EconPapers    
Economics at your fingertips  
 

The Announcement Effect of Cash Dividend Changes on Share Prices: Evidence from Dhaka Stock Exchange

Naheed Rabbani ()
Additional contact information
Naheed Rabbani: Graduate School of Economics, Nagoya University, Furo-Cho, Chikusa Nagoya 4648601, Japan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2017, vol. 20, issue 04, 1-19

Abstract: This paper investigates the announcement effect of cash dividend changes on share prices listed on the Dhaka Stock Exchange (DSE). Standard event study methodology is used to investigate the effect of an event window of −3 to +3 days relative to dividend announcement date. Cumulative abnormal returns (CAR) have also been measured for a 41-day window around announcement date. This study finds that shareholders earn only normal return on the announcement of dividend increases and no changes. However, a significant positive abnormal return (AR) is observed in the preannouncement period for a dividend increase which indicates some kind of information leakage before the announcement is actually made. The announcement of dividend decrease results in a significant negative AR on the announcement day and persists even 20 days after the announcement. Significant ARs following dividend decrease announcement reveal DSE is not a semi-strong form of efficient market.

Keywords: Cash dividend; announcement effect; abnormal returns; information signaling (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091517500254
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:wsi:rpbfmp:v:20:y:2017:i:04:n:s0219091517500254

Ordering information: This journal article can be ordered from

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Series data maintained by Tai Tone Lim ().

 
Page updated 2017-12-23
Handle: RePEc:wsi:rpbfmp:v:20:y:2017:i:04:n:s0219091517500254