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The Analysis of Dividend Announcement Impact on Stock Prices of Baltic Companies

Renata Legenzova, Otilija Jurakovaite and Agne Galinskaite

Central European Business Review, 2017, vol. 2017, issue 1, 61-75

Abstract: The paper is aimed to analyze and evaluate the dividend announcement impact on stock prices of companies listed on the NASDAQ OMX Baltic market during 2010-2015. The analysis was performed using the market model event study analysis and calculating AARs based on 3 strategies, which assume that investors buy shares 30 days prior to the dividend announcement and sell them either 1, 3 or 7 days after the dividend announcement. During the research period, dividends were paid by 40 out of 72 companies listed on the NASDAQ OMX Baltic. A total of 168 dividend announcements have been made and analyzed in this paper. The results of the research revealed that within the analyzed event windows, positive AARs exist; however, they are not statistically significant. Positive AARs obtained 3 or 7 days after the dividend announcement imply that stock prices do not drop shortly after the dividend announcement, which would indicate weak NASDAQ OMX Baltic market efficiency.

Keywords: stock prices; dividend announcements; market efficiency; Baltic States (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2017
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