis, the dividend change provides information about current and/or future cash flows, while under the free cash flow hypothesis, the dividend change provides information about changes in the managers* misuse of cash flows. Based on the theoretical dispute, this research analysis the potential explanations for wealth effects surrounding dividend change announcements. The object of this research: (1) To analyze the differences in firm characteristics between high-Q and low-Q firms. (2) To undersdand the stock price and volume reactions to dividend change announcements. (3) To investigate the extent to which dividend changes are associated with changes in cash flow expectations. (4) To probe into that whether dividend change announcements are associated with revisions in analysts* current earnings forecasts or not. The results of the empirical analysis are: (1) For both dividend increases and decreases, the differences in dividend change, firm size, yield, and risk change between high-Q and low-Q firms are significant. (2) Dividend increase announcements period have positive impact on stock prices, and dividend decrease announcements period have negtive impact on stock prices. This result is consistent with the cash flow signaling hypothesis. (3) Dividend increase announcements period have positive impact on tra
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Coetzee, Alisha. "Effects of final dividend announcements on share prices of companies of the FTSE/JSE Top 40 index." Thesis, 2014. http://hdl.handle.net/10210/12268.
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M.Com. (Investment Management)The study investigates the effects of final dividend announcements on the share prices of the FTSE/JSE Top 40 Index for the period 2003-2012. A classical event study methodology was applied to test the data. Over the sample period the Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) were calculated. The final sample consisted of 13 companies that included 144 dividend announcement events. The results indicated that although dividend announcements seem to have a positive effect on share prices, the returns yielded from these effects are not significant and close to zero. Evidence relating to the dividend signalling hypothesis was also present in the South African market.
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Câmara, Gualter Fernandes Martins. "O impacto dos anúncios de dividendos nos preços das ações do mercado ibérico." Master's thesis, 2013. http://hdl.handle.net/10400.3/2808.
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Dissertação de Mestrado, Ciências Económicas e Empresariais, 4 de Dezembro de 2013, Universidade dos Açores.O estudo avalia o impacto dos anúncios de dividendos no preço das ações das empresas cotadas no principal mercado português, espanhol e ibérico. Além disso, pretende-se aferir sobre a possibilidade de se gerarem rendibilidades anormais nos dias circundantes ao anúncio, para o período compreendido entre janeiro de 2006 e agosto de 2012. Os mercados de capitais desenrolam um papel essencial no desenvolvimento económico de um país ou região, mobilizando poupanças e alocando recursos. Talvez por este motivo, a forma como a informação é incorporada nos preços das ações tem merecido destaque e debate por parte dos investigadores. O estudo insere-se neste contexto na medida em que avalia o impacto da informação implícita aos anúncios de dividendos nos preços dos ativos. Utilizou-se a metodologia de Estudo de Evento, que permite isolar o impacto de um evento específico no preço das ações. Esta metodologia é amplamente utilizada e estudada por diversos investigadores. De uma forma transversal aos dois mercados, os resultados obtidos comprovam a existência de rendibilidades anormais nos dias circundantes aos anúncios de dividendos, transparecendo um desfasamento entre estes eventos e a sua incorporação no preço das ações. Os resultados obtidos para o mercado português e espanhol estão em conformidade com as evidências encontradas por outros autores.
ABSTRACT: The study is aimed to evaluate the impact of dividend announcements on share prices of listed companies in stock indices and PSI 20 Ibex35 separately, and to all the Iberian companies, listed in these two indices. In addition, I intend to prove the possibility to generate abnormal returns in the days surrounding the announcement, for the period between January 2006 and August 2012. Capital markets unfold an essential role in the economic development of a country or region, mobilizing savings and allocating resources. Perhaps for this reason, the way information is incorporated in stock prices has been highlighted and debate among researchers. This study fits into this context as it assesses the impact of implicit information to dividend announcements in asset prices. In this study, I used the methodology of Event Study, which allows to isolate the impact of a specific event in the stock price. This method is widely used and studied by several investigators. Transversely to the two markets, the results obtained confirm the existence of abnormal returns in the days surrounding the dividend announcements, transpiring a lag between these events and their incorporation in the stock price. The results for the Portuguese and Spanish Markets are in accordance with the evidence found by other authors.
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JING, PEI, and 許佩菁. "Dividend Announcement and Media Effects." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/95018830226099382716.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
99
The study sample adopts Taiwan Stock Exchange Corporation stock transaction data, using De Bondt and Thaler ( 1985 ) to validate the phenomenon of excessive market reaction, into winners and losers-sensitive portfolio, held during the portfolio''s rate of change between the two groups. To traditional event study using ordinary least squares methods estimated market parameters in the model. T-statistic of cumulative abnormal return, as verification. Method to verify the study on the establishment of two hypotheses: (1) dividend payment announcement in the event period has a cumulative abnormal return. (2) Taiwan''s stock market overreaction ( lack of reaction ) , company number reported by the media before the dividend payment is pronounced more behavior will affect investors'' investment, thereby strengthening the degree of excessive or inadequate response. Study on dividend declared under this event the empirical results found, Taiwan stock dividends declared in event does not have a significant accumulation of abnormal returns. Second, Taiwan''s stock market under the inadequate response, the company is media coverage before the dividend is pronounced more and will not affect investors'' investment behavior.
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Café, Alexandra Myrielle. "O impacto de anúncios de dividendos no valor das ações das empresas da Zona Euro." Master's thesis, 2014. http://hdl.handle.net/1822/31584.
Full textAbstract:
Dissertação de mestrado em Estudos de GestãoO presente trabalho tem como objetivo analisar o impacto do anúncio de dividendos no valor das ações das empresas, usando a metodologia de estudos de evento de curto prazo. A análise recai sobre 16 países da Zona Euro. Para além de ser realizada uma análise global, agrupando todos os países em função da tipologia dos anúncios de dividendos, nomeadamente anúncios de aumentos, de diminuição e constantes, realizou-se adicionalmente uma análise comparativa dos mesmos países agregados em dois grupos, em função do Produto Interno Bruto (PIB). O teste t, o teste de rank e o teste de sinal, foram os testes realizados e aplicados a uma amostra total de 1818 anúncios de aumentos, 439 anúncios constantes e 588 anúncios de diminuição; sendo adicionalmente aplicadas regressões adicionais sobre CAAR. Apesar de para os testes estatísticos os anúncios de aumentos apresentarem resultados mais consistentes, em geral, os resultados quer para a análise global quer para a análise comparativa, permitem inferir a existência de um impacto dos anúncios de dividendos no valor das ações para os três tipos de anúncio. Os resultados do trabalho podem ser sustentados, em parte, pela teoria de sinalização e por outro, pela teoria de catering.
The present work has the purpose to analyze the impact of the dividends announcement in the value of the companies’ shares using the event study methodology of short term. The analysis falls again on 16 countries of "Zona Euro". A global analysis will be carried through grouping all the countries in function of the typology of the announcements (dividend announcements of increases, reduction or null); and other comparative analysis will be carried between the same ones in function of the Gross Domestic Product (GDP). The t-test, the rank test and the sign test, had been the tests carried through and applied to a total sample of 1818 announcements of increases, 439 constant announcements and 588 announcements of decreases; additionally applied regressions on CAAR. Although for the statistical tests, the announcements of increases present results more consistent, in generally, the results for the two analyses allow to infer the existence of an impact of the dividend announcements in the value of the shares for the three announcements type. The results of this work can be supported by the theory and another one for the catering theory.
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CHANG, CHIA-HANG, and 張嘉航. "The Dividend Announcement Effects: An Examination on Cash Dividend Distributions of Taipei Exchange." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/acdg8e.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
104
This study examines the abnormal returns of cash dividend announcements in Taipei Exchange. The empirical sample spans from January 1, 2013 to December 31, 2015 with totally 1,157 transaction data drawn from the Taiwan Economic Journal (TEJ). Four measures of abnormal returns for the dividend announcements (accumulated returns of event intervals, including five days prior to announcements, one day after announcements, five days after announcements, and ten days after announcements ), are computed by Ordinary Least Squares (OLS) model. Moreover, differential analysis and multiple regressions are employed to investigate the relationships between the abnormal returns and the financial variables via closing price, trading volume, transaction value, turnover ratio, market value ratio, price-to-net value ratio, and dividend yield. The empirical results of this study are summarized as followed: (1)there exists significantly positive abnormal returns of cash dividend announcements in Taipei Exchange;(2)the evidence indicates the phenomenon of information leakage prior to dividend announcements in the markets;(3)dividend yields show significant and positive impacts on the abnormal returns among announcements. Keywords：Event Study, Cash Dividend, Abnormal Return
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游琇婷. "The Effect of Dividend Announcement on Stock Returns." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/9v7mrb.
Full textAbstract:
碩士國立彰化師範大學
財務金融技術學系
105
The purpose of this study is to explore the effect of dividend announcement on stock returns. If the dividend increases, do the stock returns increase? If the dividend yield increases, do the stock returns increase? This study uses the common stock of Taiwan from 2000 to 2015 except the financial-related industries, and explores the effect of cash dividend announcement and stock dividend announcement by event research. The empirical results are stated below: 1. The company with dividend announcement will have abnormal returns on the stock price. 2. When the company's cash dividends or stock dividends increase, abnormal returns increase. 3. When the dividend yield of the stock increases, abnormal returns increase.
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Jaung, Ruey-Lin, and 莊瑞霖. "The impact of dividend announcement on convertible bonds." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/86681936140463729843.
Full textAbstract:
碩士國立臺灣大學
財務金融學系
82
The main purpose of this study concentrates on the impact of dividend announcement on convertible bonds. Using event study technique, we investigate the daily return behavior of convertible bond to un- expected dividend changes. We also distinguish bet- ween the relative importance of the two effects: th- e information content effect & the wealth transfer effect. The results are as follows : 1.Unexpected total dividend changes have no impact on convertible bonds 2.unexpected cash dividend changes have imformation contents 3.The results also suggest that the predominant eff- ect is information content effect, although wealth transfer effect cannot be ruled out
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Wu, Cheng-Fong, and 吳承峰. "Do dividend announcement and earning announcement strengthen the forecasting effect of future earnings?" Thesis, 2008. http://ndltd.ncl.edu.tw/handle/09754710392382974801.
Full textAbstract:
碩士輔仁大學
管理學研究所
96
This paper examines the relation between dividend changes and company future earning that is the management of company uses dividend to convey information about future earnings prospects. When company pays cash dividend to stockholder, it must consider the liquidity of the company. Therefore, this study not only examines the relation between total dividend and the company future earnings, but also examines the relation between the dividend changes and the company future earnings. The company announces the dividend policy based on past performance. Therefore, this paper combines dividend announcement with past unexpected earnings to examine changes in future earnings. The study period covers from 1999 to 2007 and consist of 2399 observations. First, based on dividend changes and past earning changes observes the earning changes after announcement. Second, I used the least square regress method to examine the relation between dividend changes and future earnings. The empirical results in this study are summarized as follows: 1.When the earning forecast is a linear model, increase in adjusted cash dividend convey information in future earnings increase. But decrease in adjusted cash dividend doesn't have future earnings information. When earning expectation is nonlinear model, total dividend changes and future earnings before extraordinary items has positive relation. Total dividend changes and short-term future net income has positive relation. 2.Changes in dividend and past earning are the same direction, it is unable to expect future earnings has the same changes. 3.When company decreases dividend announcement and past earnings increase is earnings per share changes rate under average, expect future earnings doesn't increase. 4.When company increases dividend announcement and past earnings decrease is earnings per share changes rate before industry factors under average, expect future earnings doesn't reduce. 5.Combing dividend changes with past earning changes to observe long-term and short-term earning changes, there is no consistency among groups, so dividend changes announcement doesn't have earnings signal content.
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Cheng，Jui-Tsung and 鄭瑞宗. "The relationship between the dividend announcement and stock price." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/43377748048253535590.
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Huei, Chang Wen, and 張文惠. "Differential Information Content─Stock Dividend Announcement Event in Taiwan." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/23104482855201078305.
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LIN, YEN-LIANG, and 林彥良. "A study on dividend announcement and stock-option strategies." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/34874122502180962166.
Full textAbstract:
碩士中原大學
會計研究所
94
The main purpose for this research is to investigate whether investors could make money out of stock options during the dividend declaration period. We picked up 28 sample companies that issue stock options for this research. They are TSMC, UMC, NAN YA, CHINA STEEL, FUBON FINANCIAL. The stock option prices sample period starts from January 21st, 2003 to December 31st, 2005.。We use T statistics to test stock option exist arbitrage opportunity and stock volatility. Studies shown that no matter it is a long straddle or bottom strangle, there is no evidence showing that finance corporations make profit out of it. If we exclude finance corporations, normally companies can make profits using long straddle. However, no evidence shows that companies can make profits using bottom strangle. As to stock option target volatility, the volatility of average stock price is greater in the dividend declaration period than that in the non-dividend declaration period. In terms of profitability, research shows that the volatility of target stock is related to stock option exist arbitrage opportunity. The relationship is stronger for long straddle.
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Wang, 1ing-tsann, and 王金燦. "The Announcement Effect and Information Content of Stock Dividends." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/64201164299612984982.
Full textAbstract:
碩士國立臺灣大學
財務金融學系
86
This paper examines the announcement effect of stock dividends and the information content . In order to observe how the stock dividends policy influence the stock price , we use the market model and modified market model to estimate the abnormal returns .To explore the information content of stock dividends , we exam the cross-sectional implication from a signalling story explore . Furthermore , we connect the announcement effect and the next year''s earnings . There are several findings : 1. On average , the announcement effect of the stock dividends is not statistically significant . 2. The announcement effect conveys information on next year''s earning . When the announcement effect is positive , the next year''s earning is more likely to increase . 3. In cross-sectional regressions , we find that the payout ratio is the most significant variable in explaining the announcement effect . Other significant variables are the expected earnings growth rate and the Tobin''s Q . 4. The market responds similarly whether the stock dividend has to be approved by the SEC . 5. The abnormal return remains significant one day after the announcement of the stock dividends . It suggests that the stock market in Taiwan is not efficient in the semi-strong .
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KE, MENG-CONG, and 柯孟聰. "The effect of stock dividend announcement on stock price:an empirical study." Thesis, 1990. http://ndltd.ncl.edu.tw/handle/41703995079882143851.
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Wu, Tsung-Hsin, and 吳宗欣. "Price/Volume Reaction to Cash Dividend Announcement－A Case of Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/29036906947896184208.
Full textAbstract:
博士國立雲林科技大學
財務金融系
103
This paper adopts cash dividend samples from all listed firms in Taiwan during the period from 2001 to 2012, applying an event study in order to investigate the impact of cash-dividend policy on share prices with Market Index Adjustment Model. The percentage of firms paying out only cash dividends for all the firms paying out dividends has shown a significant increase. This percentage topped 70.28% in 2011. In ex-dividend session, investor will obtain an average of about 2.07% cumulative abnormal returns. And we find the average cumulative abnormal trading volume reaches 248.84% in ex-dividend session. Further, we analyze whether firms adopting cash-dividend payouts have different abnormal returns on stock price performance depending on different variables. These variables include “Change of Cash-Dividend”, “Cash-Dividend Payout Ratio”, “Amount of Cash-Dividend”, “Stock Trade Turnover Rates”, “Firm Sizes” and “Different Industries”. The results only “Change of Cash-Dividend” and “Stock Trade Turnover Rates” these two variables are significant, others are insignificant. We discovered the average cumulative abnormal return of the group with a cash dividend increase was 2.26%. And the average cumulative abnormal return of the group with a cash decrease was 0.49%. Additionally, we find the average cumulative abnormal return of the group with high stock trade turnover rate was 1.12%. And the average cumulative abnormal return of the group with low stock trade turnover rate was 3.05%. In study period, we have try to use the financial ratio to analyze the ex-dividend effect. But all the variables we chose were not significant. These variables include “Liquidity Ratio”, “Debt Ratio”, “Return of Total Assets”, “Return on Equity” and “Cash Flow Adequacy Ratio”.
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YOU, YANN-CHING, and 尤彥卿. "The Research on The Effect of Stock Dividend Announcement and Information Contents." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/99267801671258150645.
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HUANG, TUNG-LING, and 黃冬玲. "The impact of stock returns on dividend announcement on Taiwan motherboard market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/36225047745960041328.
Full textAbstract:
碩士國立臺北大學
統計學系
92
The paper utilized intervention model to study the impact of stock returns on dividend announcement on Taiwan motherboard market. The sample period of this study covers from January 1 2001 to July 11 2003. This study is based on the historical data of six Taiwan motherboard manufacturer which had paid full dividend form 2001 to 2003. The objective of this study is to test the impact of abnormal returns on dividend announcement. In addition, for all stocks in the sample, analysis the difference of the method between the average of abnormal return and the average cumulation of abnormal return. There are several findings: 1. There is only one stock has the effect of abnormal return in the situation of increase dividend on the date of dividend announcement. 2.There is only one stock has the effect of abnormal return in the situation of dividend decrease on the date of dividend announcement. 3.There isn’t any stock has the effect of abnormal return, under the situation of dividend remains unchanged, on the day of dividend announcement. 4.There isn’t any stock has the effect of abnormal return, on the next day of dividend announcement, under all dividend policies. 5.There is only one stock has the effect of abnormal return, from the second to the fifth day after dividend announcement which decreases dividend. 6.The test on the average abnormal return of sample, under the situation of dividend increase, shows the rate of return of stock price has no significant difference from the day of dividend announcement to the fifth day of it. 7.The test on the average abnormal return of sample, under the situation of dividend decrease, shows the rate of return of stock price has significant difference only on the third and forth day after the announcement. It has no significant difference in the other time periods discussed in this study. 8.The test on the average cumulation abnormal return shows no information content effect form the day of dividend announcement to the fifth day of it, no matter what dividend policy is.
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Cheng, Li Sen, and 鄭梨森. "The Relationship Between The Investor's Inattention And The Stock Returns Around Dividend Announcement." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/39748599721912132238.
Full textAbstract:
碩士國立中正大學
財務金融研究所
102
Prior studies suggest that investors have limited attention so that stock returns are underreaction and post drift. This paper explores the relationship between the investors inattention and the stock returns after dividend announcement. Our empirical findings suggest that there is no underreaction when firms increase dividends. Furthermore, we observe less immediate response when firms decrease dividends. Our results show that stocks with dividend increase have larger price drift. This may result from other market consequences. Moreover, there is no negative abnormal return drift when firms decrease dividends. The evidence does not support that investor’s inattention influences stock returns around dividend announcement.
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WU, CHIEN-SHENG, and 吳建昇. "An Analysis of Cash Dividend Announcement Effects - The Case of Taiwan Stock Market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/z7565n.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
104
The current study examines the abnormal returns on cash dividends announcements of Taiwan stock markets during the period spanning from January 1, 2013 to December 31, 2015. Ordinary Least Squares (OLS) model is employed to estimate abnormal returns on the cash dividends announcements. Four abnormal returns measures are examined, including daily average abnormal returns (one day after the announcements), weekly average cumulative abnormal returns (five days before and after the announcements), bi-weekly average cumulative abnormal returns (10 days after the announcements). The differential analysis is conducted by using parametric t-test and nonparametric Wilcoxon rank-sum test, while multi-variate regressions are utilized to examine the relationships between the announcements abnormal returns and financial characteristics. The empirical results indicate (1) positive abnormal returns of cash dividends announcements exist in Taiwan stock markets; (2) positive average abnormal returns and positive average cumulative abnormal returns are found respectively in the measures of daily (one day after) and bi-weekly (10 days after) abnormal returns; (3) stocks with high dividend yields can generate large abnormal returns.
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Liu, Chun-Yu, and 劉純有. "Marginal Value of Cash Holding in Explaining the Market Effect of Dividend Announcement." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/00645690521400616389.
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碩士國立聯合大學
經營管理學系碩士班
103
In this study, the marginal value of the cash held by the company for the next quarter dividend declared whether the impact of policies to meet the relationship of research to US data marginal value of cash holdings and dividend declared policy as samples to establish whether the research model was observed between the two cater relationship. During the study sample was from 2004 to 2014 the United States all listed company data, excavated from the establishment of the Wharton School of the University of Pennsylvania Integrated Database (WRDS). First of all, this study design to use the single variable validated to the level of the marginal value of cash holdings and unexpected dividend data groups, do have a number of female Mother Number of analyzing whether cater to investors, the company from which we can see the marginal value of cash holdings to assess whether cater to investors, dividends tend to send additional or subtract. Then the number of cumulative abnormal return rate of strain build multiple regression model, the model join other control variables, investigate the effect of mutual relations between the control variables and the cumulative abnormal return, the empirical results show that the company exists to meet the investor at the time of the dividend declared policy policy. In this study, for the company to do when the dividend declared policy as a reference, the company's investment policy may be close to people's expectations.
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蘇素卿. "Public Forecast''s Company Convey Information Content for Stock Dividends Announcement." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/79227483041166777794.
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Chang, Ya-Hui, and 張雅惠. "On the Announcement Effects of Cash Dividends in Taiwan Stock Exchange." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/07511576892073505995.
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碩士義守大學
管理科學研究所
89
This paper examines the announcement effect of cash dividends in Taiwan Stock Exchange (TSE). The sample period of this study covers from 1993 to 1999. We choose the date of announcing to hold annual shareholders’ meeting to be event day and use market model to calculate abnormal return (AR) and cumulative abnormal return (CAR). Also use traditions examine and standardized-residual test to calculate t-value. The objective of this study is to test the impact of abnormal returns on dividend announcement. In addition, for all stocks in the sample, analysis the difference of AR/CAR Method. The result based on a sample of 394 firms listed on the Taiwan Stock Exchange for the period 1993 to 1999 are investigated. Conclusions obtained from this study are as follows: 1.The announcement effect of the cash dividends is not statistically significant. 2. The cumulative abnormal returns have information effect in 1993 to 1999.
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林煒逸. "A study of relationship between the market reaction surrounding dividend announcement and earnings changes." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/52157749985284084815.
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碩士國立彰化師範大學
商業教育學系
94
Abstract Both dividends changes and earnings changes affect stock price, dividends announcement and earnings changes have a reciprocal effect, our study emphasize on what is the relationships and how do they influence stock price. We select firms listed or Over-the-Counter(OTC) in Taiwan Stock Exchange Corporation(TSE) during 1997-2005, who pay cash dividends or stock dividends or pay both of them. The dividends announcement was proxy by board of directors day in Market Observation Post System. First, this paper investigates the relationship between dividends and earnings. The results suggest that later dividends changes vary with past earnings changes positively, then examining the relation between the market reaction surrounding changes in dividend and past earnings changes. The results are consistent with Kane, Lee, and Marcus (1984) and Leftwich and Zmijewski （1994）, managers’private information about the persistence of past earnings changes was signaled by changes in dividends. Here are the findings of this paper： 1. Past earnings changes are positively related to later dividends changes, but the statistical relation between dividends changes and future earnings changes is smaller and the direction is uncertain. 2. The relationship between the market reaction surrounding changes in dividend and past earnings changes is positive, and market reaction to dividend changes is positively related to the next 2 years of earnings changes, suggesting that changes in earnings are persistent. 3. The positive relationship between the market reaction surrounding changes in dividend and past earnings changes is larger, while past earnings changes is decrease, contrarily while past earnings changes is increase, the relation is smaller. 4. The positive relationship between the market reaction surrounding changes in dividend and past earnings changes is increasing in the magnitude of the size of dividends changes, it also suggests that changes in earnings are persistent.
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Weng, Kai-Chun, and 翁蓋郡. "A Case Study of the Dividend Announcement Effect of Taiwan’s Traditional Food Family Firm." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/98184718283012557816.
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碩士國立高雄第一科技大學
財務管理所
93
The purpose of this research is to discuss the relationship between management performance and dividend annoucement effect after Initial Public Offering(IPO) of a traditional family-owened food enterprise,The Herng-Yih co.ltd takes a leading role in Taiwan traditional do-fu market,although the company’s IPO on the OTC market increased monitoring cost due to external survellance and control from security authorities,private investors and public media.This research confirmed that the IPO was a wise decision to make.The wealth of family members may not benefit greater from IPO,but IPO action contributed a significant portion of capital to the company which increased sales revenue,profit and the chance of long-term operation,According to documents and foreign literature,transitional inheritance is always difficult for family-owned business.Family firm's board of directors and the management level generally are all assigned by the family members.The difficult problem faced by family firm is the corporate governance on how to increase outside independent board of directors and professional managers.This research suggests that Herng-Yih co,organize a special task force,introduces new management idea like Porter the competition strategy, the Kaplan balanced Scorecard and Handy creeping oxalis organization,as well as the Activity-Based cost system , focus on the core competitive ability,and install key performance indicators, in order carries on the enterprise evolution and improvement work.
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Huang, Chengting, and 黃正霆. "The Announcement Effect of Cash Dividend Changes on Share Prices: An Empirical Analysis of China." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/63194532845192426516.
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碩士國立交通大學
財務金融研究所
95
This paper adopts the sample of cash dividend changes from all listed A-share firms in China over the period 2000 to 2004 and applies an event study in order to investigate the announcement effect of cash dividend changes and to examine simultaneously if the dividend signaling hypothesis holds in China’s stock markets. Empirical results indicate that the announcement of cash dividend changes has a positive influence on share prices, but such results only partly support the dividend signaling hypothesis. We also find that there is no great dissimilarity between the announcement effects of cash dividend changes for different stock markets in China. However, the announcement effect of cash dividend changes for different sample periods exhibits distinct differences which may have a close connection with the promulgation and execution of two administrative rules. The cross sectional analysis also shows that both cash dividend yield and the ratio of non-floating shares have explanatory power on the announcement effect of cash dividend changes.