Dividend announcement and the value of sentiment analysis

Susana Álvarez-Díez, J. Samuel Baixauli-Soler, Anna Kondratenko and Gabriel Lozano-Reina

Journal of Management Analytics, 2024, vol. 11, issue 2, 161-181

Abstract: Payout policy constitutes one of the most important corporate financial decisions since dividends are essential factors in determining a firm’s value. A dividend announcement generates a market signal which translates into changes in stock returns, impacting short-term price fluctuations and producing abnormal returns. The sample consists of 394 companies listed on the S&P500 index, from which 1574 dividend announcements and 7222 news items are derived during the years 2022–2023. News pieces are obtained from 58 specialized sources, and ChatGPT is used to automate the sentiment extracted from them. Using sentiment analysis, this paper shows the key role played by sentiments derived from financial news posted just after dividend announcements in predicting market reaction and helping investors to select optimal investment strategies. This paper contributes to the current literature, highlighting the influence that sentiments have on determining stock market returns.

Date: 2024
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/23270012.2024.2306929 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:tjmaxx:v:11:y:2024:i:2:p:161-181

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tjma20

DOI: 10.1080/23270012.2024.2306929

Access Statistics for this article

Journal of Management Analytics is currently edited by Li Xu

More articles in Journal of Management Analytics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().