Announcement Effect of Cash Dividend Changes around Ex-Dividend Days: Evidence from Taiwan

Jack J.W. Yang and Tsung-Hsin Wu

The International Journal of Business and Finance Research, 2015, vol. 9, issue 2, 77-91

Abstract: Dividend policy has been a puzzle in corporate finance for many decades. So far, the dividend policy continues to be a puzzle in the strategic firm development process. This paper studied the effect of exdividend date for cash-dividend policy in the Taiwan Stock Exchange (TWSE) from 2001 to 2012. We try to demonstrate the existence of abnormal returns by examining stock trading situations before and after the ex-dividend date. We discovered the cumulative abnormal returns ratio reached 2.07% during the 10 days before and after the ex-dividend date. This paper further analyzes whether firms adopting cash-dividend changes have different abnormal returns on stock price performance depending on different variables. We discovered the average abnormal return ratio of the group with a cash dividend increase was 1.96%. The average abnormal return ratio of the group with a cash dividend decrease was 0.48%. Moreover, we analyze whether different industries impact cumulative abnormal return ratios. Finally, we discuss whether the cumulative abnormal return ratios were different before and after financial crisis.

Keywords: Cash Dividend; Abnormal Returns; Event Study (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:9:y:2015:i:2:p:77-91

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