Implications of Dividend Announcements for the Stock Prices and Trading Volumes of DAX Companies (in English)

Henryk Gurgul, Paweł Majdosz and Roland Mestel ()

Czech Journal of Economics and Finance (Finance a uver), 2006, vol. 56, issue 1-2, 58-68

Abstract: This paper deals with market reactions to dividend announcements on the German stock market. Our study is based on a model of expected dividends with regard to the reluctance-to-change-dividends hypothesis. State-of-the-art models are used to detect price and volume reactions to dividend news. Empirical results provide evidence that announced dividend changes convey new information to the market. On average, stock prices move in the same direction as dividends. One can observe an increase in stock-return volatility in anticipation of expected news. For the entire sample, we find that trading volumes exhibit significant increases around dividend announcement dates. This supports the hypothesis that dividend change in either direction causes an increase in investors’ propensity to revise their portfolios.

Keywords: abnormal stock returns; dividend announcements; GARCH modeling; trading volume (search for similar items in EconPapers)
JEL-codes: G14 G35 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:56:y:2006:i:1-2:p:58-68

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