Signaling Effect of Shifts in Dividend Policy: Evidence from Indian Capital Markets

2018 ◽  
Vol 6 (2) ◽  
pp. 142-153 ◽  
Author(s):  
Mohit Gupta ◽  
Navdeep Aggarwal
Keyword(s):  
Capital Markets ◽  
Dividend Policy ◽  
Abnormal Returns ◽  
Weak Form ◽  
Event Window ◽  
Developed Markets ◽  
Time Period ◽  
Signaling Effect ◽  
Study Methodology ◽  
Event Study Methodology

Empirical evidence suggests that a large number of studies support the signaling impact of dividends, but the results are more pronounced in developed markets as compared to emerging markets, where because of the weak form of market efficiency, signaling impact is not well-established. This study tests this hypothesis in Indian capital markets, in terms of signaling impact due to shifts in dividend policy. The study has defined the shift in dividend policy as an increase or a decrease of dividend by 20 percent from the previous dividend payout rate. Standard event study methodology was applied on 129 such events in the selected time period and these events were further classified according to market capitalization. Large-cap stocks displayed the presence of significant abnormal returns in the pre-event period, whereas the mid-cap stocks displayed the same in the post-event period. The results of the small-cap stocks mirrored that of large-cap stocks but they are the only ones in which cumulative average abnormal returns were found to be significantly displaying the lagged response toward the event. The decrease in dividend rate by 20 percent or more did not result in average abnormal returns in either pre-event or post-event window.

scholarly journals Dividend Announcement and Ex-Dividend Effects on Stock Return

2016 ◽  
Vol 8 (7) ◽  
pp. 207
Author(s):  
Dinh Bao Ngoc ◽  
Nguyen Chi Cuong
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Stock Return ◽  
Dividend Policy ◽  
Abnormal Returns ◽  
Listed Companies ◽  
Announcement Date ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

<p>We study the impact of dividend policy on the stock return by investigating reaction of the stock price on the dividend announcement date and the ex-dividend date.<strong> </strong>In order to achieve this goal, a sample comprising 1962 observations of dividend-related events from 432 listed companies in Vietnam during the period 2008 to 2015 is chosen to analyze and the event study methodology is used to estimate abnormal returns to the shares around the announcement date and the ex-dividend date. Our results clearly show that the effect of dividend announcement on the stock return is positive around the announcement date. In addition, the stock price moves up as long as the ex-dividend date approaches and then starts decreasing from this date onwards.</p>

scholarly journals Significance of a change in dividend payment frequency

2017 ◽  
Vol 6 (1) ◽  
pp. 134-140
Author(s):  
Edson Kambeu
Keyword(s):  
Event Study ◽  
Dividend Policy ◽  
Abnormal Returns ◽  
Dividend Payment ◽  
Study Methodology ◽  
The Subject ◽  
Event Study Methodology

The objective of this paper is to analyse the significance of a change in dividend payment frequency. We initially argue that a change in dividend payment frequency is significant and relevant in the same manner as a change in dividend policy. We analyse the subject using an event study of Sechaba Holdings, a firm listed on the Botswana Exchange` that decided to change its dividend payment frequency from quarterly to bi-annual payment to examine the subject. We specifically used an event study methodology that analyses the significance of abnormal returns that occurred during the event period. The study revealed that the firm’s decision to change its dividend payment frequency did not significantly affect abnormal returns during the event period.  The study therefore contradicted our initial argument that a change in dividend payment frequency is significant and relevant.

scholarly journals What Determines Cumulative Abnormal Returns? An Empirical Validation in the French Market

2015 ◽  
Vol 8 (12) ◽  
pp. 89
Author(s):  
Ben Said Hatem
Keyword(s):  
Opposite Effect ◽  
Abnormal Returns ◽  
General Meeting ◽  
Managerial Ownership ◽  
Paper Test ◽  
Cross Sectional ◽  
Event Window ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
Event Study Methodology

<p>This paper test the factors explaining of cumulative abnormal returns. To this end, we examined a sample of 137 firms in 2007. We tested event study methodology to measure the cumulative abnormal returns. An event window spans from-10 days to 10 days. In our study, we considered an estimation period from -20 days to -10 days. For the dependent variable, and after the announcement date (date of the general meeting), we try to estimate the cumulative abnormal returns of 1 day, 2 days, 6 days and 8 days. The empirical results of the cross sectional model show that the market reacts negatively because of an increase in profitability, firm size and managerial ownership. The opposite effect is observed for leverage. However, the effect of spending on research and development is not statistically significant.<span style="font-size: 10px;"> </span></p>

scholarly journals The Impact of COVID-19 on Stock Returns of the Indian Healthcare and Pharmaceutical Sector

2021 ◽  
Vol 15 (1) ◽  
pp. 5-21
Author(s):  
Shivam Mittal ◽  
Dipasha Sharma
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Abnormal Returns ◽  
Pharmaceutical Sector ◽  
Event Window ◽  
Study Approach ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Increasing COVID-19 cases has not only impacted health and day-to-day lives of people, but it has also had a material effect on India’s economic growth. Stock returns of various sectors are evidence of a country’s stagnated growth but the healthcare and pharmaceutical sector might be affected in a different manner. The purpose of this paper is to find out how has this pandemic has impacted the healthcare and pharma stocks. Daily closing prices of sector specific indexes for 233 days ranging from 15 May 2019 to 24 April 2020 have been taken to compare different sectors with our test sector, on the basis of different criteria. This study has applied the widely used event study methodology on our test sector; calculated abnormal returns, cumulative abnormal returns and also tested their significance. Event study approach suggests that there have been significant abnormal returns and cumulative abnormal returns in our test sector (healthcare and pharmaceutical sector) over the event window, though while comparing it with other sectors through another econometric model, the returns are not statistically significant and do not explicitly indicate the same.

RELATIONSHIP BETWEEN MARKET VALUE OF INDUSTRIAL COMPANIES LISTED ON WSE WITH CURRENT REPORTING OF IMPAIRMENT OF ASSETS

2020 ◽  
Vol 21 (1) ◽  
pp. 91-106
Author(s):  
Bartłomiej Lisicki
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Public Companies ◽  
Event Window ◽  
Market Values ◽  
Industrial Companies ◽  
Signed Rank ◽  
Warsaw Stock Exchange ◽  
Study Methodology ◽  
Event Study Methodology

The main purpose of this paper was the examination how the announcement report including information about assets write off has an influence on the market values joint stock companies. To this end applied an event study methodology created by Fama. Research has been performed by the case of industry companies listed on Warsaw Stock Exchange. For each announcement of these companies between 2013 and 2018 was made seven-day event window whereby counted day abnormal returns. The results of the calculation have indicated statistically significant values (confirmed by Wilcoxon signed-rank tests and modified t test) of abnormal returns in the day of announcement and the next day. That may be provide proofs that impairment of assets has a influence on short term returns of public companies. In the next days (until fifth day after announcement) of event window results do not show correlations.

scholarly journals COVID-19 Impact on Nifty Banks: An Event Study Methodology

2020 ◽  
Vol 22 (1) ◽  
pp. 83-108
Author(s):  
Sabat Kumar Digal ◽  
Yashmin Khatun ◽  
Braja Sundar Seet
Keyword(s):  
Developing Economies ◽  
Abnormal Returns ◽  
Investor Confidence ◽  
First Case ◽  
Catalytic Role ◽  
Study Methodology ◽  
Adjusted Model ◽  
Model Market ◽  
Event Study Methodology

The financial sector, because of its catalytic role in the economy, has always been in the eye of the storm in economic difficulties. Due to the pandemic, the stock market had lost about 27 percent by April 2020 and bank nifty has had a lion’s share in pushing the index down to this level. Uncertainty arose as the containment of the disease and the availability of vaccines remain uncertain; this contributed to the plunge in investor confidence. Because of the central role of banks in the development initiatives of the governments, COVID-19 has become a significant threat to the sustainability of the banks globally, especially in developing economies. However, we believe every downfall brings in new opportunities for the investors. Therefore, the present study attempted to study both the gloom and boon and observed that there were short-term abnormal returns to the investors of nifty banks in two different periods - the detection of the first case of COVID-19 in India and the lockdown periods in India. The impacts of both the events are calculated by applying Market and Risk Adjusted model, Market Adjusted Return model and Mean Adjusted Return model. The paper concludes that the impacts were insignificant during the first period and was quite significant in the subsequent period. Nifty banks have earned negative abnormal returns during the pre-lockdown period and positive abnormal returns during post lockdown period which indicates that the markets reacted positively as India implemented the first lockdown.

scholarly journals Impact of Smoking Ban Fatwa on Indonesian Tobacco’s Company

2013 ◽  
Vol 2 (2) ◽  
pp. 76-86
Author(s):  
Gatot Soepriyanto ◽  
Paulina Santoso
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Tobacco Consumption ◽  
Share Price ◽  
Market Model ◽  
Smoking Ban ◽  
Muslim Population ◽  
Stock Market Return ◽  
Study Methodology ◽  
Event Study Methodology

The objective of this study is to assess the share price reactions to smoking ban fatwa on Indonesia tobacco’s company. We expect that the smoking ban fatwa in the world’s largest Muslim population will hit the tobaccos industry revenues, lower tobacco’s company profit and eventually affect the share price of those firms. We use event study methodology and standard market model to calculate abnormal returns of the tobacco’s firms related to the news of smoking ban fatwa. Our study failed to find a statistically significant effect of smoking ban fatwa on tobacco’s firm stock market return. It suggests that the investors do not see the fatwa as a factor that may control the tobacco consumption in Indonesia – thus it may not affect the tobacco’s firm revenues and profit in the future

scholarly journals The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE

2012 ◽  
Vol 15 (4) ◽  
pp. 429-439 ◽  
Author(s):  
Chimwemwe Chipeta ◽  
Olga Gladysek
Keyword(s):  
Global Financial Crisis ◽  
Abnormal Returns ◽  
Total Sample ◽  
Socially Responsible Investment ◽  
Socially Responsible ◽  
Event Window ◽  
Responsible Investment ◽  
Study Methodology ◽  
The Global Financial Crisis ◽  
The Impact

This paper examines whether Socially Responsible Investment (SRI) Index constituent announcements have any impact on the returns of firms listing on the JSE SRI Index. The event study methodology is utilised to estimate abnormal returns for the firms included in the Index. The results indicate insignificant average abnormal returns (AARs) for the years 2004, 2006, 2007, 2008 and 2009, suggesting no significant shareholder gains over the entire event window. However, the year 2005 is associated with positive and significant abnormal returns. Post announcement cumulative average abnormal returns (CAARs) are positive for the years 2005 and 2007. However, the year 2008 exhibited extreme swings in CAARs with a general declining trend in the latter part of the event window. These swings are attributed to the global financial crisis of 2008. Furthermore, the cumulative returns for the total sample show no clear outperformance of the SRI over the JSE All Share Index.

EFFECT OF BONUS ISSUE ON STOCK PRICES OF COMPANIES QUOTED AT THE NAIROBI SECURITIES EXCHANGE

2017 ◽  
Vol 2 (1) ◽  
pp. 1
Author(s):  
Patrick Maina Gachuhi ◽  
Cyrus Iraya
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Market Model ◽  
Expected Returns ◽  
Policy Makers ◽  
Study Methodology ◽  
The Difference ◽  
Event Study Methodology

Purpose: The purpose of this study was to determine the effect of bonus issue on stock prices of companies quoted at the Nairobi securities exchangeMethodology: The study adopted an event study methodology since the study was concerned with the establishment of the information content of bonus issue announcement on share performance at the NSE. The population of this study was 61 companies listed in the NSE. A sample size of 10 listed companies was focused on as there were only 10 companies which had issued bonuses between 2009 and 2012. The study used secondary data to gather information. The collected secondary data was coded and entered into Statistical Package for Social Sciences (SPSS, Version 20) for analysisResults: The study findings revealed that there was a drastic incline from year 2009 to year 2010 followed by a slight decrease in abnormal returns in the following years, Abnormal returns present the difference between the actual returns and the expected returns over a certain period of time. Study findings from the market model indicated that the market return is a good predictor of stock returns.  ANOVA results indicated that abnormal returns after bonus issue were significantly higher than abnormal returns before bonus issue. ANOVA results also indicated that actual stock returns were significantly higher after bonus issue than before the bonus issuePolicy recommendation: The study recommends the NSE to establish and enhance policies for investing so as to attract and encourage large institutional and foreign investors to participate at the NSE. The study also recommends that policy makers and regulators at the NSE are encouraged to encourage more research on the NSE form of efficiency; this will provide a forum for investors to get the information on the form of efficiency of the market and boost their confidence when investing at the NSE

scholarly journals Does leverage level matter for return anomaly during rights issue announcements? The case of Islamic countries

2021 ◽  
Vol 28 (2) ◽  
pp. 141-155
Author(s):  
Murat Isiker ◽  
Oktay Tas
Keyword(s):  
Abnormal Returns ◽  
Content Type ◽  
Share Prices ◽  
Debt Level ◽  
Islamic Countries ◽  
Study Methodology ◽  
Rights Issue ◽  
Return Anomaly ◽  
One Way Anova ◽  
Event Study Methodology

PurposeThis paper aims to measure investors' perception of the rights issue announcement of publicly listed companies in five stock markets of Islamic countries. Then, these firms are grouped according to their debt level to examine whether abnormal returns are different from those that are highly leveraged. Moreover, Sharīʿah compatibility of firms is checked to understand if return anomaly shows different behaviour around rights issue announcement days.Design/methodology/approachThe analysis period includes the years 2010–2019, which includes 362 rights issue announcements. The event study methodology is applied to measure the level of impact that is triggered by the rights issue announcements. Hereafter, one-way ANOVA test is performed to identify whether there exists a difference among the sample groups according to their debt level.FindingsFindings suggest that rights issue announcements cause −3.90% fall in share prices on average for the whole sample. However, negative abnormal return is found significant only in Egypt and Turkey. Individual regression analysis results suggest that an increase in debt level worsens the return anomaly only in Egypt. This refers that the rights issue announcement is perceived as less favourable for highly leveraged companies compared to others in this country. Finally, Sharīʿah-compliant companies show better performance compared to non-compliant counterparts around the event dates.Originality/valueThis paper is novel in evaluating market reaction during rights issue announcements in multiple Islamic countries. Also, to the best of the authors’ knowledge, this study is the first attempt to compare return behaviour of Sharīʿah-compliant and non-compliant firms around the rights issue announcements.

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