文章基本信息

标题：Stock Market Reaction to Cash Dividend Announcement: Evidence from Palestine
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作者：Azzam ; Fadi Hassan Shehadeh ; Mohammad Nawaf Jallad 等
期刊名称：Research Journal of Finance and Accounting
印刷版ISSN：2222-1697
出版年度：2016
卷号：7
期号：16
页码：187-192
语种：English
出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：In this study, we used the event study methodology to examine if cash dividend announcements affect the stock prices of companies listed on the Palestine Exchange. We studied 62 events announced from 1/1/2006 to 31/12/2015. Appropriate statistical tests were used to examine if the cumulative abnormal return is statistically significant around the announcement day, namely, 10 days before and 10 days after the event day. Results reveal that statistically significant differences exist between cumulative abnormal returns and zero. Thus, investors could realize abnormal returns during the event window for the study period. The findings also indicate that a statistically significant negative relationship exists between dividend announcements and abnormal returns starting from the day of dividend announcement. We conclude that the market reacts negatively to cash dividends after disclosure.
其他摘要：In this study, we used the event study methodology to examine if cash dividend announcements affect the stock prices of companies listed on the Palestine Exchange. We studied 62 events announced from 1/1/2006 to 31/12/2015. Appropriate statistical tests were used to examine if the cumulative abnormal return is statistically significant around the announcement day, namely, 10 days before and 10 days after the event day. Results reveal that statistically significant differences exist between cumulative abnormal returns and zero. Thus, investors could realize abnormal returns during the event window for the study period. The findings also indicate that a statistically significant negative relationship exists between dividend announcements and abnormal returns starting from the day of dividend announcement. We conclude that the market reacts negatively to cash dividends after disclosure. Keywords: event study, abnormal return, cash dividend, Palestine Exchange, stock market reaction
关键词：event study; abnormal return; cash dividend; Palestine Exchange; stock market reaction