SIGNALING EFFECT OF DIVIDEND DECISION ON THE …shodhganga.inflibnet.ac.in/bitstream/10603/42766/1...thesis has not been submitted earlier for the award of any degree of diploma in

SIGNALING EFFECT OF DIVIDEND DECISION ON THE

MARKET PRICE OF SELECT LISTED COMPANIES

THESIS

SUBMITTED TO THE

UNIVERSITY OF LUCKNOW

FOR THE AWARD OF THE DEGREE OF

DOCTOR OF PHILOSOPHY

IN

BUSINESS ADMINISTRATION

SUBMITTED BY:

VIJAY SHANKAR PANDEY

Under the Supervision of

Prof. J. K. SHARMA

DEPARTMENT OF BUSINESS ADMINISTRATION


LUCKNOW

2015

i

DEPARTMENT OF BUSINESS ADMINISTRATION


Declaration

I declare that this thesis titled “Signaling Effect of Dividend Decision on the

Market Price of Select listed Companies” is my genuine and original work.

It is being submitted in fulfilment for the award of Doctor of Philosophy in

Business Administration, University of Lucknow. It is further declared that this

thesis has not been submitted earlier for the award of any degree of diploma in

this or any other university or any other institute. All the sources referred to in

this dissertation have been duly cited. However, in pursuance of this research,

two papers namely “Dividend Signalling And Market Efficiency In Emerging

Economy: A Study of Indian Stock Market” published in International Journal

of Finance & Accounting Studies ISSN 2203-4706 and “Effect of Dividend

Initiation and Omission on Share Prices in Indian Stock Market” presented and

published in Advances in Economics and Business management (AEBM) print

ISSN:2394-1545; Online ISSN: 2394-1553 are associated with the topic of this

Ph.D. thesis.

Vijay Shankar Pandey

Research Scholar

Dated: Feb, 2015

Lucknow

Countersigned

This is to certify that the above declaration by the candidate is true to the best

of my knowledge.

Prof. J. K. Sharma

Dated: (Supervisor)

Lucknow

ii

Certificate

This is to certify that thesis entitled “Signaling Effect of Dividend Decision

on the Market Price of Select listed Companies” being submitted by Vijay

Shankar Pandey for the award of degree of Doctor of Philosophy is a record of

bonafide research carried out by him. He has worked under my guidance and

supervision for submission of this thesis, which to my knowledge has reached

the requisite standard. To the best of my knowledge, this thesis or any part

thereof has not been submitted to any other university or Institution for the

award of any degree.

Date

Place: Lucknow Prof. (Dr.) J. K. Sharma

Department of Business Administration

University of Lucknow, Lucknow

iii

Acknowledgement

This work is the outcome of constant thoughts and discussions with my

research supervisor Professor J. K Sharma Sir, who evoked positivity and

inspired me to work in the right direction to complete this work. It is privilege

for me to be a student supervised by him. I am highly obliged and thankful for

his contribution of time, ideas and dedication, to make my Ph. D experience

stimulating and productive. The joy and enthusiasm endeavoured in me by his

working style, made the long association with him a short journey. I am always

indebted not only for his supervision of thesis work but also for taking care of

me as his own son.

I am also grateful to Professor Poonam Sharma Ma’am, (Mathematics

Department, University of Lucknow, Lucknow) who is a constant inspirational

source for me by her dedication, humbleness, nurturing behaviour and

continuous guidance to me. Her careful act towards me is not anything less

than that of my own mother.

This study would not have taken its present form without the support of

teachers in the Faculty of Commerce particularly the teachers of the

Department of Business Administration. I am very gratitude to Prof. Arvind

Kumar (Dean, Faculty of Commerce), Mr. Sanjay Medhavi (Head, Department

of Business Administration) Dr. Ritu Narang, Dr. Ajay Prakash, Mr. Rajeev

Saxena, Dr. S. K. Kaushal, Dr. Mohd. Aneesh Dr. Nishant Kumar and Dr. Anu

Kohli for their support and guidance to complete this thesis. I also grateful to

all the staff members of the Faculty of Commerce especially staff members of

Department of Business Administration for their support in completing this

work.

I am highly obliged to all the library and computer laboratory staff of IIM

Lucknow, for their support in the collection of data through CMIE data base

Prowess and literature. I am also very thankful to all my cliques, seniors and

juniors who supported me to complete this work.

I am also expressing a very humble gratitude to my late grandparents, parents,

brothers and sisters and all my relatives for their continuous inspiration and

encouragement in the direction of completing this thesis.I show my gratitude to

all other peoples who I could not mentioned personally for helping me directly

or indirectly in the completion of this thesis work.

Last but not the least I bow my head to the ALL MIGHTY who has shown

me the path, built patience in me and encouraged me when I was nervous in

the my journey to reach this place.

Vijay Shankar Pandey

iv

CONTENTS

Chapter

No.

Particulars Page

No.

1 INTRODUCTION 1-6

1.1 Introduction and Genesis of the Research Idea 1

1.2 Aim and Objectives 2

1.3 Research Methodology 2

1.3.1 Procedure for Sample Selection 2

1.3.2 Categorization of Events 3

1.3.3 Hypothesis 4

1.3.4 Data Collection 4

1.3.5 Analytical tools For Event Study : GARCH Model 5

1.4 Organization of the Study 5

2 LITERATURE REVIEW 7-44

2.1 Introduction 7

2.2 Dividend Signaling Theories 9

2.2.1

Bhattacharya’s View on Dividend Signaling

(1979)

10

2.2.2

Miller and Rock’s View on Dividend Signaling

(1985)

11

2.2.2 John and William’s View on Dividend Signaling

(1985)

12

2.3 Recent Researches on Informational Content of

Dividend Decision

13

2.3.1 Information Asymmetry and Dividend Policy 14

2.3.2 Dividend Announcement and Future earnings 16

2.3.3 Dividend Announcement and Share Price 19

2.3.4 Dividend and Stock Price in Emerging Markets 28

2.4 Conclusion 43

3 RESEARCH METHDOLOGY 45-68

3.1 Aims and Objective of Research 45

3.2 Sample Selection 46

3.2.1 Events Selection 53

3.2.1.1 Event Window Selection 54

3.3 Formulation of Hypothesis 65

3.3.1 Event : Dividend Decision along with declaration

of financial results

65

3.3.2 Event : Standalone dividend alone announcement 65

3.3.3 Event : Dividend initiation 65

3.3.4 Event : Dividend Omission 65

v

3.4 Data Collection 66

3.5 Analytical tools For Event Study: GARCH Model 66

3.5.1 Hypothesis Testing Tools 68

4 EVENT STUDY ANALYSIS OF

DIVIDEND DECISIONS

69-136

4.1 Event Dividend Increase/Decrease announcements

along with financial Results

70

4.1.1 Event: Dividend Increase/Decrease Announcement

of 10 per cent along with Financial Results

70



75



80



85

4.1.5

Event: Dividend Increase/Decrease Announcement

of 50 per cent or more along with Financial

Results

91

4.2 Event: Dividend Increase/Decrease announcement 96

4.2.1 Event: Dividend Increase/Decrease announcement

of 10 per cent

96


of 15 per cent

99


of 20 per cent

102


of 25 per cent

106


of 50 per cent or more

110

4.3 Event: Dividend Initiation/Omission

Announcement

114

4.4 Analysis of 10-day Mean CAAR values for

dividend related events

119

4.4.1

10-Days Mean CAAR Values for Event Dividend

Increase / Decrease of 10 per cent along with

Financial Results

119

4.4.2



Financial Results

121

4.4.3



Financial Results

123

4.4.4 10-Days Mean CAAR Values for Event Dividend 125

vi

Increase / Decrease


4.4.5

10- Days Mean CAAR Values for Event Dividend

Increase / Decrease of 50 per cent or more along

with Financial Results

127

4.5 Analysis of 10-day Mean CAAR for dividend

increase /decrease

129

4.5.1 10-Days Mean CAAR Values for Event Dividend

Increase / Decrease of 10 per cent

129



129



131



131


Increase / Decrease of 50 per cent or more

133

4.6 10-Days Mean CAAR Values for Event Dividend

Initiation/Omission Announcement

134

5 FINDINGS AND DISCUSSIONS 137-150

5.1 Findings 137

5.1.1

Event dividend Increase/decrease along with

announcement of

financial results

137

5.1.1.1 Dividend increase event along with announcement


140

5.1.1.2 Dividend decrease event along with announcement


142

5.1.2 Event Dividend Increase/Decrease announcement 144

5.1.2.1 Event Dividend Increase Announcement 147

5.1.2.1 Dividend Decrease Announcement Events 148

5.1.3 Event Dividend Initiation/Omission

Announcement

149

6

CONCLUSIONS, POLICY

IMPLICATIONS AND FUTURE

RESEARCH DIRECTIONS

151-163

6.1 Conclusions 151

6.1.1 Signaling effect 153

6.1.2

Pronounced period of CAAR reflecting

inefficiency in the Indian

Stock market

155

6.1.3 Empirical support to findings from other studies 157

6.1.4 Level of Corporate Governance and market 158

vii

efficiency in

emerging economies

6.2 Policy implications 160

6.2.1 Implications for corporates 160

6.2.2 Regulatory Bodies 161

6.2.3 Investors 162

6.3 Limitations and directions for future research 162

REFERENCES 164-176

APPENDICES 177-292

viii

LIST OF TABLES

Sr.

No.

Table

No. Title of the Table

Page

No.

1 2.1 Summarization of Literature Review: 33

2 3.1 Existing Stock Exchanges in India 47

3 3.2 Summarizes stepwise sample selection procedure

of companies

48

4 3.3 Category wise- break-up of Selected Companies

based on respective market capitalization 50

5 3.4

Industry wise Classification of the selected

companies and proportionate representation of

industry to overall selected companies

51

6 3.5 Total Events in the Period of 1 April 2001 to 31

March 2011 and the final event selected for the

study;

56

7 3.6 Shows the number of different types of dividend

related events for the selected 103 companies. 62

8 3.7 Number of isolated dividend events in the window

period of 61 days.

62

9 3.8 Capitalization based percentage changes in

dividends 64

10 3.9 Summarization of Proposed Hypotheses 65

11 4.1 Details of dividend events analysed 69

12 4.2 Test of hypotheses at 5 % level of significance for

10% dividend change announcement along with

financial results

72

13 4.3

Positive and Pronounced periods of significant

CAAR values at 5% level of significance during

sixty- one day event period for the event 10 per

cent change in dividend along with financial

results

73

14 4.4 Test of hypotheses at 5 % significance level for


financial results

77

15 4.5 Pronounced periods of significant CAAR values at

5% level of significance during sixty- one day 79

ix

event period for the event 15 per cent change in

dividend along with financial results.



financial results

82

17 4.7

Pronounced periods of significant CAAR values at

5% level of significance during sixty- one day


dividend along with financial results

84



financial results

87

19 4.8





89



financial results:

92

21 4.11





94


10% dividend change announcement 97

23 4.13




dividend

98


15% dividend alone change announcement: 100

25 4.15


5% level of significant during sixty- one day event

period for the event 15 per cent change in

dividend alone

101


20% dividend alone change announcement: 103

27 4.17




dividend alone

105

x


25% dividend alone change announcement 107

29 4.19




dividend alone

109


50% dividend change announcement 111

31 4.21




dividend

113


event dividend initiation/omission announcement

116

33 4.23



event period for the event dividend initiation/

omission

117

34 5.1

The analysis of different rates of dividend

changes made simultaneously with declaration of

financial results by large –cap, mid-cap and

small cap companies respectively in the sample

based on daily ARR and CAAR movements as

well as 10- day mean CAAR trends

138

35 5.2

The analysis of different rates of dividend

changes made by large –cap, mid-cap and small

cap companies in the sample based on daily ARR

and CAAR movements as well as 10 day mean

CAAR trends

145

36 5.3

The analysis of different rates of initiation and

omission made by large –cap, mid-cap and small

cap companies in the sample based on daily ARR

and CAAR movements as well as 10 day mean

CAAR trends

149

xi

LIST OF FIGURES

Sr.

No.

Figure

No. Title of the Figure

Page

No.

1 3.1 Event Window and Duration of Event

55

2 3.2 Number of Different type of Dividend Related

Events: 63

3 3.3 Number of Isolated Dividend Events in the

Window Period of 61 Days 63

4 Panel

4.1

Figure of calculated AAR and CAAR values for

the event dividend increase/decrease

announcement of 10 per cent along with financial

results.

71

5 Panel

4.2




results

76

6 Panel

4.3




results.

81

7 Panel

4.4




results

86

8 Panel

4.5




results

91

9 Panel

4.6



announcement of 10 per cent.

96

10 Panel

4.7



announcement of 15 per cent alone

99

xii

11 Panel

4.8




103

12 Panel

4.9




106

13 Panel

4.10



announcement of 50 per cent or more

111

14 Panel

4.11


the events dividend Initiation and Omission

announcement

115

15 Panel

4.12

Figure of calculated 10 days mean CAAR values

for the event dividend increase/decrease


120

16 Panel

4.13




results.

122

17 Panel

4.14




results.

124

18 Panel

4.15




results.

126

19 Panel

4.16

Figure of calculated 10-days mean CAAR values


announcement of 50 per cent or more along with

financial results.

128

20 Panel

4.17



announcement of 10 per cent alone.

129

21 Panel

4.18

Figure of calculated 10-days mean CAAR for the

event dividend increase/decrease announcement

of 15 per cent.

130

xiii

22 Panel

4.19



announcement of 20 per cent

131

23 Panel

4.20




132

24 Panel

4.21



announcement of 50 per cent or more.

134

25 Panel

4.22


for the events dividend Initiation and Omission

announcement

136

xiv

LIST OF APPENDICES

Sr.

No.

Appendix

No. Title of the Appendices

Page

No.

1 3.1 The category wise break-up into Large Cap,

Mid cap and small cap of these 627

companies

177

2 3.2 Lists of the break –up of the 103 selected

companies into respective market cap

category along with Industry representation

197

3 3.3 Category wise changes in dividends for all the

selected companies in Large cap 202


selected companies in Mid cap 204


selected companies in Small cap 206

6 4.1

Calculated AAR and CAAR values for the

event dividend increase/decrease

announcement of 10 per cent along with

financial results

209

7 4.2




financial results

215

8 4.3




financial results

221

9 4.4




financial results

227

10 4.5




financial results

233

11 4.6 Calculated AAR and CAAR values for the



240


event dividend increase/decrease 243

xv





247




251



announcement of 50 per cent or more

255


events dividend Initiation and Omission

announcement

161

17 4.12 A, B,

C

10-Days Mean CAAR Values for Event

Dividend Increase / Decrease along with

Financial Results for Large cap, Mid cap and

Small cap companies

267

18 4.13 A, B,

C

10-Days Mean CAAR Values for Event

Dividend Increase / Decrease for Large cap,

Mid cap and Small cap companies

275

19 4.14 10-Days Mean CAAR Values for Event

Dividend Initiation / Omission for Large cap,

Mid cap and Small cap companies

282

20 6.1 Major scams in Indian Capital/Stock Market 284

21 6.2 Initiative towards Corporate Governance in

Indian 286

INTRODUCTION

1

CHAPTER 1

INTRODUCTION

1.1 Introduction and Genesis of The Research Idea

Corporate finance focuses on decisions aimed at maximization of shareholders

wealth. In the long term perspective, the decisions related to investment, financing

as well as dividends are expected to create value. One of the measures of value

being market capitalization is influenced by share price value attached by the

market. The performance, growth prospects, strategic direction and potential for

long term sustainable results affects the share prices. The returns to shareholders

simply depend upon capital appreciation in the holdings as well as dividends over

the period. The changes in market prices reflect the perceived changes in the value

of the shares of the company amidst changing environment and in response to

make-up of the company including relations with shareholders in terms of

dividends as well as additions to market value of shares as an outcome of

company’s quality of decisions.

The market reaction to changes in share prices is affected not only by company’s

performance and growth potential but also by the nature of market. Markets tend

to be driven by the informational content of events in the external environment as

well as information communicated by the company through its various decisions.

One of the such decisions is the dividend related decision which has been a subject

matter of interest for researchers all over the world as to its signalling effect.

Existence of differences in signalling effect of dividend related events in different

economies of the world characterised by respective nature and level of market

efficiency have been observed.

Indian stock market has evolved over a period of time to emerge as one of the

most prominent ones. India being a prominent emerging economy with a highest

INTRODUCTION

2

number of transactions amongst all the stock exchanges of the world (World

Federation of Exchanges, 2013) thus provides a good example to examine if

signalling theory holds and comment upon relative efficiency of the market.

1.2 Aim and Objectives

This research primarily aims to study the signalling effect of dividend decisions on

the market price of companies listed on stock market in India. Incidental to the

study it is necessary to understand whether the efficiency level of the Indian stock

market has any role in affecting the changes in share prices due to dividend related

events. The companies listed on the stock market are diverse in terms of the

industry, market capitalization and performance. They also exhibit different types

of dividend decisions viz. cash or stock and indirectly repurchase of shares. The

dividend change decisions can be grouped in to various event categories such as

dividend omission, initiation, increase or decrease. Accordingly, the following

objectives of the study have been formulated:

i) To identify and analyze the different types of dividend related

events and their signalling effect if any on the share price of listed

companies in India.

ii) To analyze whether the signalling effect is consistent for all the

events or it varies with market capitalization or industry

representation of the company.

iii) To test the market efficiency of the Indian Stock Market in relation

to dividend related announcements.

1.3 Research Methodology

1.3.1 Procedure for Sample Selection

There are twenty five stock exchanges operating in India. Out of these twenty one

operate at regional level and only four are working at national level. Only Bombay

INTRODUCTION

3

Stock Exchange (BSE), National Stock Exchange (NSE), Over the Counter Stock

Exchange (OTC) and Multiple Commodity Index (MCX) are operational at

national level. The MCX is trading in commodities and falls within the regulatory

purview of Forward Market Commission of India; while OTC is the market for

non-listed medium size companies, only BSE (Bombay Stock Exchange) and

NSE (National Stock Exchange) deal in majority of the companies listed on the

Indian Stock Market. Due to their size in terms of number of listings as well as

turnover, BSE and NSE have been considered as representative of. Indian Stock

Market for identification of companies and selection of events.

The selections of companies in the sample are based on non-probability purposive

sampling (Stepwise sampling). Time span of 10 year from financial year 2001-02

to financial year 2010-11 has been taken for the study.

The final selection of companies is based on the criteria of regular announcement

of dividend and active trading in the stated stock exchanges (e.g. BSE and NSE)

during the span of time taken for the study. Listed companies on NSE and BSE

exchanges were scanned for such companies which are common to both the

exchanges. Amongst the ones which were found to be common, those companies

which had at least ten dividend events including interim and final dividend over

the ten-year period from Financial year 2001-02 to 2010-11 were identified and

categorized into into Large Cap, Mid Cap and Small Cap companies based on

their respective market capitalization bases to constitute the sample for event

study analysis. The sample constitutes 103 companies and 872 events related to

them over a span of 10 year period from FY 2001 to FY 2011.

1.3.2 Categorization of Events

As the study focusses on signaling effect of dividend decisions in the Indian Stock

listed companies, the dividends related decisions have been categorized into

following broad groups:

1. Dividend alone

2. Dividend along with financial results

3. Dividend along with other events except financial results

INTRODUCTION

4

4. Dividend along with financial results and other events

In order to perform event study analysis it is necessary to exclude such cases

where other events are announced during the window period. The number of

isolated dividend related events falling in the window period of 61 days is arrived

to be 725 with break-up different types of isolated dividend events such as 152

dividend alone events, 522 dividend along with financial results, 16 dividend and

other events except of financial results and 29 of dividend along with financial

results and other events.

1.3.3 Hypothesis:

The following hypotheses have been formulated to study the effect of change

in dividend on the respective share prices of the selected companies:

i. H0: There is no relationship between dividend change announcement

(both increase or decrease) on the share prices of the Indian Stock

market listed companies when dividend announcement is made along

with declaration of financial results..

ii. H0: There is no relationship between standalone t dividend change

announcements on the share prices of the Indian Stock Market listed

companies.

iii. H0: There is no relationship between dividend initiation


companies.

iv. H0: There is no relationship between dividend omission


companies.

1.3.4 Data Collection:

This study used CMIE data base for the collection of data with the help of

software called PROWESS. As claimed by organization itself “Prowess is a

database of the financial performance of Indian companies. Annual Reports of

INTRODUCTION

5

individual companies are the principal source of this database. The database

covers listed and unlisted companies. For listed companies, the database includes

data sourced from the stock exchanges. Prowess contains time-series data from

1989-90 onwards. It is updated continuously. Therefore Prowess database has

been used for the collection of data for the period of 10 years from FY 2001-02 to

FY 2010-11. Data collected from Prowess 3.1 includes dividend rate, dividend

announcement date, closing prices of the selected companies for sampled

companies.

1.3.5 Analytical tools For Event Study : GARCH Model

To examine the impact of any dividend related event on share price, abnormal

returns have been calculated using GARCH (p, q) model as given by Bollerslev

(1987). The decision to apply GARCH (p, q) model for the estimation of abnormal

return over simple OLS model is based on resolution of concerns regarding

autocorrelation and heteroskadasticity in residuals as advocated by Serra (May

2002) and Pynnonen (2005).

1.4 ORGANISATION OF THE STUDY

The study has been organised in six chapters.

i) Chapter I is Introductory and summarizes the approach related to signaling

theory.

ii) Comprehensive Literature review related to dividend signaling has been

carried out in Chapter II. As there have been large number of studies all

over the world pertaining to different markets and having divergent views

on signaling, detailed review of dividend theories to understand the

theoretical framework and evolving thoughts related to signaling have

been studied. Empirical studies on dividend and information asymmetry,

relationship between dividend announcement and future earnings and share

INTRODUCTION

6

prices and dividend related studies particularly pertaining to emerging

market economies have been reviewed. .

iii) Chapter III is devoted to Research Methodology adopted by the researcher

in terms of aims and objective of research, sample selection, events

selection, selection of event window, formulation of hypothesis, procedure

of data collection, analytical tools for empirical study: Garch Model and

hypothesis testing tools.

iv) The analysis of testing of hypotheses appears in Chapter IV. Share price

reaction to changes in dividends have been analyzed for +/-10%, +/-15%,

+/-20%, +/-25% and +/-50% changes both when made along with

announcement of financial results or in isolation. These have been done for

large cap, mid cap as well as small cap companies separately. In addition,

events of dividend initiation as well omission have also been analyzed for

the three categories of companies.

Apart from testing for signalling effect, pronounced period of CAAR in

share price movement have been examined to comment on the nature of

Indian Stock market in terms of its efficiency.

v) Findings and discussion have been presented in Chapter V to draw

inferences about the signaling effect for the respective categories of events

on share price movement as well as the relative efficiency of the stock

market.

vi) Chapter VI is devoted to the conclusions and policy implications for

company management, board, regulators as well as investors.

LITERATURE REVIEW

7

CHAPTER 2

LITERATURE REVIEW

2.1 Introduction

The dividend decision is one of the three basic decisions, which a financial

manager is required to take, the other two being the investment and financing

decisions. The dividend decision is recommended by the Board of Directors at the

annual general meeting. The Board of Directors is faced with the challenge of

reconciling the need for financing future growth, maintaining adequate liquidity,

satisfying the expectations of shareholders. Accordingly the decisions on extent of

retention of profits, cash or stock dividend, repurchase of shares from market and

the amount as well as timing of dividend are required to be made. Therefore in

arriving at an appropriate dividend policy, managers not only look at the current

year’s profit but also at expected future earnings and the ability of the company to

maintain a stable rate of dividend, taking into consideration the systematic growth.

The amount of dividend is therefore dependent upon the percentage of profits any

company would like to part for distribution to shareholders which in turn is

governed by several considerations. Laws in all countries prohibit distribution of

dividend out of capital as part of meeting the conditions of maintaining minimum

legal capital. The distribution of profits as dividend is also subject to various

statutory requirement’s to transfer some of the profits as reserves. Similarly, bond

indentures or contracts also often prevent companies from increasing the

proportion of cash dividend beyond a certain level in order to secure the rights of

bondholders (Black and Cox, 1976).

Based on above-mentioned accounts, dividend policy has drawn attention of

several researchers from time to time. There are several schools of thought in the

LITERATURE REVIEW

8

area. Miller and Modigliani’s (1961), asserted that dividend policy is not

important because it has no effect on the value of the firm and thus does not affect

a firm owner’s wealth. This school assumes that companies follow a residual

dividend Policy which is based on reinvestment of profits to avail investment

opportunities with a positive net present value (Saxena 1999, Baker 2009, Chen

and Dhiensiri 2009) and after that the firms distribute the surplus as a cash

dividend to the shareholders. Partington (1985) claimed that in real practice

companies do not follow the residual dividend policy as dividend decisions are

taken independently from the investment policy.

Bhattacharya (1979), John and Williams (1985) and Miller and Rock (1985) have

gone through all the dividend related school of thoughts and found a gap in

practicing of dividend related policies and its impact on the shareholders. This gap

they attribute to asymmetric information and the resulting impact on the shares

prices and ultimately on the wealth of shareholders. Thus there seems to be

consensus that dividend provide financial signal. The signaling effect of dividend

decision depends on many factors of which prominently one is the level of

perfection of the market. As markets in different countries are at varying levels of

perfection and efficiency, the effect of dividend decision accordingly must be

viewed in the context of the specific market. India being in transitory state of

financial market and is gradually evolving and getting integrated with global

markets, the study of signaling effect on dividend decisions thus assumes

importance considering the size of the equity market in India.

This chapter confines the review of literature to dividend signaling hypothesis,

which considered being as one of the most important aspects in dividend

decisions. Therefore, we have covered main aspects related to dividend policy,

which starts by brief introduction of the models related to dividend signaling and

the relevant empirical works done in this domain from time to time. The empirical

work we intent to develop in our thesis, is comprised of sub sections on signaling

effect of dividend decision since they directly relate to the purpose of our study.

LITERATURE REVIEW

9

We conclude this part by inferences from the study of relevant literature related to

dividend decisions and signaling impact of dividend decision.

2.2. Dividend Signaling Theories:

Miller and Modigliani (1961) hypothesized irrelevancy proposition based on the

assumptions of perfect market due to symmetric information available to all

interested groups. Based on this assumption everyone have symmetric ability to

understand and analyze the available information. Therefore, the investors have

the same outlook concern about the company as managers have. They also

assumed that investors and managers have the same information and expectations

about the company’s future growth. But in the imperfect world, available

information is asymmetrically distributed among groups (Dewenter and Warther,

1998), so the investors have different expectations and information about

company's future profits and risks as compared to managers. Managers have

better, accurate information and expectations than external investors regarding the

company’s profits and performance. Managers use the change in the dividends

rate and amount as a way to deliver such information to investors to reduce the

information gap between managers and investors, thereby influencing the

company’s market value and shareholders’ wealth. Latter Miller and Modigliani

(1961) pointed out that to “informational content” of dividend decision. Investors

accordingly are likely to interpret a change in the dividend rate as a change in

management’s views of future prospects for the firm”. Ross, Westerfield and Jaffe

(1990) also contend that dividend policy can provide information to stockholders

concerning the firm’s performance. Thus, market could interpret a change in

dividend as an attempt on the part of company to convey information on a firm’s

future prospects to outsiders.

Bhattacharya (1979), John and Williams (1985) and Miller and Rock (1985)

developed the models based on the information asymmetry hypothesis and called

it signaling theory. They showed that, in a world of imperfection, insiders use

dividends as a costly signal to convey their firm’s future prospect to less informed

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10

outsiders. Thus, an increase in dividend signals prospects of better future

performance, while on the contrary a decrease suggests a worsening of its future

prospects. Bhattacharya’s (1979) views closely related to the Ross (1977) views.

Assuming that outsiders have asymmetric information about a firm’s profitability,

therefore dividend announcements is a better way of conveying information.

Miller and Rock (1985) also suggested that managers have more information than

shareholders about a firm’s current and future earnings and they transmit this

information through dividend announcement. They further argued that firms

whose shares react more to the information conveyed to the market, have a

stronger information asymmetry. John and Williams (1985) empirically observed

positive relationship between profitability and dividend yield is due to both

information effect and to taxes.

The signaling models of dividends constitute an important understanding the way

the dividend announcements convey information about firms to the market, while

empirical studies done in this domain allow us to analyze the impact of dividend

change announcements on share prices. Signaling models predict a positive

correlation between dividend change announcements and share price reactions

along with future earning changes.

2.2.1. Bhattacharya’s Views on Dividend signaling (1979):

Bhattacharya (1979) developed a model to explaining the motive of firms paying

the dividends to its shareholders. He developed a model, in which managers’ take

decisions in the interest of shareholders. The model assumes that at time zero,

managers adopt a specific dividend policy; at the end of the period, the firm

follows same dividend policy set at time zero to distribute dividend to

shareholders. If cash flows generated in the period are not enough to pay the

dividends, the firm should use outside financing, even with transaction costs, to

pay the dividend, which has been set in, time period zero. In his model he assumes

that firm’s dividends paying policy is not affected even when dividends are taxed

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11

at higher rate than capital gain tax and also when dividends and share repurchases

are perfect substitutes to each other. As dividends are taxed at higher rate than

capital gain and firms still pay dividend despite the tax disadvantage, this itself

explains that dividends function as signals. This was a significant step in dividend

policy research area and in the development of signaling models.

2.2.2. Miller and Rock’s View on Dividend Signaling (1985):

Miller and Rock (1985) analyzed the impact of dividend announcement and its

consequences under conditions of asymmetric information. Their two period

model is marginally different to Bhattacharya’s (1979) model. They base their

work on the premise that a firm in time zero makes investment in a project and

generates cash flow, which is used to pay dividends and to reinvest in new

potential projects. They assume that managers (insiders) have some specific

private information about firms’ future prospects, which is not known to outsiders.

This information gap affects the perception that each of the parties has about the

firm’s value and future prospects due to the fact that while evaluating the firm’s

current as well as future potential, managers not only consider the dividend

announcements, but also other non-disclosed earnings. This is based on the

rationale that market behaves rationally and evaluates the company in the same

manner as it is done by managers.

According to Miller and Rock’s (1985) dividend declaration is considered as a

signal of good news but not bad. The good performing firms have good news to

convey to the market while for non-performers giving false signal to the market

may prove to be costly, as it does not justify earnings potential. Introducing the

asymmetry of information hypothesis in their model, they showed that the impact

of dividend announcement on share prices depends upon unanticipated operational

cash flow changes. This information conveyed through unanticipated dividend

changes will be similar to unexpected earnings changes. Firms anticipating higher

potential to generate higher cash flow would therefore contemplate higher

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12

dividends payout ratios. Firms would not like to reduce investment to maintain

same dividend amount. They concluded that in asymmetric information context a

signaling equilibrium is a position, where dividends convey information about

future prospects.

2.2.3. John and William’s View on Dividend Signaling (1985)

John and Williams (1985) developed a model that identifies the personal taxation

and its impact on dividend. While Miller and Rock (1985) discuss earnings effect

on dividend, John and Williams developed their model with the help of an

equilibrium dividend-signaling model where taxable dividends and share

repurchases are not related, unlike their predecessors Bhattacharya (1979), Miller,

and Rock (1985), who considered same as being perfect substitutes. The

assumptions by John and Williams (1985) include no tax except on dividend

income, uniform tax rate for all shareholders, no transaction costs on issue, trading

or retirement of shares. Besides, firm’s all sources and uses of funds are fully

observable by outsiders through costless public audits, management can issue

shares to meet cash requirements and that it has better information about firms’

future potential, expected cash flows and investment opportunities available than

investors (outsiders), who are exposed to asymmetric information. Their work is

based on Riley’s (1979) findings that firms which have better future prospects are

rewarded by market through premium on shares with higher dividends which

compensates for additional taxes paid by shareholders. They argue that if

dividends have a significant cost, only firms with good performances will be

compensated for incurring such costs. In equilibrium, managers (insiders) have

more valuable future cash inflows information, distribute larger amount as

dividends, and consequently are able to command higher market prices for

company’s shares.

The summary of above discussions is as under:

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Under signaling equilibrium model, firms expecting larger future cash

flows pay higher dividends, anticipating share prices to increase in

future;

The smooth dividends associated with optimal dividend policy require

operational cash flows to occur in such way that dividend changes have a

lagged relation with cash flow changes;

Firms which pay dividend have clientele effect and therefore need

liquidity to meet expectations of regular dividend; and

Higher dividends change are associated, ceteris paribus, with higher

changes in share prices while smaller dividends changes are associated

with smaller changes in share prices

However, these models support the smooth dividend hypothesis, proposed by

Lintner (1956), and others, like Fama and Babiak (1968). In summary, these

theoretical models suggest that dividend is potentially useful as signal for the

future earnings potential of the firm.

2.3 Recent Researches on Informational Content of Dividend decision:

Ever since Miller and Modigliani (1961) proposed informational content of

dividend, there have been many empirical studies in the direction. The empirical

studies under this sub section are broadly classified into two different views as

under:

i) Bhattacharya’s (1979) view that dividends could be used as a future

cash flows signal,

ii) View of Miller and Rock (1985), who consider that dividends could

provide information concerning earnings and future potential.

From theoretical perspective it is seen that in general, the market reacts positively

to dividend increase announcements and negatively to their decrease

announcements. This phenomenon has been analyzed by many researchers and

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14

academicians, such as Pettit (1972), Charest (1978), Aharony and Swary (1980),

Healy and Palepu (1988) and Michaely, Thaler and Womack (1995) Their

findings are consistent with the view that managers have more information than

external investors, and dividends provide information on future cash flows.

Before going to analyze signaling effect of dividend change announcement, we

present below the results of some empirical tests, organized in agreement with the

implications of the dividend information content referred to above.

2.3.1. Information Asymmetry and Dividend Policy

Security market information broadly relates to economy, industry structure and

company related information. The decision makers at the macro level policy

making are concerned with general trends in the economy such as budgetary

deficits, price level, demand and supply position of various inputs, money supply,

foreign exchange position, contribution of various sectors to the aggregate

economic indicators and sustainable growth rate. Information related to economy

therefore, is a necessary and important component of the investor’s decision-

making. Most of the investors and brokers interpret what is happening in the

market by looking at the market indices and announcement made by any

organization relevant to them. Information related to industry is necessary for the

understanding of the general trend of events in that industry. The investors

analysis of the state of the industry forms a base for performance evaluation of

individual firms. Information related to the management, raw material source,

products and market share performance record of the firms etc. enable the

potential investor to form opinion about the firm and its value (Nwezeaku and

Okpara, 2010). Based on this theoretical mindset various empirical studies have

been carried out. The conclusions of some relevant studies are discussed below:

Hasbrouck (1991) empirical analysis presented is motivated by theoretical models,

which suggested that the response of security prices to trading activities is a

consequence of asymmetric information. Commenting on the usefulness of

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15

theoretical model author argued that the principal difficulty in making this concept

operational is that the actual mechanism linking trades and quote responses is

complicated by deviations from the idealized theoretical constructs. By

considering the persistent impact of the innovation, he concentrated on the

information ultimately impounded in the price after transient liquidity effects have

died out. The following conclusions have been made by the author:

i. The full impact of a trade on the security price is not felt instantaneously

but with a protracted lag.

ii. As a function of trade, innovation, size, the ultimate impact of the

innovation on the quote is nonlinear, positive, and increasing, but concave.

iii. The order flow is affected by prior quote revisions: there is Granger-Sims

causality running from quote revisions to trades.

iv. Spread size exhibits a response to trading activity. Large trades in

particular are associated with a widening of the bid-ask spread. This

finding is consistent with a market-maker who infers from a large trade an

increased likelihood that an information event, has occurred.

v. Trades which occur in the face of a relatively wide spread have a larger

price impact than those which occur when the spreads are narrow.

vi. Across firms, the price impact and (by implication) the extent of the

information asymmetry appears more significant for firms with smaller

market values.

From the above mentioned point this can be inferred that the large trades lead to

large price impacts but also induce an increase in the spread consistent with a

perceived increase in the extent of the information asymmetry, implying that

subsequent trades will have larger price impacts.

Brioa, Miguel, and Perote (2002) analyzed both the profitability and the

information content of insider trading in Spanish stock markets. Their results

suggest that the strong form of the EMH does not hold, since insiders earn returns

that exceed risk-adjusted benchmarks. In fact, the picture emerging is a semi-

strong efficient market, where insiders are able to beat the market by using their

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16

private information on a firm’s prospects, while outsiders cannot earn abnormal

profits by using the publicly available information. Therefore, on their results they

recommend a regulatory change in Spanish laws so as to outlaw fraud in security

trading. Brio and Miguel (2010) have examined the new evidence on the multiple-

signal cash flow theory of dividends by testing it in a European Market. They also

incorporated analysis of decreases and increases in current dividends, rather than

focusing only on dividend initiations. From their findings, they concluded that the

results indicate the cash flow signaling theory alone seems insufficient in

explaining the information effects of dividend announcements. They inferred that

quite often insiders signal a firm’s future prospects by altering their ownership

stakes, rather than by disclosing changes in dividend payouts. The secondary

result, suggests that earnings information is not fully impounded in prices when

the dividend signal reaches the market. Okpara (2010) showed that in the long run

dividend policy is positively and significantly related to information asymmetry.

The study investigated the relationship between asymmetric information and

dividend policy in Nigeria. To carry out the research work, the researcher

employed the unit root test using the augmented Dickey Fuller test, the Johanson

cointegration test and then vector error correction model to ascertain the long-run

relationship between the variables. Granger causality test was also used. The

researcher found supportive evidence for the dividend signaling theory. Thus,

there is a positive and significant relationship between dividend policy and

asymmetric information.

2.3.2. Dividend Announcement and Future earnings:

Under this sub heading, the researcher has grouped the literature related to studies

on dividend changes followed by subsequent earnings changes, in the same

direction. Studies in this direction provide evidence that dividend changes convey

significant information about the future prospects of the firm i.e there is merit in

recognizing existence of dividend informational content.

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Makhija and Thompson (1986) suggest that dividends can serve to signal the

profitability of a cross section of firms, provided the least profitable and the most

profitable firm are properly characterized. Additionally, they have shown that the

relation between dividends and earnings is likely to be nonlinear. David, Diane,

Denis and Sarin (1994) arrived at results that seek to explain the positive

association between dividend change announcements and stock price reactions.

Their investigation is motivated by linking Tobin's Q and dividend yield. They

argue that the negative relation between Tobin's Q and dividend yield may lead to

a spurious correlation between Q and excess returns around dividend

announcements. This can lead to biased inferences regarding the relative

importance of the cash flow signaling, overinvestment, and dividend clientele

hypotheses. The authors went on to clarify that the cash flow signaling,

overinvestment, and dividend clientele effect are not mutually exclusive and

therefore justify to be integrated into a single testing framework. The conclusions

drawn point out implications of the cash flow signaling and dividend clientele

effect. Bernheim and Wantz (1995) observe that the dividend signaling

hypothesis implies that abnormal returns should be more sensitive to the

magnitude of announced dividend changes when observable factors (such as tax

rates, bond ratings, and capacity utilization) suggest that the marginal costs of

dividends are high. Their empirical investigation reveals that the interest generated

by dividend announcements rises with the decline in dividend tax rate, falls with

the rise in bond rating, and rises with increase capacity utilization. Daniels, Shain

and Lee (1997) showed how dividends “caused” permanent earnings for half the

sample, while the causality study from dividend to current earnings failed to detect

a causal relationship for more than eighty per cent of the sample. They attribute

the enhanced performance of analysis of the hypothesis at a firm level as a better

proxy of the future earnings. Benartzi, Michaely, and Thaler (1997) have adopted

a systematic attempt to discover whether the information content of a dividend

announcement has something to do with future earnings. Consistent with the early

findings of Watts (1973), they are unable to find any evidence to support the view

that changes in dividends have information content about future earnings changes.

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While there is a strong past and concurrent link between earnings and dividend

changes, the predictive value of changes in dividends seems minimal. They also

find some evidence that dividend-increasing firms are less likely to have

subsequent earnings decreases than firms that do not change their dividend despite

similar earnings growth. In this sense, changes in dividends do signal something

about the present provided that the current increase in earnings is permanent.

Brook, William Jr., and Hendershott (1998) are of the opinion that dividend

policy is used by managers to signal future cash flow increases. From their

samples they found that firms used dividend as signal to show their cash flow

increases. They also found that these firms also earn significantly positive

abnormal stock return. From these findings, they suggested that as higher cash

flow is realized, positive abnormal return continue. Dhillon, Raman, and Ramirez

(2003) have indicated that actual dividend increases (decreases) computed using

the naive dividend method do not necessarily reflect favourable (unfavourable)

information. It is dividend surprise that becomes relevant which conveys new

information to financial markets. In an informationally efficient market,

announcements of no dividend changes can be informative when analysts revise

their expectations. Using regression analysis, the authors were able to document a

significant positive relationship between dividend surprises and contemporaneous

as well as future earnings changes. Koch and Sun (2004) suggested that dividend

changes that confirm prior earnings news, have a positive statistical relation

between the market reaction around the announcement of the dividend change and

the prior earnings change. For dividend changes that contradict prior earnings

news, they found a negative statistical relation between the market reaction

surrounding the dividend change announcement and the prior earnings change.

Grullon, Michaely, Benartzi and Thaler (2005) found that dividend changes are

uncorrelated with future earnings changes when one controls for the well-known

nonlinearities in the earnings process. They also find that, regardless of the model

of earnings expectations, models that include dividend changes do not outperform

those that do not include dividend changes in out-of-sample tests. Some of their

results even suggest that investors may be better off not using dividend changes

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when they forecast earnings changes. Based on their work it may be concluded

that changes in dividends are not useful in predicting future changes in earnings.

By using several different estimation methods and various measures of

profitability, they found that the association between dividend changes and future

profitability is not consistent with the predictions of the signaling hypothesis.

They do not rule out that dividend increases signal something, but that something

is neither abnormal increases in future earnings nor abnormal increases in future

profitability. They attribute the motive for paying dividends, and the market

reaction to it, as lie elsewhere . Wann & Long (2009) established a strong

relationship between aggregate dividends and aggregate earnings, implying that

aggregation filters out firm-specific earnings information and signifies

macroeconomic trends. Using macroeconomic data provided, they showed that

changes in aggregate payout ratios, driven by positive liquidity shocks, do have

information content about aggregate future earnings growth for horizons up to 3

years. Fuller and Benjamin (2010) state that firms pay dividends to signal future

earnings or to disburse excess cash flows or both. They classified firms into three

observationally distinct groups using their prior performance, so that signaling

occurs only within each group and not across groups .They also found that firms

that have low or high prior performance display little heterogeneity in future

earnings, while firms with intermediate prior performance have high future and

past earnings heterogeneity and have the highest heterogeneity in current dividend

payments. Finally, firms with intermediate prior performance have the highest

abnormal stock price reaction to a dividend change. They contend that the non-

monotonic relationship between firm quality and dividend is the possible

explanation of the weakness of the empirical support for dividend signaling

hypothesis.

2.3.3. Dividend Announcement and Share Price:

There are a number of factors affecting the dividend policy decisions of a firm.

These factors include amongst others clientele effect, earnings, investment

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opportunities annual vs. target capital structure, flotation costs, signaling aspect,

dividend smoothening and Government policies such as legal constraint, taxation

and provision about insider trading etc. As in real world asymmetric information

exist among insiders and outsiders, signaling are one of the crucial factors used by

managers that influence the market. Dividends may have informational content

which is conveyed by managers about the firms, so it suggests the possibility of its

influence on the stock market and consequently on share prices. Paying large

dividends reduces risk, thus influence stock price (Gordon, (1963)) and is a proxy

for the future earnings (Baskin, 1989).

In general, the underlying hypothesis to be studied under this domain is that

unexpected dividend changes should be positively associated with share price

changes, providing evidence that financial markets interpret correctly dividend

changes. So many empirical tests carried out with the purpose of analyzing the

effect caused by dividend change announcements on share prices established a

positive relationship between dividend change announcements and change in

share prices. The empirical studies in this direction have been commented below:

Luab (1976) considerably support the signaling hypothesis that dividend

announcement conveys information about future earnings prospects that is not

inherent in the past time series of future earnings. Fama (1970) suggests that, the

theory of efficient markets is concerned with whether prices at any point in time

"fully reflect" available information. The theory only has empirical content,

however, within the context of a more specific model of market equilibrium.

Fama, Fisher, Jensen and Roll (1969) argued that stock splits have very often been

associated with substantial dividend increases. They argued that this evidence

indicate that the market realizes this and uses the announcement of a split to re-

evaluate the stream of expected income from the shares and led them to thus

conclude that the stock market is "efficient" in the sense that that stock prices

adjust very rapidly to new information. The findings of Shillers (1981) found a

very strong stock price volatility to the extent of five to thirteen times. The author

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observed that not only the unexpected dividend but also the unexpected real

interest rate affects the shares prices of the companies.

Asquith and Mullins, Jr. (1983) investigated the impact of dividends on

stockholders’ wealth by analyzing 168 US listed firms that either paid first

dividend in their corporate history or initiated dividend after a ten-year gap. The

results suggest a positive impact on the wealth of shareholders implying that

dividends convey unique and valuable information to investors.

Kane, Lee, and Marcus (1984) examined the US markets for corroborative

relationship between earnings and dividend announcements. The empirical results

suggest ‘the existence of a corroborative relationship between the two

announcements and more credence given by investors to unanticipated dividend

increases or decreases when earnings are also above or below expectations, and

vice versa’.

Stephens and Proffitt (1988) based on examination of payment of stable amount

per share, constant percentage of income per share and residual amount per share

polices reveal that market response to unanticipated dividend announcements is a

function of dividend policy.

Ariff and Finn (1989) through their study of the Singapore Equity Market suggest

that that for the "good news" announcement, that is earnings and dividends

increases and capitalization changes, prices react quickly, in that there are

essentially zero excess returns after the announcement. For the "bad news"

announcements, that is earnings and dividends decreases, there is some

appearance of slower price adjustment, perhaps extending for some months after

the announcements.

Wansley, Sirmans, Shilling and Lee (1991) examined the announcement effects of

changes in regular quarterly dividends and its impact through asymmetric

information models and concluded that dividend decreases are viewed by the

market as containing more information than dividend increases. Their findings

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also suggest that firms with more positive information to release to the market

appear to do so by making larger percentage changes to their dividend yield.

Akhigbe, Borde and Madura (1993) indicated that signal to the market can be

measured by the share price response to dividend changes. They found that share

price response for insurers that increased their dividends was positive and

significant.

Kao and Wu (1994) estimated the relation between unexpected changes in the

dividend and earnings for the companies from S & P 500 index. The results

support the contention that dividend changes reflect both expected and unexpected

permanent earnings changes. Further, the effectiveness of dividend signaling

depends on firm specific characteristics and it can be claimed that the information

content hypothesis have the signaling power that is positively taken by the market.

The results of Peterson and Salandro (1994) indicate that managers signal earnings

information via a noisy dividend announcement, which results in sub optimal

investment levels. For this suboptimal decision they argued that managers’

compensation depends upon the value of the firm so they use dividend as a signal

to promote the value of the firm.

Iqbal and Rahman (2002) on their study of data from Standard & Poor’s Research

Insight databases, indicate that a dividend cut may not be an effective signal of

poor future performance under all circumstances. When a dividend reduction

accompanies other operational actions, managers are less likely sending a signal

that poor performance is forthcoming.

Conroy, Eades, and Harris (2000) findings based on Japanse experience suggest

that earnings variables are more dominating in their ability to explain share price

movements. They found, that current dividend effects is never significantly related

to announcement returns and management forecast of next year’s dividend has a

small but significant effect on the stock price.

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Ryan, Besley and Lee (2000) found a very strong support for signaling hypothesis

in the explanation of dividend changes for NASDAQ firms. Results show a strong

support for the dividend-signaling hypothesis, and limited support for the free cash

flow argument.

Crawford and Franz (2001) analyzed the signaling effect due to stock distribution

and share split on the share price. Their empirical findings suggest that both the

anticipation and credibility of signaling effects are present in the sample of stock

distributions examined. A positive response of the market to the announcement of

a stock distribution is partly due to real cash flow benefits to investors from

returning the share price to its optimal trading range.

Gunasekarage and Power (2002) analyzed the market-adjusted excess returns for

three periods around the announcement and then examined the financial

performance in the year of the announcement and in the subsequent five-year

period. The findings of the study are inconclusive about the validity of the

dividend-signalling hypothesis.

By examining the event windows of 3-day, 21-day and 61-day to capture the

reactions of the markets over the period, Adelegan (2003) found negative excess

returns for the dividend paying samples for pre-announcement period and positive

excess return after the announcement date. Further, significant excess returns and

the cumulative excess returns for 30 days before and until 25 days after dividend

announcements for dividend paying firms were observed to conclude semi-strong

efficient nature of the Nigerian stock market. Due to the drift in prices until 25

days after the announcement date, the author did not rule out the effect of insider

trading.

By analyzing the nature stockholding, Amihud and Li (2006) viewed that dividend

announcements are becoming less informative due to the increase in stockholdings

by institutional investors who are more sophisticated and informed than average

individual investors. They also observe that institutional investors increase their

holdings in firms that subsequently raise dividends even two quarters before the

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announcement but stop doing so after the dividend announcement. Firms with

high institutional holdings are less likely to raise their dividends. Analysis shows

that the disappearance of dividends reflects the declining role of dividends as a

means to convey information, which is a result of the increase in institutional

holdings.

Vieira and Raposo (2007) found different results in different markets. While

abnormal returns for the three-day announcement period only support the dividend

content hypothesis for the dividend increase events in the UK market, no

significant market reaction to dividend change announcements was found for

Portuguese and French markets. In many cases reverse relationship was also

observed between dividend change announcements and share price reaction.

Bulan, Subramanian and Tanlu (2007) suggested that dividend initiators are large

and stable firms with relatively high profitability and cash balances, and low

growth rates. Their findings show mixed evidence that a firm's propensity to

initiate dividends is affected by the market sentiment for dividends.

Papasyriopoulos, Koulakiotis, Papadimitriou, and Kalimeris (2007) examined the

effect of acquisition announcements on the abnormal returns of six Greek

industrial and constructing firms in the time of 2001-2004. They calculated the

average and cumulative average abnormal returns using the Market model in

combination with the event study methodology. The OLS parameters (α and β) of

the model were calculated from the estimation period -211, -11 and were applied

for the calculation of AAR and CAAR of period -211, +10. They found the AAR

and CAAR for the period -211, +10. Firstly, results show that, the announcement

(t = 0) of an acquisition does not significantly affect the AAR and CAAR.

Although AAR is positive on day 0, it begins to decline right after that. Apart

from that, CAAR is positive between days -120 and way after the announcement

day. More generally, it seems that both AAR and CAAR on day t = 0 are

statistically and economically insignificant, that is, they do not seem to have a

great effect on abnormal returns on that particular day. Secondly, they used the

Exponential GARCH model technique to find if there is any correlation between

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25

the current return and the future volatility. They included 2 dummy variables in

our estimation, namely D1 and D2 , which measured the effect of ‘good’ and ‘bad’

news on abnormal returns respectively. Results from the E-GARCH model show

that the presence of ‘good news’ positively affects the average abnormal returns in

the pre-announcement period -211, -1, while the presence of ‘bad news’ has a

slight negative effect.

Wann, Long, Pearson, and Wann (2008) hypothesized that investor expectations

regarding dividend changes are conditioned by growth opportunities, as proxied

by the market-to-book ratio. Using the traditional event study approach, they

examined the implications of signaling theory and agency theory on investor

reaction to changes in dividend payments (i.e. increases and decreases) by high

and low growth opportunity firms. In particular, low growth opportunity firms

experience more pronounced excess abnormal returns in response to large

dividend changes according to the agency theory. The presence of large positive

cash shocks tends to dissipate the differences in excess abnormal returns found

between high and low growth opportunity firms. However, low growth

opportunity firms that decrease dividends following negative cash shocks

experience significantly larger negative stock returns than do high growth

opportunity firms. Thus, it appears that the agency theory predictions are more

severe for low growth opportunity firms. Further, dividend decreases made by low

growth firms following negative liquidity shock events result in significantly

larger negative abnormal and cumulative abnormal returns than do regular

dividend decreases.

The empirical study by Howatta, Zuberb, Gandarc and Lambd (2009) shows

positive increases in real dividends that associated with declines in profitability.

When compared to non-dividend paying firms, real dividend decreases also

exhibit a direct relationship with decreases in earning per share. Findings are

consistent with the dividend signaling theory.

Anderson (2009) used friction modeling, a procedure using maximum likelihood

estimation to replace both the market model and restricted least-squares regression

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26

in event studies where there are two quantifiable variables and a number of

possible interaction effects associated with the news that constitutes the study’s

event. From the findings, they suggest that the dividend signal can be separated

from the earnings signal.

Hussainey (2009) tested the issues of the effects of dividend payment status and

the increase in dividends over time on the relation between current stock returns

and future earnings. This paper evidence that firms that pay dividends or that

increase dividends levels exhibit higher levels of share price anticipation of

earnings than non-dividend-paying (non- increasers) firms. It also provides

evidence that the association of dividend with share price anticipation of earnings

is statistically significant for loss-making firms and insignificant for profitable

firms. From findings, suggest that loss making firms use dividends as to signal

their future prospects to the stock market participants.

Using a sample of 477 large companies Bouwman (2010) examined whether

announcement effects triggered by dividend changes are affected by the presence

of optimistic CEOs in the companies based on the premise that an optimistic

manager has an upward bias in own assessment of a private signal about future

earnings, such that dividend change on an average embeds more good news for

the market than an equal-sized dividend change announced by a rational manager.

As the market cannot perfectly distinguish between optimistic and rational

managers, there is favourable market response to dividend changes announced by

optimistic managers (controlling for other factors, including the size of the

dividend change) than to those announced by rational managers. The results

reinforce the existing evidence that dividend changes generate abnormal price

reactions, and yet provide little information about future earnings.

Westfall (2010) tested the efficient market hypothesis by assessing the investor’s

ability to earn an above normal return in the short run by acting on stock split

announcements. This study used the standard risk adjusted event study

methodology with the market model and an appropriate statistical test for

significance was conducted. Results show a positive market reaction prior to the

LITERATURE REVIEW

27

firms’ announcement of regular two for one stock splits. The results from this

study support efficient market theory at the semi-strong form level as documented

by Fama (1970).

Dasilasa (2011) examined the reaction of dividend change announcements effect

on stock market as well as the trading volume for a sample of firms listed on the

Athens Stock Exchange and found significant market reaction on the dividend

announcement day.

Andres, Betzer, Bongard, Haesner, and Theissen (2011) analyzed dividend

announcements made by German firms in the period from 1996 to 2006. They

performed a standard event study and then used random effects panel models to

analyze the determinants of the cumulative abnormal returns. The results show

that share prices react to the surprise in the dividend announcement, not to a

dividend change per se. Their results also suggest that, when dividend and

earnings announcements are made on the same day, the dividend surprise has, if

anything, higher explanatory power for the share price reaction than the earnings

surprise.

Salameh and Albahsh (2011) findings reject the null hypothesis that there is no

difference between the average abnormal return and zero; this indicates that

Palestine market is inefficient at the semi strong level and that information is

gradually reflected in stock prices. They claimed that the market is still an

emerging one. Many other developments are needed to enhance the desired turns

in the market; in the internal market level or in the external economic and legal

environment. They suggested that more attention should be given on studying the

efficiency of the Palestine stock exchange PEX at the weak form and on the

impact of other events.

LITERATURE REVIEW

28

2.3.4. Dividend and Stock Price in Emerging Markets:

Emerging economies are the fastest growing economies of the world. They are in

the transition phase in their development process. India is one of the emerging

economies. The Indian stock market as most of the other emerging economies

stock markets is growing rapidly and exhibits volatility die to growth prospects.

The empirical studies of signaling theories on these countries provide different

results. Discussion on these studies follows:

Chen, Firth and Gao (2002) while studying Chinese market observed a positive

relationship between changes in profits and stock returns measured over short

intervals of time. Further, they realized that the signaling effect of dividend

announcements along with earnings embellish the signal from earnings.

Abdullah, Rashid and Ibrahim (2004) explained the market reaction to the

dividend announcements for the period of 1996 to 1999 in Kuala Lumpur Stock

Exchange (KLSE). The findings do not support the signaling hypothesis.

By investigating the semi-strong form of market efficiency of stock prices to

dividend announcements using event study methodology, Akbar and Baig (2004)

analysed cash, stock, and simultaneous cash and stock dividend announcements of

79 companies listed on the Karachi Stock Exchange for the period July 2004 to

June 2007. Their findings suggest that the reaction of stock prices to cash dividend

announcements is statistically insignificant. They also suggested that the returns

are mostly negative for the 41-day window, which they attribute to the tax effect

of cash dividends.

Thirumalvalavan and Sunitha (2006) observed significant abnormal returns around

the divided announcement date. However, this positive signaling existed only for a

day after the announcements, after which the extent of positive reaction started

decreasing suggesting that the market reaction in the Indian market to events or

announcements such as stock repurchases and dividends was complete within a

day or two.

LITERATURE REVIEW

29

Study on Dhaka Stock Exchange by Hossain, Siddiquee and Rahman (2006)

pertaining to four years (2001-2004) shows a rise in the average abnormal return

(AAR) one day before the dividend announcement and falling sharply after the

dividend announcement. The cumulative abnormal return (CAR) of almost all the

companies around the study period, which increased just before the dividend

announcement date, did not sustain in the ex-dividend period. The sensitivity is

prominent on the day after or the day before the declaration instead on the

declaration day. They justify the findings due to leakage of significant

information before the dividend announcement. Thus their study is supportive of

signaling theory.

Cooray and Wickremasing (2007) used The Augmented Dickey Fuller (ADF-

1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least

Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS - 1996) tests to

examine stock market efficiency in India, Sri Lanka, Pakistan and Bangladesh.

The findings support weak- form efficiency for all four countries.

Chander, Sharma and Mehta (2007) analyzed the impact of dividend

announcement considering 188 events of dividends announcement for Group A

listed stocks of the Bombay Stock Exchange during the period from January 2004

through December 2005 by using the event study methodology. The results show

consistent incidences of average abnormal returns around the dividend

announcement, indicating over expectation of investors regarding dividend

announcement in the information leakage phase, which subsided considerably

with new information disclosure. The study broadly endorses the market

efficiency in these markets however goes on to conclude that dividend being

marginal portion of return does not inspire over enthused investors in rising

markets.

Hong kong being characterized as asymmetric market environment due to

concentrated shareholding patterns provides a good example due to limited

disclosure of information to investors. Due to dividends being important source of

information, Cheng, Fung and Leung (2007) support the signaling hypothesis that

LITERATURE REVIEW

30

dividend changes reflect profitability and cash flow for firms with unexpected

earnings increases. On the other hand study on Amman Stock Exchange for the

period 1996 to 2002 by Nobanee, Hadda, Alshattarat and Alshattarat (2009)

showed that the market reacted negatively to dividend increase and decrease

samples, and the same result was obtained for the dividend no change sample

leading no support for dividend signaling consistent with the results of Mollah

(2001).

At the same time study by Chen, Nieh, Chen and Tang (2009) while analyzing the

effect of cash dividend changes on the share prices for the period 2000 to 2004 for

Chinese Stock Market found that share prices react significantly positive to both

cash dividend increases and cash dividend decreases.

While applying event study method, Chen, Liu, and Huang (2009) investigated the

impact of cash dividend changes on share prices and simultaneously examined

whether the dividend-signaling hypothesis holds in China’s stock markets. Their

results half support the signaling hypothesis. The reaction of dividend decrease is

more pronounced than for dividend increase.

Chakraborty and Mukhopadhyay (2010) took six different sub-categories of 125

events for the period of 1996 to 2003. The empirical study indicates that the Indian

stock market conforms to the Efficient Market Hypothesis (EMH) whereby the

investors exhibit an informed and rational behavior.

Study by Karamjeet and Balwinder (2010) reports positive reaction of stock

market to the announcements of share buy-backs in India particularly on the

announcement date showing abnormal returns of 2.22% per cent for share buy-

backs with 72.28% events generating positive returns on announcement day (0).

Using event study for Karachi Stock Exchange Index (KSE-30), Chughtai (2010)

found that an average stocks start showing positive abnormal returns seven to

eight days before announcement date due to leakage of information regarding

announcement raising questions on corporate credibility in emerging markets.

LITERATURE REVIEW

31

Mandal and Rao (2010) findings provide enough evidence to support that both the

announcements of dividend initiation and dividend omission carry some new

value relevant information to the investors implying signaling by management to

shareholders. The impact of dividend omission was found to be greater than for

initiation. Mohammad and Chowdhury (2010) also used event study methodology

to investigate the effect of dividend announcement on stock price and found no

strong evidence that stock price reacts significantly on the announcement of

dividend. They attribute this due to insider trading in the market in insiders,

brokers and the exchange employees act as informed speculators for short-term

gain thus making dividend information ineffective. In view of this, a dividend

announcement does not generate significant impact on the movement of stock

prices.

Study on Indian market by Sharma (2011) suggests that the dividend

announcements do not result in any non-random behaviour in the stock return

series surrounding the announcement day and no investor could earn significant

abnormal returns by strategizing his/her investment policy surrounded by these

announcements days as informational content got embedded in the share prices.

Overall results by Aamir and Shah (2011) indicate that impact of dividend on

dividend announcement date and few days after were positive thereby making a

strong argument that dividend distribution is relevant for future price

determination.

Taneem, and Yuce (2011) analyzed results of 82 BSE enlisted companies, which

announced dividends during the financial years 2004-2007 claim that investors

have a favourable reaction towards companies that increased their dividends and

the vice versa for companies that declared a decrease in dividend. They thus

conclude that dividend announcements have information content and induce share

price adjustments. The result showed higher abnormal return and higher

cumulative abnormal return for companies that increased their dividend amounts.

They make strong support to the signaling hypothesis in explaining the positive

price reactions in the direction of dividend change.

LITERATURE REVIEW

32

By taking the sample of 55 dividend-paying companies listed at Karachi Stock

Exchange for the period of 2001 to 2010, Khan, Aamir, Qayyum, Nasir and Khan

(2011) found that dividend yield to be positively related while retention ratio

being negatively related to Stock Prices. The authors found significant fixed as

well as random effect in variations in the stock prices.

Kumar, Mahadevan and Gunasekar (2012) observed that information is reflected

in stock prices very quickly such that even the published data tells nothing to the

investor about the likely hood of change in stock prices. Therefore the study leads

to conclude that announcement of corporate dividend result does not have any

impact on the stock return behavior.

Maitra and Dey (2012) observed that there are significant abnormal returns

(positive or negative or both) upon dividend announcement which is more evident

under the CAPM model. They suggest that although abnormal returns are found

significant even before the announcement of dividend both under the market

model and the CAPM model, still more cumulative average abnormal returns are

not found significant well before the announcement under the CAPM model while

it becomes faster during the post- announcement period. Under the market model,

no significant difference between positive and negative average abnormal return is

observed which is suggestive of no signaling effect whereas application of CAPM

model suggests signaling. The difference in results seems to be due to difference

in calculating returns.

The literature review carried out has been summarized as under:

LITERATURE REVIEW

33

Table 2.1: Summarization of Literature Review:

Srl.

No.

Author/Authors Period of Study Country of Study Direction of findigs

2.3.1. Information Asymmetry and Dividend Policy

1 Hasbrouck (1991) 62 trading days in

the first quarter of

1989

US Dividend has signaling effect due to asymmetric

information.

2 Brioa, Miguel, and Perote (2002) 1992-1996 Spain Dividend has signaling effect due to asymmetric

information.

3 Brio and Miguel (2010)

1992–1996 European Market Dividend has signaling effect due to asymmetric

information.

2.3.2. Dividend Announcement and Future Earnings:

5 David, Diane, Denis and Sarin (1994) 1962-1988 US Dividend information is used to convey future

earnings prospects

6 Bernheim and Wantz (1995)

1962-1988 US Dividend information is used to convey future

earnings prospects

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34

7 Dhillon, Raman, and Ramirez (2003) 1978 – 1987 US Dividend information is used to convey future

earnings prospects

8 Benartzi, Michaely, and Thaler (1997)

1979-1991 US No evidence to reflect effect on future earnings

due to conveyed dividend announcement.

9 Daniels, Shain and Lee (1997)

1975 – 1990 US No evidence to reflect effect on future earnings


10 Brook, William Jr., and Hendershott (1998) 4 year data till 1992 Data from

Compustat tapes

Dividend information is used to convey future

earnings prospects

11 Koch and Sun (2004)

1983 – 2001 US Due to decrease in earnings no effect of positive

dividend signaling was substantiated.

12 Grullon, Michaely, Benartzi and Thaler (2005)

1963-1997 US No evidence to reflect effect on future earnings


13 Wann & Long (2009) 1952 Q1 - 2004 Q3 US Dividend information is used to convey future

earnings prospects

14 Fuller and Benjamin (2010) 1980 – 2000 US Dividend information is used to convey future

earnings prospects

LITERATURE REVIEW

35

2.3.3. Dividend Announcement and Share Price:

15 Luab (1976)

1946-1965 US Evidence of positive relationship between

dividend announcement and share price

16 Fama, Fisher, Jensen and Roll (1969) 1927 – 1959 US Evidence of positive relationship between


17 Stephens and Proffitt (1988) 1959-1978 COMPUSTAT

Research file

Evidence of positive relationship between


18 Shillers (1981)

1929 -1979 US Evidence of positive relationship between


20 Asquith and Mullins, Jr. (1983)



21 Kane, Lee, and Marcus (1984)



22 Wansley, Sirmans, Shilling and Lee (1991)



LITERATURE REVIEW

36

23 Akhigbe, Borde and Madura (1993) 1969-1991 US Evidence of positive relationship between


24 Kao and Wu (1994)

1965-1986. COMPUSTAT Evidence of positive relationship between


25 Salandro (1994) 15 period asset

double auction with

five minute trading

period in 1994

US Evidence of positive relationship between


26 Bouwman (2010) 1984-1994 US Evidence of positive relationship between


27 Michaely, Thaler, and Womack (1995)



28 Iqbal and Rahman (2002) 1991-1997 US No relationship between dividend announcement

and change in share price

30 Ryan, Besley and Lee (2000)



LITERATURE REVIEW

37

31 CRAWFORD and Franz (2001) 1983-1993 US Evidence of positive relationship between


36 Amihud and Li (2006)

starting in July

1962

US No relationship between dividend announcement


38 Bulan, Subramanian and Tanlu (2007) 1963-2001 US Evidence of positive as well as negative

relationship between dividend announcement and

share price found

40 Wann, Long, Pearson, and Wann (2008)



41 Howatt, Zuberb, Gandarc and Lambd (2009) 1981–2001 US Evidence of positive relationship between


44 Westfall (2010)

2007- 2008 US Evidence of positive relationship between


37 Andres, Betzer, Bongard, Haesner, and Theissen

(2011)

1996-2006 German Evidence of positive relationship between


35 Dasilasa (2011) 2000-2004 Greece Evidence of positive relationship between

LITERATURE REVIEW

38


39 Papasyriopoulos, Koulakiotis, Papadimitriou, and

Kalimeris (2007)

2001-2004 Greece Evidence of positive relationship between


19 Ariff and Finn (1989) 1973-1982 Singapore Evidence of positive relationship between


42 Anderson (2009) 1990-1999 New Zealand



29 Conroy, Eades, and Harris (2000) 1988-1993 Japan Evidence of positive relationship between


43 Hussainey (2009) 1996-2002 UK Evidence of positive relationship between


32 Gunasekarage and Power (2002 )

1989-1993 UK Evidence of positive relationship between


33 Vieira and Raposo (2007)

1994- 2002

UK,

French and

Portuguese

No relationship between dividend announcement


LITERATURE REVIEW

39

45 Salameh and Albahsh (2011) May.2006 –

Oct.2006

Palestine No relationship between dividend announcement


4 Makhija and Thampson (1986) 2003–2008 India Dividend information is used to convey future

earnings prospects

2.3.4. Dividend and Stock Price in Emerging Markets:

46 Chen, Firth and Gao (2002) 1994–1997 China No relationship between dividend announcement


48 Chen, Nieh, Chen and Tang (2009)

2000-2004 China Evidence of positive relationship between


57 Chen, Liu, and Huang (2009) 2000-2004 China Evidence of positive relationship between


55 Cheng, Fung and Leung (2007) 1986-1999 Hong Kong Evidence of positive relationship between


50 Abdullah, Rashid and Ibrahim (2004) 1996- 1999 Malaysia No relationship between dividend announcement


LITERATURE REVIEW

40

51 Akbar and Baig (2004) 2004-2007 Pakistan No relationship between dividend announcement


59 Chughtai (2010)

2004- 2008 Pakistan Evidence of positive relationship between


63 Aamir and Shah (2011) 2004 -2008 Pakistan Evidence of positive relationship between


65 Khan, Aamir, Qayyum, Nasir and Khan (2011) 2001- 2010 Pakistan Evidence of positive relationship between


52 Hossain, Siddiquee and Rahman (2006)

2001-2004 Bangladesh Evidence of positive relationship between


61 Mohammad and Chowdhury (2010) Jan.2008-Sep. 2008 Bangladesh Evidence of positive relationship between


56 Nobanee, Hadda, Alshattarat and Alshattarat (2009)

1996-2002 Amman No relationship between dividend announcement


53 Cooray and Wickremasing (2007) 1996-2005 India, Sri Lanka,

Pakistan and



LITERATURE REVIEW

41

Bangladesh

49 Thirumalvalavan and Sunitha (2006)

2002- 2004 India Evidence of positive relationship between


54 Chander, Sharma and Mehta (2007) 2004-2005 India Evidence of positive relationship between


47

Chakraborty and Mukhopadhyay (2010)

1996- 2003 India Evidence of positive relationship between


58 Karamjeet and Balwinder (2010) 1999-2004 India Evidence of positive relationship between


60 Mandal and Rao (2010) 1990- 2009 India Evidence of positive relationship between


64 Taneem, and Yuce (2011) 2004-2007 India Evidence of positive relationship between


66 Kumar, Mahadevan and Gunasekar (2012)- 2009-2009 India Evidence of positive relationship between


62 Sharma (2011) 1997- 2007 India No relationship between dividend announcement

LITERATURE REVIEW

42


67 Maitra and Dey (2012)

2008-2010 India No relationship between dividend announcement


LITERATURE REVIEW

43

2.4. Conclusion:

Based on the literature review, it is seen that the various studies fall into four

distinct areas, those related to asymmetric information, dividend announcement

and future earnings, dividend and its impact on share prices and finally dividend

announcement and signaling reactions in share price of the stocks in emerging

economies.

Part one of the literature reviewed, examined studies related to information

asymmetry among stakeholders. The managers (insiders) are using dividend and

other important information to signal outsider about the potential of the companies

to enhance the value of the firm and by this way they try to safeguard managerial

interest in the companies.

The second part of the literature review related to dividend announcement and

future earnings. The results are mixed with some of the studies support dividends

to convey future prospects. Most of the studies support the viewpoint only if there

are potential real earnings in the long run then dividend announcement really acts

as signals otherwise not. At the same time some of the studies do not find support

that dividend conveys future potential earnings.

In third part of the literature review, we analyzed the impact of dividend on share

price reaction has been covered suggest that dividend and share prices are

positively correlated. While some of the studies found signaling effect and inverse

relationship between dividend announcement and share prices, others did not find

any relationship at all. The literature is also abound with studies showing mixed

results depending upon dividend related events and the event periods chosen for

the respective studies.

Studies on dividend signaling in the context of emerging economies by and large

do not show clear evidence of signaling effect. The reason for this has been

attributed to low level of market efficiency.

LITERATURE REVIEW

44

The literature also points out that the methodology adopted and models used to

analyse signaling effect also affect the outcome of the results.The theoretical and

empirical works reviewed in the literature show various type of results for

different markets. The different results from large number of empirical studies and

the evidence of a significant percentage of cases where the market reaction to

dividend change announcements is opposite to the expected reaction leads us to

draw that the debate over the empirical validity of the dividend-signaling

hypothesis remains inclusive. However, different results in different markets also

prompt one to explore the cause and effect relationship with the characteristics of

the dividend related events as well as the nature of market.

Taking the clues from literature review carried out in the preceding sections, the

following salient points emerge which can be provide a basis for formulating the

aims and objectives of the study as under:

i) The relationship between dividend changes announcements and

subsequent changes in share prices of the firms are not always

consistent with the signaling theory and the information meant to be

conveyed to the market through dividend decision is not always

related to future earnings, growth or cash flow;

ii) The empirical evidence in developed countries predominately support

the positive relationship between dividend change announcements and

the subsequent change in share prices while in developing counties

the same is not supported either due imperfections or inefficiencies in

the market. The evidence of negative relationship between dividend

change announcements and changes in share prices may also be

attributed to investors’ perceived behavior for future earnings and

growth.

RESEARCH METHODOLOGY

45

CHAPTER: 3

RESEARCH METHDOLOGY

3.1 Aims and Objective of Research

This research primarily aims to study the signaling effect of dividend decisions on

the market price of companies listed on stock market in India. Incidental to the

study it is necessary to understand whether the efficiency level of the Indian stock

market has any role in affecting the changes in share prices due to dividend related

events.

The companies listed on the stock market are diverse in terms of the industry,

market capitalization and performance. They also exhibit different types of

dividend decisions viz. cash or stock and indirectly repurchase of shares. The

dividend change decisions can be grouped in to various event categories such as

dividend omission, initiation, increase or decrease. Accordingly, the following

objectives of the study have been formulated:

i) To identify and analyze the different types of dividend related events

and their signaling effect if any on the share price of listed companies

in India.

ii) To analyze whether the signaling effect is consistent for all the above

events or it varies with market capitalization or industry representation

of the company.

iii) To test the market efficiency of the Indian Stock Market in relation to

dividend related announcements.

On the basis of the above objectives, the researcher intends to contribute to the

resolution of the debate on signaling effect of dividend decisions particularly in

the context of transient and emerging economy- India.


46

3.2 Sample Selection:

There are twenty five stock exchanges operating in India as shown in the Table

3.1. Out of these twenty one operate at regional level and only four are working at

national level. Only eight stock exchanges have permanent license amongst which

namely Bombay Stock Exchange (BSE), National Stock Exchange (NSE), Over

the Counter Stock Exchange (OTC) and Multiple Commodity Index (MCX) are

operational at national level. The MCX is trading in commodities and falls within

the regulatory purview of Forward Market Commission of India; while OTC is the

market for non-listed medium size companies, only BSE (Bombay Stock

Exchange) and NSE (National Stock Exchange) deal in majority of the companies

listed on the Indian Stock Market. Due to their size in terms of number of listings

as well as turnover, BSE and NSE have been considered as representative of.

Indian Stock Market for identification of companies and selection of events.


47

Table 3.1: Existing Stock Exchanges in India

Srl.

No.

Name of Stock Exchange Foundatio

n

Location Working

Status

(National/

Regional)

No. of

Listed Com.

(as on Dec.

2011)

Market

Capitalization

1 Bombay Stock Exchange 1875 Mumbai, India National 5,133 US $ 1 trillion

(Dec. 2011)

2 Ahmedabad Stock Exchange 1894 Ahmedabad, India Regional

3 Calcutta Stock Exchange 1908 Kolkata, India Regional 2,700

4 Madhya Pradesh Stock Exchange 1919 Indore, India Regional 315

5 Madras Stock Exchange 1937 Chennai, India Regional 1785

6 Hyderabad Stock Exchange (dereconized by SEBI) 1941 Hyderabad, India Regional

7 Delhi Stock Exchange Association 1947 New Delhi, India Regional 3,000

8 Banglore Stock Exchange 1963 Banglore, India Regional 595

9 Cochin Stock Exchange 1978 Kochi India Regional 350

10 Ludhiana Stock Exchange 1981 Ludhiana, India Regional

11 Pune Stock Exchange 1982 Pune, India Regional

12 UP Stock Exchange 1982 Kanpur, India Regional

13 Guwahati Stock Exchange 1983 Guwahati, India Regional 290

14 Manglore Stock Exchange (dereconized by SEBI) 1984 Manglore, India Regional

15 Magadh Stock Exchange Association (dereconized by SEBI) 1986 Patna, India Regional

16 Bhubaneshwar Stock Exchange 1989 Bhubaneshwar,

India

Regional

17 Jaipur Stock Exchange 1989 Jaipur, India Regional 740

18 Saurashtra Kutch Stock Exchange (dereconized by EBI) 1989 Saurashtra, India Regional

19 OTC Exchange of India 1990 Mumbai, India National 115 -

20 Vadodara Stock Exchange 1990 Vadodara, India Regional 459

21 National Stock Exchange 1992 Mumbai, India National 1,646 US $ 1 trillion

(Jul. 2012)

22 Coimbatore Stock Exchange 1996 Coimbatore, India Regional

23 Inter-connected Stock Exchange of India Ltd. 1998 Mumbai, India - - -

24 MCX Stock Exchange Ltd 2008 Mumbai, India National

25 United Stock Exchange 2010 Mumbai, India - - -

Source:http://www.surfindia.com/finance/cochin-stock-exchange.html, http://en.wikipedia.org/wiki/List_of_stock_exchanges, http://www.sebi.gov.in/investor/stockexchadd.html.

http://en.wikipedia.org/wiki/List_of_stock_exchanges

http://www.sebi.gov.in/investor/stockexchadd.html


48

The selections of companies in the sample are based on non-probability purposive

sampling (Stepwise sampling). Time span of 10 year from financial year 2001-02

to financial year 2010-11 has been taken for the study. The final selection of

companies is based on the criteria of regular announcement of dividend and active

trading in the stated stock exchanges (e.g. BSE and NSE) during the span of time

taken for the study.

Table 3.2 Summarizes stepwise sample selection procedure of companies

Steps Procedure and criterion of selection of companies

and events

No. of companies

selected (as on June

2011)

NSE BSE

Step 1 Start with all the listed companies on NSE and BSE 1686 5045

Step 2 Identification of companies which have at least ten

dividend events including interim and final dividend

over the ten-year period from Financial year 2001-02

to 2010-11

816 1147

Step 3 Identify those dividend paying companies which are

common to NSE as well as BSE stock exchanges.

627

Step 4 Categorize companies identified in step 3 into Large

Cap, Mid Cap and Small Cap

627

Step 5 Select companies from each category for event

selection if they are in respective Indices of BSE as

well as NSE

103

Total number of companies selected 103

Source: Computed from Prowess 3.1data

Companies which exhibited at least ten dividend events including interim as well

as final dividend in all the ten years covered in the study have been identified

adopting the above procedure. The researcher analyzed the dividend history of all

1963 companies (816 NSE listed plus 1147 BSE listed companies). By

observation of the dividend history and identifying only those companies which

had at least ten dividend related events over the period FY 2001-2002 – 2010-

2011, the list was narrowed down to 627 companies. The category wise break-up


49

into Large Cap, Mid cap and small cap of these 627 companies appears in

Appendix 3.1 adopting the criteria

The above 627 companies were further screened for their representation in both

NSE as well as BSE indices. The list of companies fulfilling the criteria comprised

of 103 actively traded companies, had ten dividend related events over ten year

period and were represented in both NSE and BSE indices.

The criteria adopted for inclusion of companies in the respective large cap, mid-

cap and small cap categories BSE Indices Source http:// bseindia.com/indices) is

as under:

i) The average market capitalization aggregating 98.5% of the

universe constitutes the eligible universe of companies

ii) The large cap companies’ category includes those company scripts

which are traded on 60% of the trading days in the last three

months and together cover 80% of the average market

capitalization of the eligible universe of companies.

iii) Mid- cap companies includes those company scripts which are

traded on 60% of the trading days in the last three months and

together cover 15% of the average market capitalization of the

eligible universe of companies.

iv) Small - cap companies includes those company scripts which are

traded on 60% of the trading days in the last three months and

together cover 5% of the average market capitalization of the

eligible universe of companies.

Appendix 3.2 lists the break –up of the 103 selected companies into respective

market cap category along with Industry representation. For brevity, the category

wise- break-up appears in the Table3.3.


50

Table 3.3 Break-up of selected companies based on respective market

capitalization

Sensex/Nifty 50 BSE- Mid Cap/

S&P –NSE Mid

Cap

BSE- Small Cap

S&P –NSE Small

Cap

TOTAL

24 15 64 103


51

Table 3.4: Industry wise Classification of the selected companies and proportionate representation of industry to overall

selected companies

Srl. No.

Industry No. of Large Cap companies in sample

% of large cap companies in sample

No. of Mid- Cap companies in sample

% of Mid cap companies in sample

No. of Small Cap companies in sample

% of Small cap companies in sample

Industry wise Total No of companies in sample

Industry wise % of companies in sample

1 Auto Ancillary 0 0.00 1 6.67 0 0.00 1 0.97

2 Automobile 3 12.50 0 0.00 1 1.56 4 3.88

3 Banking & Financial Services 3 12.50 2 13.33 5 7.81 10 9.71

4 Cement 0 0.00 1 6.67 2 3.13 3 2.91

5 Chemicals & Pharmaceuticals 4 16.67 4 26.67 19 29.69 27 26.21 6 Construction & Real Estate 1 4.17 1 6.67 1 1.56 3 2.91

7 Diversified 0 0.00 0 0.00 1 1.56 1 0.97

8 Electrical Machinery 0 0.00 0 0.00 4 6.25 4 3.88

9 Electricity 2 8.33 1 6.67 1 1.56 4 3.88

10 Electronics Machinery 0 0.00 0 0.00 1 1.56 1 0.97 11 Ferrous Metal 2 8.33 1 6.67 4 6.25 7 6.80

12 Food & Beverage 1 4.17 1 6.67 5 7.81 7 6.80

13 Gems & Jewellery 0 0.00 0 0.00 0 0.00 0 0.00

14 Health Services 0 0.00 0 0.00 1 1.56 1 0.97

15 Hospitality & Recreational Services

0 0.00 0 0.00 0 0.00 0 0.00

16 Information Technology & Telecommunication Services

2 8.33 0 0.00 5 7.81 7 6.80


52

17 Mining 2 8.33 0 0.00 2 3.13 4 3.88

17 Misc. Manufacturing 0 0.00 0 0.00 1 1.56 1 0.97 18 Misc. services 1 4.17 0 0.00 4 6.25 5 4.85

19 Non - Electrical Machinery 1 4.17 2 13.33 0 0.00 3 2.91

20 Non - Ferrous Metal 2 8.33 0 0.00 0 0.00 2 1.94 21 Non - Metalic Mineral Product 0 0.00 0 0.00 2 3.13 2 1.94

22 Textile Industry 0 0.00 0 0.00 2 3.13 2 1.94

23 Transport & Logistic Services 0 0.00 0 0.00 2 3.13 2 1.94 24 Whole Sale & Retail Trading 0 0.00 1 6.67 1 1.56 2 1.94 Total 24 100.00 15 100.00 64 100.00 103 100.00

Source: Computed from Prowess 3.1.


53

3.2.1 Events Selection:

Gurgul et al. (2003) and Apostolos Dasilas (2011), in the study on events study

defined the events announcement date as very first official statement on dividends

of the executive board of the analyzed company. The Prowess 3.1 data has been

used to identify the events announced for Indian Stock Market.

On the basis of decisions in the Prowess data base, the following types of events

were observed:

1. Interim Dividend (IDIV)

2. Preference Dividend (PDIV)

3. Dividend (DIV)

4. Bonus Shares (BON)

5. Buy Back of Shares (BUY)

6. Split of Shares (SPLIT)

7. Quarterly Result (QTR)

8. Half Yearly Results (HYR)

9. Advance Corporate Tax (ACT)

10. Annual Audited results (AU)

11. New Issue

12. Right Issue (RTS)

13. Issue of Securities in Foreign Market & Currency

14. Merger

15. Acquisition (ACQS)

16. Strategic Business Restructuring

17. Expansion Plan

18. Public Premise Liability (PPL)

19. Listing (LISTG)

20. Delisting (DLISTING)

AS the study focusses on signaling effect of dividend decisions in the Indian Stock

listed companies, the dividends related decisions have been categorized into

following broad groups:

1. Dividend alone


54

2. Dividend along with financial results

3. Dividend along with other events except financial results

4. Dividend along with financial results and other events

3.2.1.1 Event Window Selection:

The literatures also provides input for the study of events that one must decide the

event window .Different researchers have defined different time frames for the

event window such as 21 days (Apostolos Dasilas (2011), 41 days (Dar-Hsin Chen

(2009 ), 71 days (E.B. Del Brio et al. (2002. From all these studies it is clear that

there is no consistency in the selection of the period of event window.

India being a developing country with evolving capital market, it is characterized

by volatility in short span of time. The transparency of the corporate world is

questionable and there appears to be large scale insider trading before the

announcement of any event. Therefore the researcher has chosen a 61 days period

as the event window for the study of signaling impact of dividend announcement.

This 61 days is total of event date which is defined 0-days (the date on which

event is publically announced) and -30 to +30 days (the date 30 days previous

from event date and 30 days post event dates) for the study.

This study is associated with the study the stock price behavior surrounding the

announcement date and therefore labelled as event study. The methodology of

event study is associated with Efficient Market Hypothesis developed by E. F.

Fama (1970), to understand the adjustment of stock prices to new information.

The methodology is commonly referred to Fama Fisher Jensen and Ross (1969)

methodology of event study.

The steps followed to study the events are as follows;

Step1: Identify the events to be studied and pinpoint the date (t=0) on which the

events are announced.


55

Step2: Take the decision for the event window (ensure that during this period no

other important event has been announced). The event window id dividend as t=0

( Event date) and a period of -30 days previous to event date and +30 days after

the event date which is shown below with the help of graph.

Figure 3.1: Event Window and Duration of Event

Source: Edwin J. Elton and Martin J. Gruber, book “Modern Portfolio Theory analysis and Investment Analysis”.

In this figure t=0 is shown as event announcement date and respective effect of

this announcement on share prices are calculated for the period of -30 days to +30

days to know if there is any impact of such announcement and for how many days

it persists.

Table 3.5 presents of the company wise break of dividend events captured for the

period of ten years covering FY 2001-02 to FY 2010-11 for the sampled

companies.

-30 -10 -5 -1 t = 0 +1 +5 +10 +30


56

Table 3.5: Total Events in the Period of 1 April 2000 to 31 March 2011 and the final event selected for the study:

Total EVENTS Selected Events

EVENTS:

COMPANY:

Total

Event

DIV

Alone

DIV

with

RE

DIV

with

Any

Oth Ev

Exc.

RE

DIV

with

RE

and

any

othr

Ev

Oth Ev

Without

DIV

Total EV

Sel for

Study

DIV

Alone

Sel

for

study

DIV

with

RE

Sel

For

Study

DIV with

Any oth Ev

Exc.RE Sel

for

Final

Study

DIV with

RE and

Any oth

Ev

Sel for

Final

Study

Oth Ev

Without

DIV

Sel for

Study

Aban Offshore Ltd. 14 1 4 0 3 6 11 0 5 0 1 5

Akzo Nobel India Ltd. 11 0 9 0 1 1 8 0 7 0 0 1

Alok Industries Ltd. 20 0 7 0 1 12 10 0 4 0 1 5

Apollo Hospitals

Enterprise Ltd.

20 2 8 0 1 9 11 2 4 0 1 4

Apollo Tyres Ltd. 13 1 6 0 1 5 8 0 3 0 1 4

B E M L Ltd. 19 8 7 0 0 4 15 4 9 0 0 2

B O C India Ltd. 11 2 8 0 0 1 7 0 7 0 0 0

Bajaj Hindusthan Ltd. 20 1 6 0 2 11 5 0 3 0 1 1

Bata India Ltd. 15 4 5 0 0 6 6 3 3 0 0 0

Berger Paints India Ltd. 29 7 10 0 0 12 16 4 7 0 0 5

Bharat Heavy Electricals

Ltd.

26 14 7 0 0 5 12 7 4 0 0 1

Bhushan Steel Ltd. 16 2 6 0 1 7 14 3 5 0 0 6

Birla Corporation Ltd. 13 3 7 0 0 3 11 2 7 0 0 2


57

Blue Dart Express Ltd. 11 1 9 0 0 1 11 3 7 0 0 1

C E S C Ltd. 22 3 6 0 0 13 5 1 3 0 0 1

C M C Ltd. 11 0 7 0 1 3 8 0 6 0 1 1

Carborundum Universal

Ltd.

14 2 8 1 1 2 7 0 5 1 1 0

Chambal Fertilisers &

Chemicals Ltd.

11 1 8 0 0 2 0 0 0 0 0 0

Cipla Ltd. 15 0 10 0 0 5 6 0 6 0 0 0

City Union Bank Ltd. 23 7 3 0 1 12 6 3 0 0 0 3

Clariant Chemicals

(India) Ltd.

14 4 7 1 0 2 9 4 4 1 0 0

Coal India Ltd. 10 9 1 0 0 0 6 6 0 0 0 0

Coromandel International

Ltd.

18 8 7 0 0 3 18 7 9 0 0 2

Crisil Ltd. 24 1 14 0 0 9 17 1 11 0 0 5

Deepak Fertilisers &

Petrochemicals Corpn.

Ltd.

10 1 9 0 0 0 10 4 6 0 0 0

E I D-Parry (India) Ltd. 19 6 9 0 0 4 18 4 11 0 0 3

Eicher Motors Ltd. 20 7 6 0 0 7 9 3 2 0 0 4

F A G Bearings India Ltd. 9 1 8 0 0 0 8 1 7 0 0 0

F D C Ltd. 24 7 7 0 0 10 23 6 9 0 0 8

Federal Bank Ltd. 15 1 9 0 0 5 9 0 8 0 0 1

Finolex Industries Ltd. 14 3 8 0 0 3 10 3 7 0 0 0

G A I L (India) Ltd. 25 12 9 0 0 4 17 7 9 0 0 1

Geodesic Ltd. 43 0 8 1 4 30 21 0 3 0 2 16

Glenmark

Pharmaceuticals Ltd.

25 5 6 0 0 14 9 2 4 0 0 3


58

Godfrey Phillips India

Ltd.

14 1 8 0 0 5 3 0 3 0 0 0

Godrej Industries Ltd. 13 0 8 1 1 3 11 0 7 1 1 2

Graphite India Ltd. 16 1 9 0 0 6 11 1 7 0 0 3

Gujarat Gas Co. Ltd. 15 0 12 0 1 2 10 0 7 0 1 2

Gujarat Mineral Devp.

Corpn. Ltd.

14 0 10 0 0 4 6 0 4 0 0 2

Gujarat State Fertilizers

& Chemicals Ltd.

10 0 8 0 0 2 2 0 2 0 0 0

Hero Motocorp Ltd. 15 2 12 0 0 1 14 1 12 0 0 1

Hexaware Technologies

Ltd.

22 6 10 1 1 4 11 2 7 1 0 1

Hindalco Industries Ltd. 15 1 7 0 1 6 19 3 9 0 1 6

Hindustan Construction

Co. Ltd.

18 0 9 0 0 9 7 0 5 0 0 2

Hindustan Oil

Exploration Co. Ltd.

12 0 9 0 0 3 9 0 8 0 0 1

Hindustan Unilever Ltd. 26 3 16 0 1 6 14 3 9 0 0 2

Honeywell Automation

India Ltd.

13 4 6 0 0 3 10 2 6 0 0 2

Housing Development

Finance Corpn. Ltd.

17 3 6 0 2 6 12 4 4 0 2 2

I C I C I Bank Ltd. 18 1 6 0 3 8 8 0 4 0 0 4

I T C Ltd. 18 0 9 1 0 8 9 0 7 1 0 1

Infosys Ltd. 25 6 16 0 1 2 25 6 17 0 1 1

Infotech Enterprises Ltd. 12 1 7 0 1 3 8 0 4 0 1 3

Ipca Laboratories Ltd. 31 3 13 1 3 11 20 3 11 1 1 4

J M Financial Ltd. 19 1 10 0 0 8 9 3 6 0 0 0


59

Jindal Stainless Ltd. 17 4 7 0 0 6 16 6 7 0 0 3

Jindal Steel & Power Ltd. 20 1 14 0 1 4 14 0 12 0 1 1

Jubilant Life Sciences Ltd. 19 0 10 1 0 8 7 0 3 1 0 3

K P I T Cummins Info

systems Ltd.

38 5 6 0 1 26 19 4 4 0 0 11

Kansai Nerolac Paints

Ltd.

11 3 5 1 1 1 11 5 3 1 1 1

Karnataka Bank Ltd. 24 2 7 0 0 15 18 5 7 0 0 6

Karuturi Global Ltd. 36 3 4 1 2 26 18 3 7 0 0 8

Lakshmi Machine Works

Ltd.

17 6 7 0 0 4 13 5 5 0 0 3

Larsen & Toubro Ltd. 15 1 10 0 0 4 16 0 13 0 0 3

M R F Ltd. 32 11 18 0 0 3 18 2 14 0 0 2

Magma Fincorp Ltd. 26 0 8 0 0 18 7 0 4 0 0 3

Maharashtra Seamless

Ltd.

25 5 8 0 0 12 10 3 5 0 0 2

Mahindra & Mahindra

Ltd.

23 1 13 0 0 9 13 0 9 0 0 4

Marico Ltd. 36 6 23 1 0 6 32 4 23 1 0 4

Mercator Ltd. 35 4 9 1 1 20 13 2 4 1 1 5

Monnet Ispat & Energy

Ltd.

25 3 12 0 0 10 18 4 11 0 0 3

Motherson Sumi Systems

Ltd.

15 0 9 0 0 6 9 0 6 0 0 3

N T P C Ltd. 19 4 11 0 0 4 12 4 8 0 0 0

Nava Bharat Ventures

Ltd.

16 1 7 1 1 6 7 0 5 0 1 1

Oil & Natural Gas Corpn.

Ltd.

21 6 11 1 0 3 11 3 7 1 0 0


60

Orchid Chemicals &


14 0 8 0 0 6 4 0 1 0 0 3

Pantaloon Retail (India)

Ltd.

32 2 8 0 1 21 7 0 2 0 0 5

Pidilite Industries Ltd. 17 1 9 0 0 7 9 0 5 0 0 4

Praj Industries Ltd. 20 9 6 1 0 4 14 6 4 1 0 3

Prism Cement Ltd. 16 4 8 0 0 4 6 2 4 0 0 0

Rallis India Ltd. 15 3 9 0 0 3 7 0 7 0 0 0

Reliance Industrial

Infrastructure Ltd.

9 3 6 0 0 0 2 0 2 0 0 0

Reliance Industries Ltd. 17 1 7 0 1 8 10 0 5 0 0 5

Ruchi Soya Inds. Ltd. 20 0 8 0 1 11 4 0 0 0 0 4

S K F India Ltd. 10 0 10 0 0 0 9 0 9 0 0 0

S R F Ltd. 31 4 10 2 1 14 17 2 8 0 1 6

Shree Cement Ltd. 14 2 11 0 0 1 9 1 8 0 0 0

Sintex Industries Ltd. 10 0 8 0 1 1 4 0 3 0 0 1

South Indian Bank Ltd. 32 1 8 0 0 23 10 0 4 0 0 6

State Bank Of India 14 3 7 0 0 4 9 3 5 0 0 1

Sterlite Industries (India)

Ltd.

21 1 8 0 1 11 15 3 6 0 0 6

Strides Arcolab Ltd. 17 3 5 0 1 8 12 3 3 0 1 5

Sun Pharmaceutical Inds.

Ltd.

23 2 6 1 1 13 16 2 4 1 1 8

Supreme Industries Ltd. 20 2 9 0 2 7 15 2 8 0 2 3

Tata Consultancy Services

Ltd.

34 6 22 0 3 3 12 2 9 0 1 0

Tata Investment Corpn.

Ltd.

17 7 6 0 2 2 9 4 2 0 2 1

Tata Motors Ltd. 14 1 10 0 0 3 10 3 7 0 0 0


61

Source: Computed from on Prowess 3.1.

Tata Power Co. Ltd. 12 1 10 0 0 1 5 0 5 0 0 0

Tata Steel Ltd. 16 4 9 0 0 3 5 0 5 0 0 0

Texmaco Ltd. 14 10 0 0 0 4 8 7 0 0 0 1

Thermax Ltd. 17 6 8 1 0 2 11 2 7 1 0 1

Torrent Pharmaceuticals

Ltd.

11 2 7 0 0 2 8 2 4 0 0 2

Trent Ltd. 19 3 8 1 0 7 11 2 6 2 0 1

Tube Investments Of

India Ltd.

13 2 8 1 0 2 10 3 5 1 0 1

TOTAL 1936 306 878 21 54 677 1129 207 619 17 29 257


62

Table 3.6 shows the number of different types of dividend related events for the

selected 103 companies.

Table 3.6: Number of different types of dividend related events:

Total No. of

Companies

Selected

Total No. of

dividend

related Events

announced

from FY

2001-02 to

2010-11

Standalo

ne

Dividen

d

Events

Dividend

Along

with

Financial

Results

Dividend

announcement

along with and

other Events

excluding

declaration of

Financial Results

Dividend

along with

declaratio

n of

financial

Results

and other

Events

103 1259 306 878 21 54

In order to perform event study analysis it is necessary to exclude such cases

where other events are announced during the window period. The number of

isolated dividend related events falling in the window period of 61 days is arrived

to be 872 with break-up different types of isolated dividend events appearing in

Table 3.7.

Table3.7: Number of isolated dividend events in the window period of 61

days.

Total No.

of

Companie

s Selected

Dividen

d Alone

Events

Dividend

Along with

Financial

Results

Dividend and

Other Events

Except of

Financial

Results

Dividend

along with

financial

Results and

Other

Events

Total No.

of Events

Relevant

for Study

103 207 619 17 29 872

Figure3.2and 3.3 showing the total number of events and isolated final selected

events are shown with the help of pie chart as under:


63

Figure3.2: Number of Different type of Dividend Related Events

Figure 3.3: Number of Isolated Dividend Events in the Window Period of 61

Days

306

878

21

54

Number of different types of dividend related

events Standalone Dividend Events

Dividend Along with Financial

Results

Dividend announcement along

with and other Events

excluding declaration of

Financial Results

Dividend along with declaration

of financial Results and other

Events

207

619

17 29

Number of isolated dividend events in the window period of

61 days Dividend alone event

Dividend Along with financialresults

Dividend with other eventexcept financial results

Dividend with financialresults alon with otherevents


64

The category wise changes in dividends for all the selected companies classified

as Large cap, Mid-cap and Small –cap companies appear in Appendix 3.3 to 3.5.

The percentage changes in dividends have been grouped into twelve categories in

Table 3.8 as under:

Table 3.8: Capitalization based percentage changes in dividends

S.

No

.

Dividend

change

category

Number of isolated dividend events

Large Cap

Companies

Mid Cap

Companies

Small Cap.

Companies

Total

1 Increase of

minimum 10%

16 11 32 59

2 Decrease of

minimum 10%

09 00 07 16

3 Increase of

minimum 15%

20 20 39 79

4 Decrease of

minimum 15%

08 05 11 24

5 Increase of

minimum 20%

11 14 29 54

6 Decrease of

minimum 20%

07 04 11 22

7 Increase of

minimum 25%

39 21 72 132

8 Decrease of

minimum 25%

27 11 66 104

9 Increase of

minimum 50%

or above

57 25 115 197

10 Decrease of

minimum 50%

or above

28 06 38 72

11 Dividend

initiation

11 09 44 64

12 Dividend

omissions

09 07 33 49

Total number

of events

242 133 497 872

Thus a total of 872 isolated events for 103 sampled companies constitute our

sample frame for the events study analysis.


65

3.3 Formulation of Hypothesis:

The following hypotheses have been formulated to study the effect of change

in dividend on the respective share prices of the selected companies:

3.3.1 Event : Dividend Decision along with declaration of financial results

H0: There is no relationship between dividend change announcement (both

increase or decrease) on the share prices of the Indian Stock market

listed companies when dividend announcement is made along with

declaration of financial results.

3.3.2 Event: Standalone dividend alone announcement

H0: There is no relationship between standalone t dividend change


companies.

3.3.3 Event : Dividend initiation

H0: There is no relationship between dividend initiation announcements on the

share prices of the Indian Stock Market listed companies.

3.3.4 Event : Dividend Omission

. H0: There is no relationship between dividend omission announcements on the

share prices of the Indian Stock Market listed companies.

The proposed hypotheses are summarized in table 3.9:

Table 3.9: Summarization of Proposed Hypotheses

S.No. Null Hypotheses (Ho )

1 H0: There is no relationship between event dividend change along

with financial results announcement and change in share

prices of the Indian Stock Market listed companies.

2 H0: There is no relationship between event dividend change

announcement and change in share prices of the Indian Stock

Market listed companies.

3 H0: There is no relationship between event dividend initiation



4 H0: There is no relationship between event dividend omission




66

3.4 Data Collection:

This study used CMIE data base for the collection of data with the help of

software called PROWESS. As claimed by organization itself “Prowess is a

database of the financial performance of Indian companies. Annual Reports of

individual companies are the principal source of this database. The database

covers listed and unlisted companies. For listed companies, the database includes

data sourced from the stock exchanges. Prowess contains time-series data from

1989-90 onwards. It is updated continuously. Therefore Prowess database has

been used for the collection of data for the period of 10 years from FY 2001-02 to

FY 2010-11. Data collected from Prowess 3.1 includes dividend rate, dividend

announcement date, closing prices of the selected companies for sampled

companies.

3.5 Analytical tools For Event Study : GARCH Model

To examine the impact of any dividend related event on share price, abnormal

returns have been calculated using GARCH (p, q) model as given by Bollerslev

(1987). The decision to apply GARCH (p, q) model for the estimation of abnormal

return over simple OLS model is based on resolution of concerns regarding

autocorrelation and heteroskadasticity in residuals as advocated by Serra (May

2002) and Pynnonen (2005).

The current daily return Ri,t is given by

Ri,t =Pi,t − Pi,t−1

Pi,t−1 (1)

Where Pi,t and Pi,t−1 represent closing prices of the current date and previous date

respectively.

The daily returns of individual scripts and of the market accordingly have been

calculated using closing BSE share prices for each of the 20 companies and

BSE’s closing index for the BSE‘s index return respectively.


67

The data has been checked for stationarity using Augmented Dickey Fuller and

Phillips- Perron test statistics popularly known as Unit Root test.

The abnormal return of security in time period t can be calculated with the help of

formula given below:

ARi,t = Ri,t − E(Ri.t) (2)

where E(Ri,t) corresponds to expected return of security i in time period t and is

given by

E(Ri,t) = αi + βirRm,t (3)

The expected return using market model (GARCH (p, q)) is given by

E(Rit) = ∝i,t+ βi,tRm,t + εi,t (4)

Subject to condition of error term εi,t~N(0, σi,t2 ) where variance in the error term

is given by

σi,t2 = γi,0 + γ1εi,t−1

2 + ⋯ + γpεi,t−p2 + θi,1σi,t−1

2 + ⋯ + θi,pσi,t−p2 (5)

Equation (4) is simple ordinary least squares (OLS) model which puts the

condition for mean of error term as zero and constant variance. Equation (5)

includes volatility measured by the term error square lagged and lags of volatility

itself to calculate variance of error.

We have relied upon the use of Breusch-Godfrey Serial Correlation LM test and

Heteroskedasticity: ARCH test on the residuals calculated by using simple OLS

model. To ensure residuals are free from autocorrelation and heteroskedaticity,

residual diagnostic tests are further performed on the residuals obtained by using

GARCH (p, q) model.

The cumulative average abnormal return (CAAR) over the window period for n

number of events being considered is given by


68

CAAR = ∑ AARt

t

(6)

Where AARt = 1

n∑ ARit

ni=1 (7)

The hypothesis testing has been carried out using t-test as favoured by Serra A. P.

(May 2002) to determine whether abnormal return realized during event window

is significant or happened by chance.

3.5.1. Hypothesis Testing Tool:

For the testing of hypothesis that abnormal return realized due to particular event

announcement is significant or not, t –test is employed.

t =AARi

σ/√n

AARi = Average abnormal return for security ith

σ = standard deviation of abnormal return for security ith

n= number of observations, or time period.

EVENT STUDY ANALYSIS OF DIVIDENDDECISONS

69

CHAPTER 4:

EVENT STUDY ANALYSIS OF DIVIDEND DECISIONS

In this Chapter Event Analysis of Dividend related decision of the selected sample

of companies has been performed.

The selection of companies constituting the sample of 103 listed companies

fulfilling the criterion of being listed in BSE as well as NSE to represent stock

market listed companies in India has been explained in Chapter III.

The events selected for the analysis fall into three broad categories as under:

i) Dividend announcement along with declaration of financial results

ii) Standalone dividend increase or decrease decision

iii) Dividend initiation or omission decision

Each of the above three categories of dividend decisions has been analyzed for

range of dividend announcement levels from increase or decrease of 10% ,

15%,20%, 25 % ,and 50 % and above. The total number of events analyzed

number 872 covering a period of 10 ten years from FY 2001-02 to 2010-11 in

respect of 103 companies constituting the sample. The details of events to study

signaling effect through event analysis appears in Table 4.1

Table 4.1: Details of dividend events analyzed

Dividend announcement along with declaration of financial results

S.

No.

Dividend Change

Announcement

Large

Cap

Mid

Cap

Small

Cap

Total

1 Increase of minimum 10% 15 10 26 51

2 Decrease of minimum 10% 09 00 07 16





70




9 Increase of minimum 50% or

above

40 19 80 139

10 Decrease of minimum 50% or

above

27 06 30 63

Sub-total 182 102 299 583

Standalone dividend increase or decrease decision

S.

No.

Dividend Change Announcement Large

Cap

Mid Cap Small

Cap

Tot

al









9 Increase of minimum 50% or above 17 06 35 58

10 Decrease of minimum 50% or above 01 00 08 9

Sub- Total 40 15 121 176

Dividend initiation or omission decision

S.

No.

Dividend Change Announcement Large

Cap

Mid Cap Small

Cap

Tot

al

1 Dividend initiation 11 09 44 64

2 Dividend omissions 09 07 33 49

sub- Total 20 16 77 113

Grand Total 242 133 497 872

The event analysis has been carried out for each of the categories of dividend

related events as explained in the Chapter III on Research Methodology.

The category wise event analysis follows:

4.1 Event Dividend Increase/Decrease announcements along with Financial

Results:

4.1.1 Event: Dividend Increase/Decrease announcement of 10 per cent

along with financial Results

The calculated AAR and CARR values (See Appendix 4.1) have been plotted for

the 61 days event window and shown in Panel 4.1 depicting trend in AAR AND

CAAR.


71

Panel 4.1: Figure of calculated AAR and CAAR values for the event dividend

increase/decrease announcement of 10 per cent along with financial

results.

The trends associated in daily AAR and CAAR for respective event over the event

window have been analyzed to draw inferences about the signaling effect of the

event on share price movement in the table below:

-.06

-.05

-.04

-.03

-.02

-.01

.00

.01

.02

.03

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Large CapAAR and CAAR Dividend increase along: 10 per cent

-.02

.00

.02

.04

.06

.08

.10

.12

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Large Cap AAR and CAAR Dividend decrease along:10 per cent

-.06

-.04

-.02

.00

.02

.04

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Mid Cap AAR and CAAR Dividend increase along: 10 per cent

-.06

-.04

-.02

.00

.02

.04

.06

.08

.10

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Small Cap AAR and CAAR Dividennd increase Along: 10 per cent

-.1

.0

.1

.2

.3

.4

.5

.6

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR Dividend decrease Along: 10 per cent


72

Table 4.2: Test of hypotheses at 5 % level of significance for 10% dividend

change announcement along with financial results:

S.

No.

Hypothesis

Event day statistics Result

ARRa

t-stat.a p-stat

a

H:1.1

The 10 per cent change in dividend

increase announcement for the Large Cap

companies is not associated with

subsequent change in share price.

-0.0097

1.2994

0.1988

Not

Rejected

H:1.2


decrease announcement for the Large Cap



-0.0058

0.5928

0.556

Not

Rejected

H:1.3


increase announcement for the Mid Cap



0.0042

0.3388

0.7360

Not

Rejected

H:1.4


decrease announcement for the Mid Cap


subsequent change in share price

Number of events are not sufficient to be

included in the final study

H:1.5


increase announcement for the Small Cap



0.0255

2.7587

0.0077

Rejected

H:1.6


decrease announcement for the Small Cap



0.0143

0.4110

0.6825

Not

Rejected

a

Calculated values based on Prowess 4.1 database

In case of 10 per cent dividend increase/ decrease along with financial results

announcement by Large Cap companies, AAR values on the respective event day

indicates negative reaction to the event announcement. In both the cases

movement in prices is insignificant at 5% level of significance by using t-test and

corresponding calculation of p-value as shown in the Table 4.2.


73

In case of Mid Cap companies, dividend increase announcement along with

financial results announcement, the AAR is found to be positive but not

significant as shown in the Table 4.2.

In case of Small Cap companies, we find that AAR for dividend increase

announcement is positive and significant while in case of dividend decrease

announcement, AAR is positive but insignificant.

From Table 4.2, it following inferences can be drawn at 5 % level of significance:

i) There is not sufficient evidence to reject the null hypotheses for the

events dividend increase along with financial results announcement for

Large Cap companies,

ii) There is not sufficient evidence to reject the null hypotheses for the

events dividend decrease along with financial results announcement for


iii) There is not sufficient evidence to reject the null hypotheses for the


Mid Cap companies.

iv) There is sufficient evidence to reject the null hypothesis for dividend

increase for small cap companies at 5 % level of significance.

v) There is not sufficient evidence to reject the null hypotheses for the


small cap companies.

To examine the efficiency of the Indian stock market, analysis of daily movements

in AAR and CAAR to capture relative pronounced period of abnormal returns

provides interesting insights. Table 4.3 shows the positive and pronounced periods

of significant values of CAAR.

Table 4.3: Positive and Pronounced periods of significant CAAR values at

5% level of significance during sixty- one day event period for

the event 10 per cent change in dividend along with financial

results.


74

Event

Period of Positive CAAR values

a

Pronounced period of

significant CAAR valuesa

Pre event

Period

Event

Day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-30 to–28,

-25to -22

No No No No +14 to +19,

+23 to +30

Large Cap

dividend

decrease

-29 to -01 00 +01 to +30 -20 to -16 No +13 to +30

Mid Cap

dividend

increase

-30 to -27 No No -04 to-03 No +11 to +14,

+27 to + 30

Mid Cap

dividend

decrease

Events are not sufficient for final study

Small Cap

dividend

increase

-28 to-01

00 +01 to +30 -12 to -01

00 +01 to +20

Small Cap

dividend

decrease

-25 to -14,

-11 to -01

00 +01 to+ 30

No No +06 to+ 30

a Observed period of calculated values based on Prowess 4.1 database

In the event 10 per cent dividend increase announcement along with financial

results in case of large cap companies, the CAAR values during 61 days period

are found to be positive for a very short time period from -30 to -28 days and -25

to -22 days. During rest of the event period CARR values are found to be

negative . The negative trend becomes sharper from the period of +14 to +19 and

+23 to +30 days.

In case of 10 per cent dividend decrease announcement along with financial

results by large cap companies the CARR values remain positive with the

exception of -30 day. As seen in Table 4.3, positive CARR values become more

pronounced for a -20 to -16 and +13 to 30 days. This is quite in contrast to


75

dividend increase announcement in case of large cap companies where negative

trend is observed.

While analyzing 10 per cent dividend increase announced by mid cap companies,

positive CAAR values during are seen over a very short-time from -30 to -27

days. Rest of the event period is characterized by negative trend in CAAR values

which becomes sharper from -04 to -03 days, +11 to +14 days and +27 to +30

days.

A similar trend is seen in case of small cap companies where it observed that

CARR values are positive for most of the event period except -30 to -29 days. It is

also seen that this positive trend becomes sharper from the period of -12 to -01 and

+01 to +20 days including event day.

In case of 10 per cent dividend decrease announcement by small cap companies

positive trend is seen in CAAR values during the event period with the exception -

30 to -26 days and from -13 to -10 days when it is negative. The positive trend is

more pronounced for a very longer duration from +06 to+ 30 days. This type of

reaction is quite in contrast to dividend increase announcement of 10 % by small

cap companies.

4.1.2 Event: Dividend Increase/Decrease Announcement of 15 per cent

along with Financial Results

The calculated AAR and CAAR values (See Appendix 4.2) have been plotted for

the 61 days event window and shown in Panel 4.2 depicting trend in AAR and

CAAR.


76



results



event on share price movement as well as the relative efficiency of the stock

market in response to price reaction with summaries appearing in the table below:

-.06

-.05

-.04

-.03

-.02

-.01

.00

.01

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Large Cap AAR and CAAR Dividend increase along: 15 per cent

-.04

-.02

.00

.02

.04

.06

.08

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Large Cap AAR and CAAR Dividend decrease along: 15 per cent

-.04

-.02

.00

.02

.04

.06

.08

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Mid Cap AAR and CAAR Dividend increase along: 15 per cent

-.06

-.05

-.04

-.03

-.02

-.01

.00

.01

.02

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Small Cap AAR and CAAR Dividend increase Along: 15 per cent

-.150

-.125

-.100

-.075

-.050

-.025

.000

.025

.050

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR Dividend decrease along: 15 per cent


77

Table 4.4: Test of hypotheses at 5 % significance level for 15% dividend


S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1


increase announcement for the Large

Cap companies is not associated with


-0.0190

3.4947

0.0009

Not

Accepted

H:1.2


decrease announcement for the Large



-0.0202

1.6784

0.0985

Accepted

H:1.3


increase announcement for the Mid



0.0049

0.4341

0.6658

Accepted

H:1.4


decrease announcement for the Mid



Number of events are not sufficient to be

included in the final study

H:1.5


increase announcement for the Small



0.0030

0.3816

0.7041

Accepted

H:1.6


decrease announcement for the Small



-0.0120

0.7700

0.4443

Accepted

a




indicate negative reaction to the event announcement. In case of dividend increase

along with financial results, the reaction to the event is significant. In cases of

dividend decrease along with financial results the reaction to this information is


78

insignificant. The movements in the prices due in response to event announcement

are tested at 5% level of significance by using t-test and corresponding calculation

of p-value as shown in the Table 4.4.

In case of Mid Cap companies, dividend increase along with financial results

announcement, the AAR is found to be positive but not significant as shown in

Table 4.4. Due to insufficient number of events, the dividends decrease along with

financial results announcement in case of mid cap companieshas not been

analyzed.


announcement is positive though insignificant while in case of dividend decrease

announcement, AAR is negative and insignificant.

From Table 4.4, the following inferences can be drawn.

i) There is sufficient evidence to reject the null hypothesis for the events

dividend increase along with financial results announcement for Large

Cap companies,






Mid Cap companies.

iv) There is not sufficient evidence to reject the null hypotheses for the


small Cap companies.





79


in AAR and CAAR has been done in Table 4.5 to capture relative pronounced

period of abnormal returns.

Table 4.5: Pronounced periods of significant CAAR values at 5% level of

significance during sixty- one day event period for the event 15 per

cent change in dividend along with financial results.

Event

Period of Positive CAAR values a



Pre event

Period

Event

Day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-04 to–02 No No No No +03 to +06,

+10 to +30

Large Cap

dividend

decrease

-23 to -01 00 +01 to +11,

+17 to +30

No No +21 to +30

Mid Cap

dividend

increase

-25 to -12,

-10 to -01

00 +01 to +02,

+06 to +16,

+27 to +30

-06 to -02 00 No.

Mid Cap

dividend

decrease

Events are not sufficient to be included in the final study

Small Cap

dividend

increase

No

No No -24 to -17,

- 05 to -03

No +13 to +30

Small Cap

dividend

decrease

-25 to -23,

-09 to -01

00 No No No +11 to+ 25,

+27 to +30


The event of 15 per cent dividend increase announced along with financial results

by large cap companies, the CAAR values during 61 days period to be positive for

a very short time period from -04 to -02 days. During rest of the period CAAR

values are found to be negative. The negative trend is found to be sharper over the

period of +03 to +06 and +10 to +30.


80

In case of the event ‘15 per cent dividend decrease along with financial results

announcement’ by large cap companies, the CAAR values during 61 days period

are found to be positive for the period of -23 to -01 days and +01 to +11 and +17

to + 30 days including event day. This positive period become pronounced for the

period of +21 to +30 days.

In case of event ‘15 per cent dividend increase along with financial results

announcement’ by mid cap companies, the CAAR values during 61 days period

are found to be positive for a period of -25 to -12 days, -10 to -01, event day, +01

to +02, +06 to +16 and +27 to +30 days. The positive CAAR trends become

sharper for a very short duration from the period of -06 to -02 and on event day.

During rest of the period CAAR remains negative.

In case of event ‘15 per cent dividend increase along with financial results

announcement’ by small cap companies, the CAAR values during 61 days period

are found to be negative for whole of the period. This negative trend remains

sharper for the period of -24 to -17, -05 to -03 and +13 to +30 days.

In case of event 15 per cent dividend decrease along with financial results

announcement by small cap companies, the CAAR values during 61 days period

are found to be positive except for the period of -25 to -23 days and from -09 to -

01 days. The CAAR values are not only positive but are also pronounced for a

very longer duration from +11 to+ 25 days and from +27 to +30 days.





CAAR.


81



results.




market in response to price reaction with summaries appearing in the Table 4.6

below:

-.04

-.02

.00

.02

.04

.06

.08

.10

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR


-.08

-.04

.00

.04

.08

.12

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32


-.04

.00

.04

.08

.12

.16

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Mid Cap AAR and CAAR Dividend increase Along: 20 per cent

-.08

-.04

.00

.04

.08

.12

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32


-.05

.00

.05

.10

.15

.20

.25

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR Dividend decreas Along: 20 per cent


82



S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1





-0.0045

0.4263

0.6714

Accepted

H:1.2





-0.0083

0.6625

0.5102

Accepted

H:1.3





-0.00087

0.7128

0.4787

Accepted

H:1.4




subsequent change in share price

Events are not sufficient to be included in

final study

H:1.5





0.0139

1.1797

0.2428

Accepted

H:1.6





-0.0207

1.5159

0.1348

Accepted

a




indicate negative reaction to the event announcement. In both the cases dividend

increase and decrease along with financial results the reaction to the event is


83

insignificant at 5% level of significance by using t-test and corresponding

calculation of p-values as shown in the Table 4.6.

In case of Mid Cap companies, dividend increase along with financial results

announcement, the AAR is found to be negative but not significant as shown in

the Table 4.6. No event of dividend decrease announcement has been selected due

to insufficient announcement under this category.

In case of Small Cap companies, we find that AAR for dividend increase along

with financial results announcement is positive and insignificant while in case of

dividend decrease announcement, AAR is negative and insignificant.

From Table 4.6, following inferences can be drawn for events of 20 per cent

dividend increase/ decrease along with financial results announcement:

i) There is not sufficient evidence to reject the null hypotheses the events


Cap companies,






Mid Cap companies.








in AAR and CAAR has been done in Table 4.7 to capture relative pronounced

period of abnormal returns.


84

Table No. 4.7: Pronounced periods of significant CAAR values at 5% level of

significance during sixty- one day event period for the event 20 per cent change in

dividend along with financial results.

Event


a



Pre event

Period

Event

Day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap Dividend increase

-14 to–01 00 +01to +03,

+07 to +30

No No +23 to +30

Large Cap

dividend

decrease

-24 to -01 00 +01 to +30 -15 to -12,

-02 to -01

00 +01 to +02,

+07 to +11,

+13 to +30

Mid Cap

dividend

increase

-30 to -01 00 +01 to +14,

+17 to +19

-09 to -01 00 +01 to +07

Mid Cap

dividend

decrease

Events are not sufficient to be included in final study

Small Cap

dividend

increase

-12 to-05,

-03 to -01

00 +01 to +30 No. No. +02 to +13

Small Cap

dividend

decrease

-26 to -24,

-22 to -01

00 +01 to+ 30

No No +06 to+ 30


For the event of 20 per cent dividend increase along with financial results

announcement by large cap companies, the CAAR values during 61 days period

are found to be positive for the duration of -14 to -01, event day, +01 to +03 and

+07 to +30 days. This positive trend becomes sharper for the period of +23 to +30

days. During rest of the period CAAR remains negative.


85

In case of the event of 20 per cent dividend decrease along with financial results

announcement by large cap companies, the CAAR values during 61 days period

are found to be positive for the period of -14 to -01 days, +01 to +03 and +07 to

+ 30 days including event day. The CAAR values become pronounced for a longer

period of -15 to -12, -02 to -01, +01 to +02, +07 to +11 and +13 to +30 days.

By examining the CAAR values during 61 days period are found to be positive

for a period of -30 to -01 days, event day, +01 to +14 and +17 to + 19 days. This

positive trend becomes sharper for a duration of -09 to -01, covering the event

day and from +01 to +07 days for the event of 20 per cent dividend increase along

with financial results announcement by mid cap companies . During rest of the

period CAAR values remains negative.

While examining the event of 20 per cent dividend increase along with financial

results announcement by small cap companies, it is observed that CAAR values

during 61 days period are positive for the period of -12 to -05, -03 to -01, event

day and +01 to + 30 days. This positive trend become pronounced for the period

of +06 to +30 days.

CAAR values are found to be positive for the event of 20 per cent dividend

decrease along with financial results announcement by small cap companies for

the period of -26 to -24 days, -22 to -01 days and of +01 to + 30 days. The positive

trend in CAAR values are observed to be more pronounced for duration of +06 to

+ 30 days.





CAAR.


86



results





-.02

-.01

.00

.01

.02

.03

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR


-.02

-.01

.00

.01

.02

.03

.04

.05

.06

.07

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32


-.04

.00

.04

.08

.12

.16

.20

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR


-.05

.00

.05

.10

.15

.20

.25

.30

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Mid Cap AAR and CAAR Dividend decrease Along: 20 per cent

-.02

.00

.02

.04

.06

.08

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR Dividend increase Along:25 per cent

-.02

-.01

.00

.01

.02

.03

.04

.05

.06

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32



87



S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1





-0.0069

1.6373

0.1068

Accepted

H:1.2





0.0070

1.1866

0.2400

Accepted

H:1.3





0.0032

0.3727

0.7107

Accepted

H:1.4





-0.0034

0.2693

0.7887

Accepted

H:1.5





0.0043

0.8752

0.3850

Accepted

H:1.6





0.0141

1.9409

0.0570

Accepted

a




indicates negative reaction to the event announcement and a positive reaction to

the event dividend decrease along with financial results announcement. In both the


88

cases movement in prices is insignificant at 5% level of significance by using t-

test and corresponding calculation of p-value as shown in the Table 4.8.

In case of Mid Cap companies, dividend increase/ decrease along with financial

results announcement, the AAR is found to be positive for event dividend

increase along with financial results announcement and negative for dividend

decrease along with financial results announcements. This movement in share

prices is insignificant at 5% level of significance as shown in Table 4.8.

In case of Small Cap companies, we find that AAR for dividend increase/ decrease

along with financial results announcement is positive and insignificant as shown

in Table 4.8.

From Table 4.8, following inferences can be drawn at 5 % level of significance:

i) There is not sufficient evidence to reject the null hypotheses for the


Large Cap companies.






Mid Cap companies.



Mid Cap companies.




vi) There is not sufficient evidence to reject the null hypotheses for the




89


in AAR and CAAR has been performed to capture relative pronounced

movements in abnormal returns. Table 4.9 shows the positive and pronounced

periods of significant values of CAAR.


significance during sixty- one day event period for the event 25 per

cent change in dividend along with financial results.

Event


a



Pre event

Period

Event

Day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-27 to–01 No +05to +14,

+16 to +18,

+28 to +30

- 16 to – 14 No No.

Large Cap

dividend

decrease

-29 to -17,

-13 to -10,

-08 to -07

No +08 to +30 No No +21 to +30

Mid Cap

dividend

increase

-30 to -01 00 +01 to +30 -12 to -01 00 +01 to +30

Mid Cap

dividend

decrease

-30 to -01 00 +01 to +30 -05 to -01 00 +01 to +30

Small Cap

dividend

increase

-30 to-25,

-16 to -12,

-09 to -01

00 +01 to +30 No No +01 to +04,

+16 to +30

Small Cap

dividend

decrease

-01 to -30

00 +01 to+ 30

-16 to -01 00 +01 to+ 14



90

From the above Table it can be clearly seen that for the event ‘25 per cent

dividend increase along with financial results announcement’ by large cap

companies, the CAAR values during 61 days period are positive for a period of -

27 to -01, +05 to + 14, + 16 to + 18 days and +28 to +30 days. During rest of the

period it remains negative. This positive trend becomes sharper only for the period

of -16 to -14 days.

The CAAR values during 61 days period are found to be positive for the period -

29 to – 17, -13 to -10, -08 to -07 and + 08 to + 30 days in case of twenty five

percent dividend decrease along with financial results announcement by large cap

companies. These positive values become pronounced for the duration of +21 to

+30 days.

If we look at the behavior of mid-cap companies in response to twenty five

percent increase in dividend accompanied by financial results, it is seen that the

CAAR values during 61 days period are positive for a period of -30 to -01 days,

event day and +01 to + 30 days. This positive trend becomes sharper for a very

longer duration of - 12 to -01, on event day and +01 to + 30 days.

The CAAR values for the event of 25 per cent dividend decrease along with

financial results announcement by mid cap companies during 61 days period are

found to be positive for a period of -30 to -01 days, event day and +01 to + 30

days. This positive trend becomes sharper for a very longer duration of - 05 to -01,

on event day and +01 to + 30 days.

In case of event 25 per cent dividend increase along with financial results

announcement by small cap companies during 61 days period the CAAR values

are found to be positive for the period of -30 to -25, -16 to -12, -09 to -01 event

day and +01 to + 30 days. This positive trend becomes pronounced for the period

of + 01 to + 04 and +16 to +30 days.

Positive values of CAAR are observed for the event of 25 per cent dividend

decrease along with financial results announcement by small cap companies for

the period of -30 to -01 days, event days and from +01 to + 30 days. These CAAR


91

values are not only positive but they are also pronounced for a very longer

duration of -16 to -01 days, event day and +01 to + 14 days.

4.1.5 Event: Dividend Increase/Decrease Announcement of 50 per cent or

more along with Financial Results



CAAR.



results

-.02

-.01

.00

.01

.02

.03

.04

.05

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR


-.06

-.05

-.04

-.03

-.02

-.01

.00

.01

.02

.03

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32


-.08

-.04

.00

.04

.08

.12

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR


-.05

.00

.05

.10

.15

.20

.25

.30

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Mid Cap AAR and CAAR Dividend decrease along: 50 per cent

-.01

.00

.01

.02

.03

.04

.05

.06

.07

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR


-.02

-.01

.00

.01

.02

.03

.04

.05

.06

.07

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32



92

The trends associated in daily AAR and CAAR for respective events over the

event window have been analyzed to draw inferences about the signaling effect of

the event on share price movement as well as the relative efficiency of the stock




S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1


increase along with financial results

announcement for the Large Cap



0.0133

2.3759

0.0207

Rejected

H:1.2


decrease along with financial results

announcement for the Large Cap



0.0058

0.9286

0.3568

Accepted

H:1.3



announcement for the Mid Cap companies

is not associated with subsequent change

in share price.

0.0159

1.2321

0.2227

Accepted

H:1.4



announcement for the Mid Cap companies

is not associated with subsequent change

in share price

-0.0087

0.3680

0.7142

Accepted

H:1.5



announcement for the Small Cap



0.0018

0.5177

0.6066

Accepted



93

H:1.6 decrease along with financial results

announcement for the Small Cap



-0.0003 0.0626 0.9503 Accepted

a




indicate positive reaction to the event announcement. The reaction in prices is

significant in case of dividend increase while in case of dividend decrease along

with financial results announcement reaction is insignificant at 5% level of

significance as shown in the Table 4.10.

In case of Mid Cap companies, dividend increase/ decrease dividend along with

financial results announcement, the AAR is found to be positive for event

dividend increase along with financial results announcement and for dividend

decrease along with financial results is negative as shown in Table 4.10.The

reaction in the prices is insignificant for both the events (i. e. dividend

increase/decrease along with financial results).

In case of Small Cap companies, we find that AAR for dividend increase/ decrease

along with financial results announcement is positive/ negative respectively for

both type of event while the reaction in the share prices is insignificant.

From Table 4.10, the following inferences can be drawn:



Cap companies,

ii) There is not sufficient evidence to reject the null hypothesis for the

events dividend decrease along with financial results announcement

for Large Cap companies,


94

iii) There is not sufficient evidence to reject the null hypothesis for the

events dividend increase as well as decrease along with financial

results announcement for Mid Cap companies.

iv) There is not sufficient evidence to reject the null hypothesis for the

events dividend increase as well as dividend decrease along with

financial results announcement for small Cap companies.

To examine the efficiency of the Indian stock market, analysis of daily

movements in AAR and CAAR to capture relative pronounced movements in

abnormal returns appears in Table 4.11 showing the positive and pronounced



significance during sixty- one day event period for the event 50

per cent change in dividend along with financial results.

Event




Pre event

Period

Event

Day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-23 to–03 00 +01to +30 - 16 to – 11 No +13 to +16,

+21 to + 30

Large Cap

dividend

decrease

No No No -07 to -01 00 +01 to +04,

+21 to +30

Mid Cap

dividend

increase

-27 to -01 00 +01 to +15 -08 to -01 00 +01 to +04

Mid Cap

dividend

decrease

-30 to -01 00 +01 to +30 -27 to -05 No No

Small Cap

dividend

increase

-29 to-01

00 +01 to +30 -07 to -01 00 +01 to +30


95

Small Cap

dividend

decrease

-30 to -

13,

-10 to -01

00 +01 to+ 30

No No +01 to+ 30


Examination of CAAR values during 61 days period for the large cap companies

shows the positive values for a period of -23 to -03, event day, and +01 to + 30

days. This positive trend becomes sharper for a longer period of -16 to -11, +13 to

+16 days and +21 to + 30 days. During rest of the period it remains negative for

the event.

While analyzing the event 50 per cent dividend decrease along with financial

results announcement by large cap companies, the CAAR values during 61 days

period show a negative trend during the period of event window. This is also

observed that CAAR values are pronounced for duration of -07 to -01 days, event

day, +01 to +04 and +21 to +30 days.

The trend analysis of CAAR values during 61 days period for the event 50 per

cent dividend increase along with financial results announcement by mid cap

companies are found to be positive for a period of -27 to -01 days, event day and

+01 to + 15 days. It is also seen that the positive trend become sharper for a

duration of - 08 to -01, on event day and +01 to + 04 days.

The trend in CAAR values for the event of 50 per cent dividend decrease along

with financial results announcement by mid cap companies during 61 days period

are found to be positive for a period of -30 to -01 days, event day and +01 to + 30

days. It is also seen that the positive trend become sharper for a duration of - 27 to

-05 days.

For the event ‘50 per cent dividend increase along with financial results

announcement’ by small cap companies, the trend in CAAR values during 61

days period is found to be positive for the period of -29 to -01, event day and +01

to + 30 days. It is also seen that this positive trend become pronounced for the

period of -07 to -01 days, event day, and + 01 to +30 days.


96

While in case of ‘50 per cent dividend decrease along with financial results

announcement’ by small cap companies, the CAAR values during 61 days period

are found to be positive for the period for -30 to -13 days,-10 to -01 days, event

days and from +01 to + 30 days. It is also observed that CAAR values are also

pronounced for a very longer duration +01 to + 30 days.

4.2 Event: Dividend Increase/Decrease announcement:

4.2.1 Event: Dividend Increase/Decrease announcement of 10 per cent.



CAAR


increase/decrease announcement of 10 per cent.





-.050

-.025

.000

.025

.050

.075

.100

.125

.150

-40 -30 -20 -10 0 10 20 30 40

DAYS

AAR

CAAR

Small Cap AAR and CAAR Dividend increase alone: 10 per cent


97


change announcement:

S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1





Events are not sufficient to be included

in final study.

H:1.2






in final study.

H:1.3






in final study.

H:1.4






in final study.

H:1.5





0.0395

2.3612

0.0215

Rejected

H:1.6






in final study.

a Calculated values based on Prowess 4.1 database

The number of events for standalone dividend decision of 10 per cent increase/

decrease announcement by Large Cap and Mid Cap companies are insufficient

for the purpose of analysis .


98

The trend in AAR for 10 per cent dividend increase announcement for the small

cap companies is positive and significant while in case of dividend decrease no

event was found to exist in the sample.



dividend increase announcement for small Cap companies.


in AAR and CAAR to capture relative pronounced movements in abnormal

returns appears in Table 4.13 showing the positive and pronounced periods of

significant values of CAAR.



per cent change in dividend

Event




Pre event

Period

Event

day

Post event

Period

Pre event

Period

Event

day

Post

event

period

Large Cap

Dividend increase


Large Cap

dividend decrease


Mid Cap dividend

increase


Mid Cap dividend

decrease


Small Cap

dividend increase

-24 to-23,

-21 to -19,

-10 to -01

00 +01 to +30 No No +16 to

+30

Small Cap

dividend decrease



99


The CAAR values during 61 days for the event of 10 per cent dividend increase

announcement by small cap companies for the period of -24 to -23, -21 to -19

days, -10 to -01 days, event day and +01 to + 30 days are positive. It is also seen

that this positive trend become pronounced for the period of + 16 to +30 days.




CAAR.


increase/decrease announcement of 15 per cent alone



-.16

-.12

-.08

-.04

.00

.04

.08

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Mid Cap AAR and CAAR Dividend increase Alone: 15 per cent

-.04

-.02

.00

.02

.04

.06

.08

.10

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Small Cap AAR and CAAR Dividend increase alone : 15 per cent

-.08

-.04

.00

.04

.08

.12

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR Dividend decrease alone: 15 per cent


100




alone change announcement:

S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1






final study

H:1.2





No event is selected under this category

H:1.3





0.0007

0.0394

0.9687

Accepted

H:1.4






final study

H:1.5

The 15per cent change in dividend




0.0041

0.3207

0.7496

Accepted

H:1.6





-0.0128

0.7659

0.4467

Accepted

a



101

In case of Mid Cap companies, for 15% dividend increase announcement, the

AAR value is found to positive for event day but this reaction is insignificant.

In case of Small Cap companies, we find that AAR for 15 % dividend increase

announcement is positive and insignificant. In case of event 15% dividend

decrease announcement, AAR is negative and insignificant.


i) There is not sufficient evidence to reject the null hypothesis for the

events dividend increase announcement for Mid Cap companies.


events dividend increase/decrease announcement for small Cap

companies.



returns provides interesting insights. Table 4.15 shows the positive and

pronounced periods of significant values of CAAR.


significant during sixty- one day event period for the event 15 per

cent change in dividend alone:

Event




Pre event

Period

Event

day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase


Large Cap

dividend

decrease


Mid Cap

dividend

increase

-08 to -04 No No No No +01 to

+04,

+06 to +15


102

Mid Cap

dividend

decrease


Small Cap

dividend

increase

-29 to-22,

-20 to -18,

-13 to -01

00 +01 to +30 No 00 +01 to +30

Small Cap

dividend

decrease

-26 to -01

00

+01 to+ 30,

-21 to -

01

00 +15 to+ 17


In case of 15 per cent dividend increase announcement by mid cap companies, the

CAAR values during 61 days period are found to be positive for a period of -08 to

-04 days. Most of the period CAAR is found to be negative and remain sharper for

aduration of +16 to + 30 days.

For the event of 15 per cent dividend increase announced by small cap companies,

the CAAR values during 61 days period are found to be positive for the period of

-29 to -22, -20 to -18 days, -13 to -01 days, event day and +01 to + 30 days. This

positive trend becomes pronounced for the period of + 01 to +30 days.

The CAAR values during 61 days period are found to be positive for -26 to -01

days, event days and from +01 to + 30 days for 15% dividend decrease

announcement by small cap companies. These CAAR values are not only positive

but they are also pronounced over a longer duration of -21 to -01, event day and

+15 to + 17 days.




CAAR.


103









S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1





0.0211

1.5857

0.1181

Accepted

H:1.2






in final study

H:1.3






in final study

H:1.4





in final study

-.08

-.04

.00

.04

.08

.12

-40 -30 -20 -10 0 10 20 30 40

DAYS

AAR

CAAR

Large Cap AAR and CAAR Dividend increase Alone: 20 per cent

-.08

-.04

.00

.04

.08

.12

.16

.20

.24

.28

.32

-40 -30 -20 -10 0 10 20 30 40



104


H:1.5





-0.0066

0.2261

0.8219

Accepted

H:1.6






in final study

a


In case of 20 per cent dividend increase/ decrease announcement by Large Cap

companies, ARR on respective event day indicate a positive reaction and

insignificant. In case of dividend decrease announcement no event found to be

included in final study.


announcement is negative and insignificant. The dividend decrease announcement

events are not sufficient to include in final study.



events dividend increase standalone announcement for Large Cap

companies.


events dividend increase standalone announcement for small Cap

companies.



returns provides interesting insights. Table 4.17 shows the positive and

pronounced periods of significant values of CAAR.


105



per cent change in dividend alone:

Event


a



Pre event

Period

Event

day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-10 to–01 00 +01to +30 No No +14 to +16,

+19 to +26

Large Cap

dividend

decrease


Mid Cap

dividend

increase


Mid Cap

dividend

decrease


Small Cap

dividend

increase

-25 to-01

00 +01 to +30 -06 to -10

00 +01 to +08,

+17 to +30

Small Cap

dividend

decrease



In case of 20 per cent dividend increase announcement by large cap companies,

the CAAR values during 61 days period are found to be positive for a period of -

10 to -01, event day, and +01 to + 30 days. During rest of the period it remains

negative. The positive trend becomes sharper for a period of +14 to +16 days and

+19 to + 26 days.

In case of 20 per cent dividend increase announcement by small cap companies,

the CAAR values during 61 days period are found to be positive for the period of -

25 to -01 days , event day and +01 to + 30 days. It is also seen that this positive


106

trend become pronounced for the period of -10 to -06 days, event day, +01 to +08

days and + 17 to +30 days.




CAAR.


increase/decrease announcement of 25 per cent alone



-.03

-.02

-.01

.00

.01

.02

.03

.04

.05

-40 -30 -20 -10 0 10 20 30 40

DAYS

AAR

CAAR


-.04

.00

.04

.08

.12

.16

-40 -30 -20 -10 0 10 20 30 40

Large Cap AAR and CAAR Dividend decrease Alone: 25 per cent

-.02

.00

.02

.04

.06

.08

.10

.12

-40 -30 -20 -10 0 10 20 30 40

DAYS

AAR

CAAR


-.02

-.01

.00

.01

.02

.03

.04

.05

.06

.07

-40 -30 -20 -10 0 10 20 30 40



107





S.

No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1





-0.0101

1.0391

0.3029

Accepted

H:1.2





-0.0040

0.4262

0.6715

Accepted

H:1.3






final study

H:1.4






final study

H:1.5





-0.0012

0.1605

0.8730

Accepted

H:1.6





0.0096

1.3678

0.1765

Accepted

a



companies, AAR values on the respective event day indicate negative reaction to

the event announcement and insignificant. In case of dividend decrease standalone


108

announcement reaction of the share prices are negative and insignificant. The

movement in the prices due response to event announcement are tested at 5% level

of significance by using t-test and corresponding calculation of p-value as shown

in the Table 4.18.


announcement is negative and insignificant. In case of dividend decrease

announcement, the AAR is positive and insignificant. The result of t-test at 5%

level of significance is shown in Table 4.18.



events dividend increase announcement for Large Cap companies.


events dividend decrease announcement for Large Cap companies.

iii) There is not sufficient evidence to reject the null hypothesis for the

events dividend increase announcement for small Cap companies.

iv) There is not sufficient evidence to reject the null hypothesis for the

events dividend decrease announcement for small Cap companies.






109



per cent change in dividend alone.

Event


a



Pre event

Period

Event

day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-30 to–09,

-04 to -01

00 +01to +30 - 26 to – 24,

-16 to-14,

-03 to-01

00 +11 to +16

Large Cap

dividend

decrease

-25 to -01 00 +01 to +30 -13 to -01 00 +01 to +30

Mid Cap

dividend

increase


Mid Cap

dividend

decrease


Small Cap

dividend

increase

-28 to-19,

-13 to-01

00

+01 to +30

-01to-01

00

+01 to +30

Small Cap

dividend

decrease

-25 to -01 00

+01 to+ 30

-02 to --01 00 +01 to+ 02,

+05 to +30


The CAAR values are found to be positive for a period of -30 to -09 days, -04 to -

01 days, on event day, and +01 to + 30 days during the event window of 61 days

period for the event of 25 per cent dividend increase announcement by large cap

companies. This positive trend become sharper for the period of -26 to -24 days, -

16 to -14 days, -03 to -01 days, event day and +11 to +16 days. During rest of the

period it remains negative.


110

While analyzing the event of 25 % dividend decrease announcement by large cap

companies it is seen that the CAAR values are positive for the period of -25 to -01

days, event day and +01 to + 30 days during the event window of 61 days period.

It is also observed that CAAR values are not only positive but they are also

pronounced for a longer duration from -13 to -01days, event day, and from +01 to

+30 days.

Positive CAAR values are observed for the period of -28 to -19 days, -13 to -01

days, on event day and -01 to +30 days, during the event window of 61 days

period for the event of 25 per cent dividend increase announcement by small cap

companies. This positive trend remains sharper for the period of -01 to -01 days,

on event day and +01 to +30 days.

The event of 25 per cent dividend decrease announcement by small cap

companies, shows that the CAAR values during 61 days period are positive for the

period of -25 to -01 days, on event day and from +01 to +30 days. During rest of

the period CAAR values are negative and pronounced for a very longer duration

from -02 to -01 days, on event day, +01 to+02 days and +05 to +30 days.

4.2.5 Event: Dividend Increase/Decrease announcement of 50 per cent or

more.

The calculated AAR and CAAR values for the event of dividend increase

/decrease of 50% or more (See Appendix 4.10) have been plotted for the 61 days

event window and shown in Panel 4.10 depicting trend in AAR and CAAR.


111


increase/decrease announcement of 50 per cent or more.






change announcement:

S. No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1





0.0024

0.2755

0.7839

Accepted

H:1.2




-.04

.00

.04

.08

.12

.16

-40 -30 -20 -10 0 10 20 30 40

DAYS

AAR

CAAR


-.16

-.12

-.08

-.04

.00

.04

.08

-40 -30 -20 -10 0 10 20 30 40

Mid Cap AAR and CAAR Dividend increase alone: 50 per cent

-.05

-.04

-.03

-.02

-.01

.00

.01

.02

.03

-40 -30 -20 -10 0 10 20 30 40

DAYS

AAR

CAAR


-.05

.00

.05

.10

.15

.20

-40 -30 -20 -10 0 10 20 30 40

Small Cap AAR and CAAR Dividend decreasse alone: 50 per cent


112



final study.

H:1.3





-0.0075

0.3299

0.7426

Accepted

H:1.4






final study.

H:1.5





0.0049

0.7771

0.4401

Accepted

H:1.6





0.0120

0.8004

0.4267

Accepted

a



companies, AAR values on the respective event day indicate positive reaction to

the event dividend increase announcement and are insignificant. In case of

dividend decrease no event was found to be included in final study. The

movement in the prices in response to event announcement are tested at 5% level

of significance by using t-test and corresponding calculation of p-value as shown

in the Table 4.20.

Negative and insignificant price reaction is seen in case of 50 per cent dividend

increase announcement by mid cap companies. In the absence of any event to be

included for event 50% dividend decrease announcement by mid cap companies,

this event cannot be analyzed.

The AAR for dividend increase/ decrease announcement is positive and

insignificant in case of Small cap companies.


113

From Table 4.21, following inferences can be drawn at 5 % level of significance

for dividend increase/decrease of 50 %:

i) There is no sufficient evidence to reject the null hypothesis for the

event dividend increase by 50 % in case of Large Cap companies, mid

cap companies as well as small companies.

ii) There is no sufficient evidence to reject the null hypothesis for the

event dividend decrease by 50 % in case of small Cap companies.







per cent change in dividend:

Event




Pre event

Period

Event

day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

increase

-30 to–01 00 +01to +30 No No +04 to +30

Large Cap

dividend

decrease


Mid Cap

dividend

increase

No. No. No -16 to -01 00 +01 to +03,

+21 to +25

Mid Cap

dividend

decrease


Small Cap -30 to-14 00 +01 to +05 No No +15, +20,


114

dividend

increase

+28 to +29

Small Cap

dividend

decrease

No No +05 to +30 No No +12 to+ 15


In case of 50 per cent dividend increase announced by large cap companies, the

CAAR values during entire window period of 61 days. It is also seen that the

positive trend becomes sharper from the period of +04 to +30 days.

In case of 50 per cent dividend increase announced by mid cap companies, the

CAAR values during entire 61 days period are found to be negative. This negative

trend become sharper for a very longer duration during the period -16 to -01days

, on the event day, +01 to +03 days and from + 21 to + 25 days.

In case of 50 per cent dividend increase announced by small cap companies, the

CAAR values during 61 days period found to be positive for the period -30 to -14

days, the event day and from +01 to + 05 days. This positive trend become

pronounced on +15, +20 and +28 to +29 days.

In case of 50 per cent dividend decrease announcement by small cap companies,

the CAAR values during 61 days period are found to be positive for the period of

+05 to + 30 days. It is also observed that CAAR values are pronounced from +12

to + 15 days.

4.3 Event: Dividend Initiation/Omission Announcement



CAAR.


115

Panel 4.11: Figure of calculated AAR and CAAR values for the events dividend

Initiation and Omission announcement





-.03

-.02

-.01

.00

.01

.02

.03

.04

.05

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Large Cap AAR and CAAR of event Dividend initiation

-.10

-.08

-.06

-.04

-.02

.00

.02

.04

.06

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Mid Cap AAR and CAAR of dividend initiation

-.04

.00

.04

.08

.12

.16

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR of dividend initiation

-.02

.00

.02

.04

.06

.08

.10

.12

.14

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

Large Cap AAR and CAAR of event dividend omission

-.04

-.02

.00

.02

.04

.06

.08

.10

.12

-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32

DAYS

AAR

CAAR

Small Cap AAR and CAAR of dividend omission


116

Table 4.22: Test of hypotheses at 5 % significance level for event dividend

initiation/omission announcement

S.

No.

Hypothesis


ARRa

t-stat.a p-stat

a

H:1.1

The dividend initiation announcement for

the Large Cap companies is not associated

with subsequent change in share price.

-0.0001

0.0170

0.9865

Accepted

H:1.2


the Mid Cap companies is not associated


0.0072

0.5081

0.6133

Accepted

H:1.3


the Small Cap companies is not associated


0.0045

0.7131

0.4785

Accepted

H:1.4

The dividend Omission announcement for

the Large Cap companies is not associated


0.0109

1.5282

0.1317

Accepted

H:1.5

The dividend Omission announcement for




in final study

H:1.6 The dividend Omission announcement for



0.0075

0.8154

0.4181

Accepted

a


In case of large cap companies, events dividend initiation/ omission AAR values

on the respective event day indicates inverse reaction to the event announcement

by the share prices. In both the cases this movement is found to be insignificant.

In case of mid cap companies for event dividend initiation, AAR values on the

event day is found to be positive and insignificant.

In case of small cap companies, for events dividend initiation/ omission, AAR

values on the respective event day indicates positive reaction for both the events of

dividend initiation and omission. However, this reaction is found to be

insignificant for the respective event day.


117





Table No. 4.23: Pronounced periods of significant CAAR values at 5% level

of significance during sixty- one day event period for the

event dividend initiation/ omission.

Event




Pre event

Period

Event

Day

Post event

Period

Pre event

Period

Event

day

Post event

period

Large Cap

Dividend

initiation

-09 to–01 00 +01to +06,

+12 to +24

-03 to -01 00 No

Large Cap

dividend

omission

-26 to -01 00 +01 to +30 No No +08 to +30

Mid Cap

dividend

initiation

No No No -05 to -01 00 +01 to +02,

+16 to +30

Mid Cap

dividend

Omission


Small Cap

dividend

initiation

-27 to-01

00 +01 to +30 - 02 to -01

00

+01 to +30

Small Cap

dividend

omission

-07 to -01

00 +01 to +30 No No +23 to+ 30


In case of dividend initiation announcement by large cap companies, the CAAR

values during 61 days period are found to be positive for a period of -09 to -01, on

the event day, +01 to +06 days and +12 to +24 days. During rest of the period it


118

remains negative. The positive trend becomes sharper for the period of -03 to -01

and event day only.

In case of dividend omission announcement by large cap companies, the CAAR

values during 61 days period are found to be positive for a period of -26 to -01,

event day and +01 to +30 days. During rest of the period it remains negative. The

positive trend becomes sharper for the period of +08 to +02 and event day only.

Analysis of event dividend initiation announcement by mid cap companies shows

that the CAAR values during 61 days period are negative during pre-event period.

This negative trend becomes sharper for a very longer duration of -05 to -01, on

event day and +01 to +02 days and + 16 to + 30 days.

In case of event dividend initiation announcement by small cap companies, the

CAAR values during 61 days period are found to be positive for the period of -27

to -01, event day and +01 to + 30 days. This positive trend becomes pronounced

for the period of -02 to -01, event day and +01 to +30 days.

For dividend omission announcement by small cap companies, the CAAR values

during 61 days period are found to be positive for the period of -07 to -01 days,

event day and +01 to +30 days. This also observed that CAAR values are not only

positive but are also pronounced for the period of +23 to + 30 days.

From the analysis of the daily AAR and daily CAAR values it is observed that in

number of cases daily CAAR values are positive. However, the pronounced period

may be either in the pre-event or post event period. To clearly identify the

pronounced segment of the event window for sampled events, the researcher

proposes to determine the pronounced segment of the event period taking into

account 10 day mean CAAR values.


119

4.4 Analysis of 10-day Mean CAAR values for dividend related events

4.4.1 10-Days Mean CAAR Values for Event Dividend Increase / Decrease of

10 per cent along with Financial Results:

The 10 days mean CAAR values for the event 10 per cent dividend increase along

with financial results for large cap companies are plotted in Panel 4.12 based on

the data shown in Appendix 4.12. It is observed that the highest negative

pronounced segment is from + 21 to + 30 days indicating that the pronounced

period is quite away from the event announcement day. In case of 10 per cent

dividend decrease along with financial results announcement by large cap

companies, it is seen that the positive pronounced segment based on 10 day mean

CAAR values is also from +21 to +30 days .

The 10 days mean CAAR plotted values for mid cap companies for the event of

10 per cent dividend increase along with financial results announcement, point out

to negative segment from + 21 to +30 days away from the event announcement

day.

In case of small cap companies, for 10 percent dividend increase the negative

pronounced period is from -10 to -01 days. This is indicates that the pronounced

segment is in pre- event period just before the event announcement. For equivalent

dividend decrease announcement, the positive pronounced period is from +21 to

+30 days from the event announcement day.


120

Panel 4.12: Figure of calculated 10 days mean CAAR values for the event

dividend increase/decrease announcement of 10 per cent along with

financial results.

-.05

-.04

-.03

-.02

-.01

.00

.01

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Large Cap DIV_INC_ALOG_10

.02

.03

.04

.05

.06

.07

.08

.09

.10

-30 to

21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Large Cap DIV_DEC_ALOG_10

-.030

-.025

-.020

-.015

-.010

-.005

.000

-30 to

-21 d

ays

-20 to

-11days

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Mid Cap DIV_INC_ALOG_10

.01

.02

.03

.04

.05

.06

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Small Cap DIV_INC_ALOG_10

.0

.1

.2

.3

.4

.5

-30 to

-21 d

ays

-20 to

-11days

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Small Cap DIV_DEC_ALOG_10


121

4.4.2 10-Days Mean CAAR Values for Event Dividend Increase / Decrease

of 15 per cent along with Financial Results:

Analysis of the event 15 per cent dividend increase along with financial results

announcement by large cap companies, shows that highest negative pronounced

period is from +21 to +30 days away from the event announcement day. In case

of similar decrease by large cap companies the positive pronounced period is also

from +21 to +30 days.

Mid –cap companies show different pronounced segment of the event window.

The highest positive pronounced period is observed to be from -10 to -01 days.

This pronounced segment in the pre event announcement period is just before the

event announcement day.

For small cap companies, for 15% dividend increase along with financial results

announcement event, the pronounced negative segment is found to exist from +11

to +21days and moderately away from the event announcement day. For same

decrease in dividend by small cap companies, the negative pronounced period is

+21 to +30 days quite away from the announcement date.

The 10-day CAAR values are plotted in Panel 4.13 in support of above analysis.


122



financial results.

-.05

-.04

-.03

-.02

-.01

.00

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.01

.00

.01

.02

.03

.04

.05

.06

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.01

.00

.01

.02

.03

.04

.05

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.040

-.036

-.032

-.028

-.024

-.020

-.016

-.012

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.14

-.12

-.10

-.08

-.06

-.04

-.02

.00

.02

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days



123


of 20 per cent along with Financial Results:

Panel 4.14 shows that in case of event 20 per cent dividend increase along with

financial results announcement large cap companies, the highest positive

pronounced period is +21 to +30 days away from the event announcement day.

Similar trend in terms of direction and pronounced segment is also seen for

equivalent dividend decrease announcement.

Mid- cap companies show different pronounced segment from + 01 to 10 days

being positive for 20 % dividend increase.

Pronounced segment for Small cap companies announcing 20 percent dividend

increase along with financial results is observed to be +01 to +10 days closer to

event day while for equivalent dividend decrease the negative pronounced period

is +21 to +30 days.


124



financial results.

-.02

.00

.02

.04

.06

.08

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.02

.00

.02

.04

.06

.08

.10

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.02

.04

.06

.08

.10

-30 to

-21 d

ays

-20 to

-11days

-10 to

-01days

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.02

.00

.02

.04

.06

.08

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.04

.08

.12

.16

.20

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days



125



Panel 4.15 shows 10 days mean CAAR values of 25% dividend increase/decrease

along with financial results announcement for large cap, mid cap and small cap

companies. In case of large cap dividend increase announcement, the highest

positive pronounced segment is from -20 to -11 days moderately away from the

event announcement day. For the same amount of dividend decrease

announcement by large cap companies, the positive pronounced period is from

+21 to +30 days which is quite away from the event announcement day.

For the identical event in case of mid cap companies, the positive pronounced

period is also from +21 to +30 days. While in case of dividend decrease along

with financial results announcement, the 10 days mean CAAR values are

positively pronounced in the period from + 21 to +30 days.

10-day CAAR values in case of 25% increase in dividend by small cap companies

show similar behavior as mid-cap companies being positively pronounced in the

period of +21 to +30 days quite away from the event announcement day. While

for same amount of dividend decrease along with financial results announcement,

the negatively pronounced period is +01 to +10 days i.e closer to the

announcement day.


126



financial results.

-.010

-.005

.000

.005

.010

.015

.020

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.01

.00

.01

.02

.03

.04

.05

.06

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.04

.08

.12

.16

.20

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.050

.075

.100

.125

.150

.175

.200

.225

.250

-30 to

-21 d

ays

-20 to

-11days

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Mid Cap DIV_DEC_ALOG_25

.00

.01

.02

.03

.04

.05

.06

.07

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.010

.015

.020

.025

.030

.035

.040

.045

.050

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days



127

4.4.5 10- Days Mean CAAR Values for Event Dividend Increase / Decrease

of 50 per cent or more along with Financial Results

Ten-day mean CAAR values for the events 50% or more dividend

increase/decrease along with financial results announcement shown in Panel 4.16

reflect that in case of large cap companies, the 10 days mean CAAR values are

positively pronounced in the period of + 21 to +30 days quite away from the event

announcement day. For same amount of dividend decrease along with financial

results announcement, the negative pronounced period is from -10 to - 01 days in

the pre event window closer to the event day.

For dividend increase of 50% or greater , the 10-day mean CAAR values for mid-

cap companies are positively pronounced in the period of -10 to -01 days as in

case of large cap companies. While In case of 50 per cent dividend decrease along

with financial results announcement, the positive pronounced period is from -20

to -11 days, moderately away from the event announcement day.

In case of small cap companies, for similar event , the 10 days mean CAAR

values re positively pronounced in the period of +01 to +10 days .For same

amount of dividend decrease announcement, the negatively pronounced period is

from +11 to +20 days which is moderately away from the event announcement

day.


128


dividend increase/decrease announcement of 50 per cent or more

along with financial results.

.000

.005

.010

.015

.020

.025

.030

.035

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.040

-.035

-.030

-.025

-.020

-.015

-.010

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


-.01

.00

.01

.02

.03

.04

.05

.06

.07

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.04

.08

.12

.16

.20

.24

-30 to

-21 d

ays

-20 to

-11days

-10 to

-01 d

ays

01 to 1

0days

11 to 2

0 days

21 to 3

0 days

Mid Cap DIV_DEC_ALOG_50

.00

.01

.02

.03

.04

.05

.06

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.01

.02

.03

.04

.05

.06

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days



129

4.5 Analysis of 10-day Mean CAAR for dividend increase /decrease

4.5.1 10 Days Mean CAAR Values for Event Dividend Increase / Decrease

of 10 per cent:

Isolated events of 10 percent dividend increase or decrease have not been

observed for large and mid-cap companies in the sample. In case of 10 per cent

dividend increase announcement by small cap companies, the 10 days mean

CAAR values plotted in Panel 4.17 show tha the positive pronounced period is

from +21 to +30 days quite away from the event announcement day. The event of

10 % dividend decrease by small cap companies also not observed in the sampled

companies.


dividend increase/decrease announcement of 10 per cent alone.


of 15 per cent :

Panel 4.18 depicts the 10 days mean CAAR values of events related to 15%

dividend increase/decrease announcement for large cap, mid cap and small cap

companies listed in Indian Stock Market. In case of 15 per cent dividend increase

announcement by mid cap companies, the trend of observed from the 10 days

-.02

.00

.02

.04

.06

.08

.10

.12

-30 to

-21 days

-20 to

-11 days

-10 to

-01 days

01 to 10 days

11 to 20 days

21 to 30 days

Small Cap DIV_INC_ALO_10


130

mean CAAR values, found positive pronounced period from +01 to +10 days

along with the announcement day.

While in case of event 15 per cent dividend increase announcement for small cap

companies, the 10 days mean CAAR values, positive pronounced period is from

+11 to +20 days, moderately away from the event day. In case of same amount of

dividend decrease announcement, the observed pronounced period is from -20 to -

11 days moderately away from event announcement day.

Panel 4.18: Figure of calculated 10 days mean CAAR for the event dividend


-.10

-.08

-.06

-.04

-.02

.00

-30

to-2

1 da

ys

-20

to -1

1day

s

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days

Mid Cap DIV_INC_ALO_15

.00

.01

.02

.03

.04

.05

.06

.07

.08

.09

-30

to -2

1 da

ys

-20

to -1

1 da

ys

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days


.01

.02

.03

.04

.05

.06

.07

.08

.09

.10

-30

to -2

1 da

ys

-20

to -1

1 da

ys

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days

Small Cap DIV_DEC_ALO_15


131


of 20 per cent:

Panel4.19 shows the 10- day mean CAAR values for the events of dividend

increase announcement of large cap and small cap. For the event 20 per cent

dividend increase announcement by large cap companies, the positively

pronounced period exists in the segment of +11 to +20 days moderately away

from the event announcement day. While in case of same amount of dividend

increase announcement by small cap companies, highest positively pronounced

period is from +21 to +30 days quite away from the event announcement day. In

other categories of the companies no event was found to be included in the study.


dividend increase/decrease announcement of 20 per cent.


of 25 per cent:

The mean CAAR values for 25% dividend increase/ decrease announcement by

the companies is shown in Panel 4.20. In case of 25 per cent dividend increase

-.02

.00

.02

.04

.06

.08

.10

-30 to -2

1 da

ys

-20 to -1

1 da

ys

-10 to -0

1 da

ys

01 to

10 da

ys

11 to

20 da

ys

21 to

30 da

ys

Large Cap DIV_INC_ALO_20

.00

.04

.08

.12

.16

.20

.24

.28

-30 to -2

1 da

ys

-20 to -1

1 da

ys

-10 to -0

1 da

ys

01 to

10 da

ys

11 to

20 da

ys

21 to

30 da

ys



132

announcement by large cap companies, the highest positively pronounced period

segment is from +11 to +20 days moderately away from the event announcement

day. In case of dividend decrease announcement of 25% , the positively

pronounced segment lies in the period of +21 to +30 days quite away from the

event announcement day.

While in case of 25 per cent dividend increase announcement by small cap

companies, the 10 days mean CAAR values are also positively pronounced in the

period of +21 to +30 days. For same amount of dividend decrease announcement

the observed the positively pronounced period is from +11 to +20 days moderately

away from the announcement day.


dividend increase/decrease announcement of 25 per cent.

.008

.012

.016

.020

.024

.028

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.02

.04

.06

.08

.10

.12

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Large Cap DIV_DEC_ALO_25

.00

.02

.04

.06

.08

.10

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days


.00

.01

.02

.03

.04

.05

.06

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days



133

4.5.5 10 Days Mean CAAR Values for Event Dividend Increase /

Decrease of 50 per cent or more:

50% dividend increase/ decrease announcement for large cap mid cap and small

cap companies has been analyzed through 10-day CAAR values in Panel 4.21.

In case of 50 per cent dividend increase announcement by large cap companies,

the 10- days mean CAAR values show positive pronounced period from +21 to

+30 days away from the event announcement day. The observed pronounced

period for mid cap companies for same amount of dividend increase

announcement is observed to be from -10 to -01 days.

In case of small cap companies, the highest negative pronounced period is from

+11 to +20 days moderately away from event announcement day. While for 50%

or more of dividend decrease announcement, the 10 days mean CAAR values are

also seen to be positively pronounced in the period from +11 to +20 days.


134


dividend increase/decrease announcement of 50 per cent or more.

4.6. 10 Days Mean CAAR Values for Event Dividend Initiation/Omission

Announcement:

In Panel 4.22, the researcher has plotted the 10 days mean CAAR values for the

events related to dividend initiation/omission for the Indian Stock Market listed

Companies categorized into large cap, mid cap and small cap. In case of dividend

initiation by large cap companies, the negative and positive pronounced period is

from -30 to -21 days and from -10 to -01 days respectively. These pronounced

segments lie in pre-event window. While in case of dividend omission

.02

.04

.06

.08

.10

.12

-30

to -2

1 da

ys

-20

to -1

1 da

ys

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days


-.10

-.09

-.08

-.07

-.06

-.05

-.04

-.03

-30

to -2

1 da

ys

-20

to -1

1day

s

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days

Mid Cap DIV_INC_ALO_50

-.028

-.024

-.020

-.016

-.012

-.008

-.004

.000

.004

.008

.012

-30

to -2

1 da

ys

-20

to -1

1 da

ys

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days


-.04

.00

.04

.08

.12

.16

-30

to -2

1 da

ys

-20

to -1

1 da

ys

-10

to -0

1 da

ys

01 to

10

days

11 to

20

days

21 to

30

days



135

announcement, the positive pronounced period is from +21 to +30 days quite

away from event announcement day.

Mid-cap companies show similarity with large cap companies for dividend

omission event. The highest negative pronounced period is from +21 to +30 days

quite away from the event announcement day.

In case of small cap companies for event dividend initiation announcement, the

positively pronounced period of is from +21 to +30 days quite away from the

event announcement day. While in case of dividend omission the positively

pronounced period also lies in the segment of +21 to +30 days just like dividend

initiation announcement for small cap companies.


136

Panel 4.22: Figure of calculated 10 days mean CAAR values for the events

dividend Initiation and Omission announcement

The analysis carried out above provides an understanding of the behaviour of the

Indian Stock market in response to dividend related decisions by large- cap, mid-

cap and small- cap companies respectively. These findings based on the analysis

of isolated dividend decisions of 103 sampled companies and 865 events covering

a ten –year period from FY 2001 to FY 2010 appear in Chapter V.

-.015

-.010

-.005

.000

.005

.010

.015

.020

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Large Cap INITIATION

.00

.02

.04

.06

.08

.10

.12

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Large Cap OMISSION

-.07

-.06

-.05

-.04

-.03

-.02

-.01

.00

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Mid Cap INITIATION

.00

.02

.04

.06

.08

.10

.12

.14

.16

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Small Cap INITIATION

-.02

.00

.02

.04

.06

.08

-30 to

-21 d

ays

-20 to

-11 d

ays

-10 to

-01 d

ays

01 to 1

0 days

11 to 2

0 days

21 to 3

0 days

Small Cap OMISSION

FINDINGS AND DISCUSSIONS

137

CHAPTER 5


5.1 Findings

This Chapter has been organized by presenting the findings of the analysis of

events categorized into following three categories:

i) Dividend announcement along with declaration of financial results

ii) Standalone dividend increase or decrease decision

iii) Dividend initiation or omission decision

The trends associated in daily AAR and CAAR for respective categories of events

to cover the event window of 61 days have been analyzed in the previous chapter.

The inferences about the signaling effect of the respective category of events on

share price movement as well as the relative efficiency of the stock market in

response to price reaction are discussed below:

5.1.1 Event dividend Increase/decrease along with announcement of

financial results

The analysis of different rates of dividend changes made simultaneously with

declaration of financial results by large –cap, mid-cap and small cap companies

respectively in the sample based on daily ARR and CAAR movements as well as

10- day mean CAAR trends have been summarized in Table 5.1 below:


138

Table 5.1: Different rates of dividend changes made simultaneously with declaration of financial results by large –cap, mid-

cap and small cap companies respectively in the sample based on daily ARR and CAAR movements as well as 10-

day mean CAAR trends

Category of

companies

Events Trend in AAR

on event day

Trend in Daily CAAR Pronounced Period

based on 10 day

mean CAAR

Dividend

change %

Trend t-test result Pre Event Post Event (-)Pre Event/

(+)Post Event

Large Cap +10% Negative Insignificant Secular negative Secular negative +21 to +30 day

+15% Negative Significant Cyclical Secular negative +21 to +30 day

+20% Negative Insignificant Cyclical Secular positive +21 to +30 day

+25% Negative Insignificant Cyclical positive Cyclical negative -21 to -10 day

+50% or more Positive Significant Cyclical positive Secular positive +21 to +30 day

-10% Negative Insignificant Secular Positive Secular Positive +21 to +30 day

-15% Negative Insignificant Cyclical Cyclical positive +21 to +30 day

-20% Negative Insignificant Positive Positive +21 to +30 day

-25% Positive Insignificant No trend Secular positive +21 to +30 day

-50% or more Positive Insignificant Cyclical negative Cyclical negative -10 to -01 day

Mid -Cap +10% Positive Insignificant Cyclical negative Cyclical negative +21 to +31 day

+15% Positive Insignificant Cyclical positive Cyclical -10 to -01 day

+20% Negative Insignificant Positive Negative +01 to +10 day

+25% Positive Insignificant Secular positive Secular positive +21 to +30 days


139

+50% or more Positive Insignificant Secular positive Secular Negative -10 to -01 day

-10% No event included in the sample



-25% Negative Insignificant Secular positive Secular positive +21 to +30 days

-50% or more Negative Insignificant Cyclical positive Secular negative -20 to -11 day

Small-Cap +10% Positive Significant Secular positive Secular decreasing +01 to +10 day

+15% Positive Significant Cyclical negative Secular negative +11 to +20 day

+20% Positive Insignificant No trend Cyclical positive +01 to +10 day

+25% Positive Insignificant No trend Secular positive +21 to +30 days

+50% or more Positive Insignificant Secular positive Secular positive +01to +10 day

-10% Positive Insignificant Secular positive Secular positive +21 to +30 days

-15% Negative Insignificant Cyclical Secular negative +21 to +30 days

-20% Negative Insignificant Positive Secular positive +01 to +10 day

-25% Positive Insignificant Cyclical positive Secular negative +01 to +10 day

-50% or more Negative Insignificant Cyclical Secular positive +11 to +20 day


140

5.1.1.1 Dividend increase event along with announcement of financial

results

In case of +10% dividend changes by large cap companies, the reaction in share

prices on event day is negative. In contrast to large cap, the reaction in share prices

of mid cap and small cap companies are positive on event announcement day. The

reaction in share prices on event day for large cap and mid cap is insignificant and

in case of small cap reaction in share price is significant.

In case of +15% changes in dividend, reaction in share prices on event day by

large cap companies is negative. Though the reaction in share price due response

to event announcement is positive for mid as well as small cap companies. The

reaction in share prices of large cap and mid cap is insignificant and of small cap it

is significant.

In case of +20% changes in dividend, reaction in share prices of large cap and mid

cap is negative. While reaction in share price of small cap is positive. The reaction

in share prices for all three categories of companies is insignificant.

In case of +25% changes in dividend reaction in share price of large cap is

negative. The reaction in share prices of mid and small cap is positive. The

reactions in share prices are insignificant for all three categories of companies.

In case of +50% or more change in dividend announcement, reaction in share

price for large cap, mid cap and small cap companies are positive. The reaction in

share prices due response to event announcement is significant only for large cap

companies.

From the above observations for changes in dividend along with financial results

announcement for all three categories of companies, the behavior of share prices

in response to event announcements is found to be different. The possible reasons

for the differences in price reactions can be explained with previous empirical

studies.


141

The mixed results of our findings are similar to the findings of Aharony and

Swary (1980), Asquith and Mullins (1983), Eades et al. (1985), Kalay and

Loewenstein (1985, 1986), Bernheim and Wantz (1995), Benartzi et al. (1997),

and Nissim and Jiv (2001). These studies outlined the factors causing disparity in

share price behavior in response to dividend changes as under:

i) Demand for Buy and sell

ii) The differences in level of informed and non- informed traders in the

market.

iii) The dominance of promoter group ( Shanti Suresh,2011)

iv) The dividend preferences of retail investors as influenced by behavioral

life-cycle (Shefrin ,1988)

v) Different types of traders viz. liquidity traders, discretionary traders,

present and potential shareholders, market makers and speculators

(Fuller, 2003)

vi) The condition that markets are efficient only when large number of

investors disbelieve its efficiency and there is less effort to accumulate

,analyze and evaluate information resulting in market becoming less

efficient. (Horne & Dhamija, 2012 )

The insignificant reaction in share prices can be explained with the help of the

analysis of the movement in daily CAAR and 10- days mean CAAR pronounced

period as under.

It is observed that except for +25% dividend changes by large cap companies, for

all other level of changes in dividend, the pronounced period is +21 to +30 days.

This pronounced period is quite away from the event announcement day and is

indicative of inefficient nature of Indian Stock Market. While in case of +25%

changes in dividend, pronounced period from -21 to -10 days which is suggestive

of some investor groups possessing prior information in the market.

The pronounced period for mid cap companies also shows similar behavior except

for +15%, + 20% and +50% or more changes in dividend announcements. In case


142

of +15% and +50% or more change in dividend, pronounced period is -10 day to -

01 day reflecting prior availability of information. Only in case of +20% changes

in dividend, the pronounced period of +01 to +10 days indicate instant reaction in

share prices.

In case of small cap companies, pronounced period is in post event period and

differs from event to event. For +10%, +20% and +50% or more change in

dividend, the pronounced period is +01 to +10 days. In case of +15% changes in

dividend, the pronounced period is +11 to +20 days and for +25% changes in

dividend the pronounced period are +21 to +30 days. The pronounced periods for

different level of changes in dividend during event window are also not similar

and are away from the event announcement day pointing to inefficient nature of

Indian Stock Market.

5.1.1.2 Dividend decrease event along with announcement of financial

results

In case of -10% changes in dividend by large cap companies, reaction in share

price is negative on event day. While in case of small cap reaction in share price is

positive. The reaction in share prices for both categories of companies is

insignificant. Due to insufficient number of events in the category of mid cap

companies, the same could not be analyzed and commented upon.

In case of -15% changes in dividend, reaction in share prices of large cap and

small cap companies are negative. The reactions in share prices are insignificant

for both groups of companies. In case of -20% changes in dividend, reaction in

share prices of large cap and small cap companies is negative and insignificant.

Due to insufficient number of events in the category of mid cap companies, the

same could not be analyzed and commented upon.

While in case of -25% change in dividend, the reaction in shares of large cap and

small cap is positive. In case of mid cap companies reaction in share prices are

negative for such announcements. The reaction in share prices for all three

categories of companies is found to insignificant.


143

In case of -50% or more change in dividend announcement, reaction in share

prices for large cap is positive and insignificant. In case of mid cap and small cap

companies the reaction in share prices is negative and insignificant.

From the above findings for all level of changes in dividend for three categories of

companies, once again mixed and insignificant reaction in share prices is

observed.

The analysis of large cap companies show that the pronounced period of CAAR is

from +21 to +30 days for all level of changes in dividend indicating inefficient

nature of the market. While for -50% or more changes in dividend, pronounced

period of CAAR values is from -10 to -01 days indicative of reactions due to

advance information with select group of investors.

In case of mid cap companies only -25% and -50% or more change in dividend

events has been analysed. The pronounced period of CAAR is observed from +21

to +30 days for event -25% changes reflect inefficiency in the market. While in

case of -50% or more change in dividend, the pronounced period from -21 to -10

days post event indicates reactions in prices due to motivated behaviours of

investors to capitalize on the basis of possessed information.

In case of small cap companies pronounced period is different from event to event.

In case of -10% and -15% change in dividend, the pronounced period from +21 to

+30 days suggests inefficiency. In case of -20% and -25% change in dividend, the

pronounced period from +01 to +10 days indicates instant reaction in share prices

due response to event announcement. The pronounced period during post event

period from +11 to +20 days for -50% or more change in dividend, pronounced

period from +11 to +20 days indicates inefficiency in the market.

The pronounced period of CAAR values show mixed results. As the price

reactions are not significant on the event day and CAAR values are more

pronounced either prior or post event period, it shows inefficiencies in the market

possible due to many reasons such as information asymmetric, extent of

information processing by investors , investor motivations and behaviour and


144

types of investors themselves. The findings thus point out that that there is no

signaling effect of dividend decisions in the Indian Stock market.

5.1.2 Event Dividend Increase/Decrease announcement:

The analysis of different rates of dividend changes made by large –cap, mid-cap

and small cap companies in the sample based on daily ARR and CAAR

movements as well as 10 day mean CAAR trends have been captured in Table

5.2 below:


145

Table 5.2: Different rates of dividend changes made by large –cap, mid-cap and small cap companies in the sample based on

daily ARR and CAAR movements as well as 10 day mean CAAR trends

Category

of

companie

s

Events Trend in AAR on event day Trend in Daily CAAR Pronounced

Period based on

10 day mean

CAAR

Dividend change

%

Trend Significant/Insignif

icant based on t-

test

Pre Event Post Event (-)Pre Event/

(+)Post Event

Large

Cap

+10% Positive Significant Secular positive Secular positive +21 to +30 day

+15% No event included in the sample

+20% Positive Insignificant No trend Secular positive +11 to +20 day

+25% Negative Insignificant Cyclical Cyclical +11 to +20 day

+50% or more Positive Insignificant Secular positive Secular positive +11 to +30 day




-25% Negative insignificant Secular positive Secular positive +21 to 30 day

-50% or more No event included in the sample

Mid -Cap +10% No event included in the sample

+15% Positive Insignificant No trend Cyclical negative +01 to +10 day



+50% or more Negative Insignificant No trend No trend -10 to -01 day



146




-50% or more No event included in the sample

Small-

Cap


+15% Positive Insignificant Secular positive Secular positive +11 to 20 day

+20% Negative Insignificant Secular positive Secular positive +21 to +30 day

+25% Negative Insignificant Secular positive Secular positive +21 to +30 day

+50% or more Positive Insignificant No trend Secular negative +11 to 20 day


-15% Negative Insignificant Cyclical positive Cyclical positive -20 to -11 day


-25% Positive Insignificant Secular positive Secular positive +11 to +20 day

-50% or more Positive Insignificant No trend Secular positive +11 to +20 day


147

5.1.2.1 Event Dividend Increase Announcement

In case of +10% changes in dividend by large cap companies, positive and

significant reaction is observed in the share price on event day. In case of +15%

changes in dividend for mid cap and small cap companies, positive and

insignificant reaction is observed in the share prices.

In case of +20% changes in dividend, a positive and insignificant reaction is

observed for large cap companies. In case of small cap companies reaction in

share prices are negative and insignificant.

In case of +25% changes in dividend, a negative and insignificant reaction is

observed in the share price of large cap and small -cap companies.

In case of +50% or more dividend change announcement, positive and

insignificant reaction is observed for large cap and small cap companies. While in

case of mid cap companies, insignificant negative reaction is observed in share

prices.

The findings show that except +10% change in dividend by large cap companies,

all other changes in dividend announcements show insignificant reactions in share

prices.

The pronounced period for large cap companies show that for events +20%, +25%

and +50% or more change in dividend, the pronounced period is +11 to +20 days,

while in case of +10% change in dividend the pronounced period is +21 to +30

days. The observed pronounced period is quite away from the event

announcement day and leads to draw conclusions about the inefficiencies existing

in the market for such kind of event announcements.

In case of mid cap companies, the pronounced period from +1 to +10 days for

+15% changes in dividend shows faster adjustment in share prices. The prior

period of pronounced CAAR values from -10 to -01 days again reflects

inefficiencies in the market.


148

In case of small cap companies, the pronounced period for event +15% and +50%

or more change in dividend is +11 to +20 days. For +25% changes in dividend, the

observed pronounced period of CAAR from +21 to +30 days being quite away

from the event announcement day reflects inefficiency of the stock market in

India.

All these findings as mentioned above , indicate that inefficiencies exists in the

market for all categories of listed companies in the Indian Stock market as

revealed through the analysis of isolated events of dividend increase .

5.1.2.2 Dividend Decrease Announcement Events

In case of -15% changes in dividend insignificant negative reaction is observed for


In case of -25% changes in dividend negative and insignificant reaction is

observed for large cap companies. A positive and insignificant reaction is

observed in the prices of small cap companies. In case of -50% or more change in

dividend, a positive and insignificant reaction is observed for small cap

companies.

The insignificant reaction in share price due to dividend decrease announcements

points out to absence of signaling effect of dividend decisions.

To comment on the inefficiencies in the market, resort to pronounced period of

CAAR has been made.

The event +15% changes in dividend for small cap companies, shows pronounced

period from -20 to -11 days indicating behavior of investors due to information

asymmetry. In case of -25% change in dividend for large cap companies having

pronounced period of CAAR from +21 to +30 days +11 to +20 days for small cap

companies indicates market inefficiencies. Inefficiency in the market due to lag in

adjustment of prices is also seen for small cap companies in response -50% or

more change in dividend due to observed pronounced period from +11 to +20

days.


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The above findings of reactions in share prices being insignificant and pronounced

period being quite away from the event announcement date suggest inefficient

nature of Indian Stock Market in line with the findings for dividend changes made

along with announcement of financial results events reported in 5.1 above.

5.1.3 Event Dividend Initiation/Omission Announcement

The analysis of different rates of initiation and omission made by large –cap,

mid-cap and small cap companies in the sample based on daily ARR and CAAR

movements as well as 10 day mean CAAR trends have been captured in Table

5.3 below:

Table 5.3: Different rates of initiation and omission made by large –cap, mid-

cap and small cap companies in the sample based on daily ARR

and CAAR movements as well as 10 day mean CAAR trends

Category

of

companies

Events Trend in AAR on event

day

Trend in Daily

CAAR

Pronounced

Period based

on 10 day mean

CAAR

Dividend

change

Trend Significant/

Insignificant

based on t-

test

Pre

Event

Post

Event

(-)Pre Event/

(+)Post Event

Large-

Cap

Initiation Negative Insignificant Secular

positive

Cyclical

negative

-30 to -21 day

and -10 to -01 day

Mid-Cap Initiation Positive Insignificant Cyclical

negative

Cyclical

negative

+21 to +30 day

Small-Cap Initiation Positive Insignificant Secular

positive

Secular

positive

+21 to +30 day

Large-

Cap

Omission Positive Insignificant No trend Secular

positive

+21 to +30 day

Mid-Cap Omission No event included in the sample

Small-Cap Omission Positive Insignificant Positive Secular

positive

+21 to +30 day

In case of dividend initiation announcement by large cap companies, reaction in

share prices is negative on event announcement day, while in case of mid and

small cap companies reaction in share prices is positive on event announcement

day. The reaction in share prices for all three categories of companies is

statistically insignificant. These insignificant results when analysed for


150

pronounced period of CAAR show that the pronounced period of CAAR for large

cap companies are -30 to -21 days and -10 to -01 days. This pre-event activity in

share prices prior to event day can be inferred due to investor behaviour motivated

by the assessment of information only available to them. This asymmetry in

information driving share prices points out to inefficiencies in the market. Again

the time lag in adjustment in prices in case of mid and small cap companies due to

pronounced period being +21 to +30 days quite away from the event

announcement day reflects inefficiencies.

The analysis of dividend initiations events for all three categories of companies

indicates the inefficient nature of Indian Stock Market.

On the other hand, analyses of share price reaction to dividend omission

announcement on event day are positive and insignificant for large cap as well as

small cap companies. In case of mid cap companies’ sufficient events are not

observed for the sampled companies. Insignificant nature of reaction in share

prices can be explained with the analysis of efficiency. As the pronounced period

for large as well as small cap companies are +21 to +30 days quite away from the

event announcement day it indicates inefficient nature of the market.

For both dividend initiation and dividend omission announcement events, the

pronounced period is quite away from event day. The negative reaction in share

prices for dividend initiation and positive reaction for dividend omission can be

due to growing state of Indian economy as stated by the other studies related to

various countries such as Rimbey and Officer (1992), Liang et. al. (2009), Jin

(2000) for US market, Capstaff et.al. (2004), for Oslo Stock Exchange, Chen et.al.

(2009) for Chinese market, Forner and Sanabria (2010) for Spanish market who

found inverse relation between dividend initiation and omissions announcements

and impact on share prices while concluding that there is partial effect of

dividend related events on the market.

CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS

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CHAPTER 6

CONCLUSIONS, POLICY IMPLICATIONS

AND

FUTURE RESEARCH DIRECTIONS

6.1 Conclusions

The analysis of twenty six dividend related events for three categories of

companies i.e. Large cap, mid cap and small cap companies reveals insignificant

effect of dividend decision in share prices on the event day with following five

exceptions:

i) Dividend increase of 15% and 50% or more declared along with

financial results announcement by large cap companies,

ii) Dividend increase of 10% and 15 % declared along with financial

results announcement by small cap companies

iii) Dividend increase of 10 % by large cap companies

Thus insignificant effect predominately witnessed in share prices provides enough

evidence of no signaling effect of dividend decisions in the Indian stock market.

The above five exceptions to the results need to be viewed in the context of

previous studies which also found certain exceptions not consistent with

predominant findings due to information asymmetry and investor motivated

behavior to capitalize on possessed information or uninformed investment

decision.

The inefficiency in the Indian Stock market has also been supported through the

extension of the analysis with the help of 10 –day mean CAAR values to

examine pronounced periods of reaction in share prices as shown in Table 5.1, 5.2


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and 5.3 wherein in majority of the cases examined,the pronounced period of

CAAR is observed to be quite away from the event day. However, in few cases as

mentioned below, the pronounced period of CAAR is observed to be close to the

event day:

i. Dividend decrease of 50% or more with announcement of financial

result event by large cap companies where the pronounced period of

CAAR is -10 to -01 days.

ii. Dividend increase of 15% and 50 % or more along with financial

results event by midcap companies where pronounced period of CAAR

is -10 to -01 days.

iii. Dividend increase of 20% along with financial results event by mid cap

companies where the pronounced period of CAAR is +01 to +10 days.

iv. Dividend increase of 10%, 20% and 50% or more along with financial

results event by small cap companies with pronounced period of

CAAR being +01 to +10 days.

v. Dividend decrease of 20% and 25% along with financial results by

small cap companies in which pronounced period of CAAR is +01 to

+10 days.

vi. Dividend increase of 15% event and increase of 50% or more event by

mid cap companies with pronounced period of CAAR being from +01

to +10 and -10 to -01 days respectively.

With the identification of events of listed companies, use of Garch model with

removal of heterodasticity in the data, choice of model, sufficient precautions

have been taken to ensure reliability of the results.

However, presences of few exceptions to the general results need to be explained.

The mixed results point out that other factor such as transparency issues,

behavioral aspect of investors due to information asymmetry, ownership patterns

could be the possible reasons for above exceptions. The deviations are more in

case of small cap and mid cap companies suggesting more information asymmetry

as regards dividend decisions of mid-cap and small companies due to large


153

promoter group holdings. Same can be the case of large cap companies as well

where promoter group could be dominant and have all the motives to influence

share prices with their actions.

6.1.1 Signaling effect

From this empirical study on Signaling effect of dividend decisions in the Indian

Stock Market, the following conclusions can be drawn:

a. In case of Large cap companies with market capitalization of more than

Rs.10,000 Crores no signaling effect has been observed for following types of

events:

i) Dividend increase of 10%, 20%, 25% along with financial results

announcement.

ii) Dividend decrease of 10% up to 50 % or more along with financial

results announcement.

iii) Dividend initiation/omission for any change in rate

iv) Dividend increase/decrease for any change in dividend

v) Dividend increase of 15%, 20%, 25% and 50% or more

vi) Dividend decrease of 10% up to 50 % or more

The notable exceptions to results have been observed in case of 15% and 50 % or

more increase in dividend along with financial results announcement and 10% of

dividend increase. These exceptions can be explained with the support of

pronounced period of CAAR analysis performed in order to comment on

inefficiency in the market.

b. In case of Mid cap companies with market capitalization between Rs. 5,000

Crores to Rs.10, 000 Crores, no signaling effect has been observed for the

following types of events:

i) Dividend increase of 10% up to 50% or more along with financial



154

ii) Dividend decrease of 10% up to 50% or more along with financial


iii) Dividend initiation/ omission for any change in rate.

iv) Dividend increase/decrease for any change in dividend.

c. In case of Small cap companies with market capitalization of less than Rs. 5,000

Crores, no signaling effect has been observed for the following types of events:

i) Dividend increase of 20%, 25% and 50% or more along with financial


ii) Dividend decrease of 10% up to 50 % or more along with financial


iii) Dividend initiation/omission for any change in rate

iv) Dividend increase/decrease for any change in dividend

The notable exceptions to results have been observed in case of 10% and 15%

increase in dividend along with financial results announcement which can be

attributed due to chance/ inefficiency in the market.

Taking into account all the events for large cap, mid cap and small cap companies

covering a period of 10 years spanning FY 2001 to FY 2011 based on an event

window of 61 days, the predominance of results pointing to no signaling effect in

terms of number of events analyzed leads to draw the conclusion that there is no

signaling effect of dividend decisions in the Indian Stock market. The exceptions

to the results can be commented upon through pronounced periods of CAAR

reflecting inefficiency in the market as explained in next section.


155

6.1.2 Pronounced period of CAAR reflecting inefficiency in the Indian Stock

market.

The study has been able to bring out inefficiencies in the market on account of

following results:

a. In case of Large cap companies pronounced period of CAAR has been

observed for following types of events:

i) Pronounced period of CAAR from +21 to +30 days in events of

dividend increase from 10%, up to 50% or more along with

announcement of financial results.

ii) Pronounced period of CAAR from +21 to +30 days in events dividend

decrease from 10%, 15%,20% and 25% along with announcement of

financial results.

iii) Pronounced period of CAAR from +21 to +30 days in events of

dividend increase of 10% and dividend decrease of 25%.

iv) Pronounced period of CAAR from +11 to +20 days in event of

dividend increase of 20% & 25%.

v) Pronounced period of CAAR from +11 to +30 days in event of

dividend increase of 50% or more.

vi) Pronounced period of CAAR from +21 to +30 days in event dividend

omission.

b. In case of Mid cap companies pronounced period of CAAR has been observed

for following types of events :

i) Pronounced period of CAAR from +21 to +30 days in events dividend

increase of 21% & 25% and dividend decrease of 25% along with

announcement of financial results.

ii) Pronounced period of CAAR from -20 to -11 days in event dividend

decrease of 50% or more.

iii) Pronounced period of CAAR in event from +21 to +30 days in event

dividend initiation.


156

c. In case of Small cap companies, pronounced period of CAAR has been

observed for following types of events:

i) Pronounced period of CAAR from +11 to +20 days in event dividend

increase of 15% and dividend decrease of 50 % or more along with

financial results announcement.

ii) Pronounced period of CAAR from +21 to +30 days in event dividend

increase of 25% and dividend decrease of 10% and 15 % along with

financial results announcement.

iii) Pronounced period of CAAR from +11 to +20 days in event dividend

increase of 15% & 50% or more and dividend decrease of 25%, 50% or

more.

iv) Pronounced period of CAAR from +21 to +30 days in event dividend

increase of 20% and 25%.

v) Pronounced period of CAAR from -20 to -11 days in event dividend

decrease of 15%.

vi) Pronounced period of CAAR from +21 to +30 days for event dividend

initiation/omission.

The pronounced periods of CAAR being quite distant from the event day reflect lag in

adjustments of prices due to inefficiencies in the market arising out of information

asymmetry.

The notable exceptions to results have been observed for following cases which

can be attributed due to following reasons:

i. Dividend decrease of 50% or more with announcement of financial

result event by large cap companies where the pronounced period of

CAAR is -10 to -01 days.

ii. Dividend increase of 15% and 50 % or more along with financial

results event by midcap companies where pronounced period of CAAR

is -10 to -01 days.

iii. Dividend increase of 20% along with financial results event by mid cap

companies where the pronounced period of CAAR is +01 to +10 days.


157

iv. Dividend increase of 10%, 20% and 50% or more along with financial

results event by small cap companies with pronounced period of

CAAR being +01 to +10 days.

v. Dividend decrease of 20% and 25% along with financial results by

small cap companies in which pronounced period of CAAR is +01 to

+10 days.

vi. Dividend increase of 15% event and increase of 50% or more event by

mid cap companies with pronounced period of CAAR being from +01

to +10 and -10 to -01 days respectively.

The exceptions point out to random behavior in the market explainable due to

chance or motivated investor behavior driven by privy information or

unprocessed information expecting market to be efficient which in reality is

inefficient. The results need to be viewed in the context of nature of Indian

Stock Market and India as a transient emerging economy in which regulatory

set up governing listing and market transactions are still evolving to make the

market efficient.

6.1.3 Empirical support to findings from other studies

The conclusion regarding no signaling effect of dividend decisions in the Indian

stock market as well as inefficient nature of the market is well supported by other

works. The findings of this research are consistent with research for various

markets such as Benartzi, Michaely and Thaler (1997), Daniels, Shain and Lee

(1997) and Grullon, Michaely, Benartzi and Thaler (2005) , Iqbal and Rahman

(2002) and Amihud and Li (2006) for US market, Vieira and Raposo (2007) for

UK, French and Portuguese markets, Salameh and Albahsh (2011) for Palestine

market, Chen, Firth and Gao (2002) for Chinese market, Abdullah, Rashid and

Ibrahim (2004) for Malaysian market, Akbar and Baig (2004) for Pakistani

Market, Nobanee, Hadda, Alshattarat and Alshattarat (2009), for Amman Market,

Sharma (2011) and Maitra and Dey (2012) for Indian Stock Market.


158

6.1.4 Level of Corporate Governance and market efficiency in emerging

economies

The low level of transparency also undermines efficiency of the market. In this

respect following views substantiate the above statement:

i) Beekes & Brown (2006) in their study of the informational content of

earnings and its impact on share prices observe that price discovery is

based on the level of transparency in the market where private

information gets incorporated in the market prices of listed shares.

ii) Abdelsalam & Street, 2007; Ajinkya et al., 2005, Borokhovich,

Parrino, & Trapani, 1996; Fama & Jensen, 1983;Weisbach, 1988 on

researches in this direction are of the view that timely release of

information in the market, level of transparency and the role of

independent directors also impact the level of the efficiency of the

market.

iii) The timely release of information in the market influences the price

discovery of share prices depending upon the mandated corporate

governance practices in any country as indicated by Hab,Vergauwe and

Zhang (2014).

iv) In addition , Georgakopoulos (1996) observed that informed investors

tend to reap abnormal profits at the cost of others bringing distortions

in share prices simultaneously affecting efficiency of the market and

recommended that effective disclosure rules avert frauds, eliminates

privileged shareholders collective actions and assist the market in

reflecting the true value of the shares.

v) Emerging market economies including India are characterized by

predominance of family business houses. Millar, Eldomiaty, Choi and

Hilton (2005) found that a concentrated ownership and control on

corporation by families enable them to determine the appointment of

executives as well as independent directors who take decisions in sake


159

of their interest. Nama et., al (1999), extend the argument that all key

decisions are in the hands of families.

vi) The conflict of interest between dominant shareholders and minority

shareholders (Aoki and Kim, 1995 and Phan 2001) widely observed in

these countries is not new to India.

vii) Eroding faith in the corporate India due to accounting and financial

shenanigans has been pointed out by Gupta (1998) where slow

regulatory enactments have not yet contributed in soliciting the faith of

retail investors. Amongst the reasons given for eroding faith include

undue advantage taken by corporate managers at the cost of retail

investors, existence of crony capitalism in the market, price

manipulation and high volatility

viii) The study by Sharma and Sachdeva (2011) in ‘Global Initiative

towards Corporate Governance in India: Investors’ Prospective found

investors dissatisfaction with regulatory norms and authorities in India

and presence of widespread insider trading.

ix) Some of the major frauds related to Indian Stock Market are being

mentioned in Appendix 6.1 to get an idea of the levels how corporates

and individuals have taken shaken investors confidence in the past.

x) The regulatory bodies initiated many measures to restore confidence,

transparency in the direction of efficiency. Appendix 6.2 captures these

measures as they are relevant to the context.

The reforms and changes mentioned in Appendix 6.2 are primarily to ensure

proper disclosures, good governance, transparency to help investors make rational

decisions and improving the overall efficiency in the market more specifically the

stock market. However, new encounters, issues and imperatives to integrate the

Indian financial markets with rest of the world in terms of standards and efficiency

requires continuous improvements. The recommendations in next sections are

therefore being made to remove imperfections and streamline the Indian Stock

market for improving its efficiency.


160

6.2 Policy implications

The findings and conclusions drawn from the study have important policy

implications for corporates, regulators, investors and market intermediaries.

These implications have been discussed below:

6.2.1 Implications for corporates

i. The signaling effect of divided decision is influenced and impacted both by

the dividend rationality as well as by the efficiency level of the stock

market. The optimism bias due to estimates of earnings or management of

earnings to convey unrealistic future earnings and growth potential can

undermine corporate dividend rationality affecting value of the firm.

Asymmetric information leads to profit making in the market and

contributes to market inefficiency.

ii. The managerial implications are that dividend decision should not be made

with a view to affect share price behavior but for long term sustainable

growth and value.

iii. Corporate managers are expected to contribute to good governance

practices through ethical conduct of actions related to material information

having a bearing on the share prices of their company and not fuel

inefficiency in the market through irresponsible behavior. There are

evidences of unthical practices in the Indian stock Market which need to

be eliminated for healthy business environment and safeguarding the

interest of all the stakeholders.

iv. The transparency of disclosures by the company and dissemination of

timely information to public contributes to information symmetry,

improved market efficiency and improves credibility of the company in the

market and its value. The signaling effect of rational dividend decisions

can thus get incorporated in its market price.

v. Dividend decisions of the companies must be supported by the financial

strength of the companies not by the decisions of the peer groups in the

industry or market. A signal supported by the financial fundamentals of


161

any company is a good signal while any decision or event without

fundamental support must be avoided. The decision to change in dividend

must be long term in nature and supported by the financial results and

future prospect of the company.

vi. The degree of comprehensiveness of firms' financial statement is also

important for bringing the market transparent and efficient. In this respect

comprehensive income statement as prescribed under US GAAP and

instrumental in full disclosure can be considered for adoption in practice.

vii. Efficiency measures by regulation are warranted to provide protection to

retail and minority shareholders devoid of full information by way of

representation to Board. Voluntary action on the part of companies in this

direction would speak of good governance and add credibility to board

functioning in the interest of the company for it long term value creation.

.

6.2.2 Regulatory Bodies

i. Regulatory bodies such as Ministry of Corporate Affairs, SEBI and Stock

Exchanges are expected to exercise more stringent measures to ensure

investor protection and transparency in the market for improved efficiency

through punitive and penal actions.

ii. In order to intergrate the Indian financial system internationally,

mandatory movement to IFRS by all listed companies may become

necessary for ensuring more disclosure, transparency and efficiency in the

market.

iii. To make the disclosure prescribed disclosure norms more effective in

practice, the stock exchanges are expected to ensure compliances from the

listed companies through surveillance investigation, and punitive actions to

deter market players companies in endulging in trading based on inside

information.


162

6.2.3 Investors

Institutional investors are expected to exercise prudence and sound judgement in

their stock market behavior. Due to their position and expertise , they have better

understanding of the market dynamics. They are expected to make their portfolio

decisions for long term capital gains instead of short term profit booking thereby

giving stability to the market and preventing undue volatility which may drive

herd behavior.

Retail investors must be conversant with the understanding required for making

rational investment decisions rather than engage in speculative behavior. They

must exercise their decisions based on analysis as irrational behavior on their part

adds to inefficiency of the market. Investor education would facilitate more

responsible behavior and protection of interests of the retail investors and would

simultaneously spread the equity culture in the country. This would force

companies to incorporate improved information characteristics to help investors

make rational investment decisions based on quality of information.

6.3 Limitations and directions for future research

I. This study covers only cash dividend related events of Large cap, mid cap

and small cap companies numbering 103 common to NSE and BSE

Indices as representing Indian Stock market. Larger sample of companies

would be able to give more substantive results.

II. Buyback of shares and bonus shares have not been included in the study.

The study can also be extended to examine signaling of the events

pertaining to non-cash dividends such as buyback of shares and issue of

bonus shares.

III. In the selection of events we have considered minimum 10% change in

dividend for the inclusion of event in the study. It is also possible to

examine the expected dividend and dividend surprise to see the effect on

the share prices.


163

IV. Though the GARCH model used in this study is regarded as advanced

market model for event analysis, other statistical models such as Arma ,

WLS etc can also be used to compare the results of this study.

V. This study considered only one factor for analysis i.e dividend change.

Owner structure is supposed to play a vital role in dividend decision and

therefore correlating dividend change decision with ownership structure

can provide interesting insights about dividend decisions of business

houses which control almost 50 % of the big businesses in India.

VI. This study examined events over a span of 10 years from FY 2001 to FY

2011. A structural break anlysis can be performed by dividing the period

under study to compare relative effects of signaling as well as levels of

efficiency.

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APPENDICES

177

Appendix 3.1: Market capitalisation of Companies identified being common to

NSE and BSE with at least ten dividend events during the period

2001-02 to 2010-2011

Sr.

No.

Company Name Industry Classification Average

Market

Capitalization

(2001-02to

2010-11)

(Rs. Crores)

Large Caps: Total No. of Companies 81

1 Coal India Ltd. Mining 202165.51

2 Reliance Industries Ltd. Chemicals 175283.59

3 Oil & Natural Gas

Corpn. Ltd.

Mining 140417.55

4 N T P C Ltd. Electricity 138616.14

5 M M T C Ltd. Wholesale & Retail Trading 110131.02

6 Tata Consultancy

Services Ltd.

Information Technology 99915.52

7 N M D C Ltd. Mining 73572.63

8 Infosys Ltd. Information Technology 73106.78

9 State Bank Of India Banking Services/ Financial Services 64568.61

10 I T C Ltd. Food & Beverage 51355.27

11 Bharat Heavy Electricals

Ltd.

Machinery/ Non Electrical machinery 51193.72

12 I C I C I Bank Ltd. Banking Services/ Financial Services 50692.14

13 Power Grid Corpn. Of

India Ltd.

Electricity 46808.62

14 Hindustan Unilever Ltd. Chemicals 46048.87

15 Indian Oil Corpn. Ltd. Chemicals 45971.76

16 Larsen & Toubro Ltd. Construction & Real Estate 44783.22

17 N H P C Ltd. Electricity 39361.34

18 Steel Authority Of India

Ltd.

Metal & Metal Products/Ferrous

Metal/Steel

38661.55

19 HDFC Ltd. Asset Financing/Financial Services 38617.18

20 Oil India Ltd. Mining 30265.77

21 Sterlite Industries (India)

Ltd.

Metal & Metal Products/Non Ferrous

Metal/Copper & Copper Products

25189.08

22 Tata Steel Ltd. Metal & Metal

Products/FerrousMetal/Steel

24868.90

23 G A I L (India) Ltd. Misc. Services 24415.07

24 Power Finance Corpn.

Ltd.

Asset Financing/Financial Services 23570.87

25 Jaiprakash Associates

Ltd.

Construction & Real Estate 19120.13

26 Jindal Steel & Power

Ltd.

Metal & Metal Products/Ferrous

Metal/Steel

18669.85

27 Infrastructure Asset Financing/Financial Services 17825.26

APPENDICES

178

Development Finance

Co. Ltd.

28 Tata Motors Ltd. Transport Equipments/Automobile 17821.52

29 Hindustan Zinc Ltd. Metal & Metal Products/Non Ferrous

Metal/Other Non Ferrous Metals

17151.22

30 Rural Electrification

Corpn. Ltd.


31 Axis Bank Ltd. Banking Services/ Financial Services 16664.78

32 Sun Pharmaceutical Inds.

Ltd.

Chemicals 15774.36

33 Hero Motocorp Ltd. Transport Equipments/Automobile 14680.55

34 Hindalco Industries Ltd. Metal & Metal Products/Non Ferrous

Metal/Copper & Copper product

14566.68

35 Reliance Infrastructure

Ltd.


36 National Aluminium Co.

Ltd.

Metal & Metal Products/Non Ferrous

Metal/Aluminium & Aluminium

Products

14310.32

37 Unitech Ltd. Construction & Real Estate 14265.78

38 Punjab National Bank Banking Services/ Financial Services 14253.99

39 Ranbaxy Laboratories

Ltd.

Chemicals 14186.61

40 Tata Power Co. Ltd. Electricity 13850.39

41 H C L Technologies Ltd. Information Technology 13504.75

42 Satyam Computer

Services Ltd.


43 Grasim Industries Ltd. Textile Industry 13382.94

44 Cipla Ltd. Chemicals 13043.79

45 Sun T V Network Ltd. Hospitality & Recreational Services 12854.61

46 Neyveli Lignite Corpn.

Ltd.


47 Kotak Mahindra Bank

Ltd.

Banking Services/ Financial Services 12494.26

48 Bharat Petroleum Corpn.

Ltd.

Chemicals 12335.97

49 Mahindra & Mahindra

Ltd.

Transport Equipments/Automobile 12198.83

50 Nestle India Ltd. Food & Beverage 11954.33

51 Adani Enterprises Ltd. Wholesale & Retail Trading 10870.37

52 Siemens Ltd. Diversified 10802.69

53 Dr. Reddy'S Laboratories

Ltd.

Chemicals 10584.49

54 Ambuja Cements Ltd. Non Metalic Mineral Products Cement 10043.47

55 Hindustan Petroleum

Corpn. Ltd.

Chemicals 10010.74

56 A B B Ltd. Diversified 9986.11

57 Ultratech Cement Ltd. Non Metalic Mineral Products/Cement 9906.37

58 Bank Of Baroda Banking Services/ Financial Services 9407.88

59 A C C Ltd. Non Metalic Mineral Products/ Cement 9248.40

APPENDICES

179

60 Bank Of India Banking Services/ Financial Services 9095.00

61 Canara Bank Banking Services/ Financial Services 9041.06

62 Sesa Goa Ltd. Mining 8689.04

63 Bajaj Holdings & Invst.

Ltd.

Investment Services/Financial Services 8637.46

64 Tata Communications

Ltd.

Communication

Services/Telecommunication Services

8612.02

65 Zee Entertainment

Enterprises Ltd.

Hospitality & Recreational Services 7994.14

66 Bosch Ltd. Transport Equipments/ Automobile

Ancillery

7806.61

67 Container Corpn. Of

India Ltd.

Transport Services/ Transport &

Logistic

7805.80

68 Asian Paints Ltd. Chemicals 7803.81

69 J S W Steel Ltd. Metal & Metal


7704.96

70 M O I L Ltd. Mining 7538.30

71 Glaxosmithkline


Chemicals 7435.14

72 Mahanagar Telephone

Nigam Ltd.

Communication


7258.56

73 Bharat Electronics Ltd. Machinery/Electronics 7004.35

74 Indian Bank Banking Services/ Financial Services 6920.23

75 Punj Lloyd Ltd. Construction & Real Estate 6804.59

76 United Spirits Ltd. Food & Beverage 6779.54

77 Union Bank Of India Banking Services/ Financial Services 6680.09

78 Dabur India Ltd. Diversified 6385.93

79 Indiabulls Financial

Services Ltd.


80 Crompton Greaves Ltd. Machinery/ Electrical Machinery 6015.28

81 I D B I Bank Ltd. Banking Services/ Financial Services 5303.45

Mid- Caps: Total No. of Companies 69

Sr.

No.


Market

Capitalization

(2001-02to

2010-11)

(Rs. Crores)

1 Lupin Ltd. Chemicals 4940.15

2 Biocon Ltd. Chemicals 4889.91

3 United Phosphorus Ltd. Chemicals 4706.48

4 Glenmark


Chemicals 4687.00

5 Jet Airways (India) Ltd. Transport Services 4683.37

6 Colgate-Palmolive

(India) Ltd.

Chemicals 4611.03

7 Patni Computer Systems

Ltd.


8 Mphasis Ltd. Information Technology 4568.07

APPENDICES

180

9 Cummins India Ltd. Machinery/ Non Electrical machinery 4508.89

10 Shriram Transport

Finance Co. Ltd.


11 Piramal Healthcare Ltd. Chemicals 4324.57

12 Aban Offshore Ltd. Construction & Real Estate 4267.79

13 Oriental Bank Of

Commerce


14 Shipping Corpn. Of India

Ltd.

Transport Services 4075.65

15 Castrol India Ltd. Chemicals 4030.46

16 Tata Chemicals Ltd. Chemicals 3998.90

17 Cadila Healthcare Ltd. Chemicals 3956.91

18 Indian Hotels Co. Ltd. Hospitality & Recreational Services 3938.73

19 Corporation Bank Banking Services/ Financial Services 3926.11

20 Engineers India Ltd. Construction & Real Estate 3614.88

21 Indian Overseas Bank Banking Services/ Financial Services 3610.85

22 Bharat Forge Ltd. Transport Equipments/ Autromobile

ancillery

3598.55

23 Exide Industries Ltd. Machinery/Elerctrical Machinery 3596.40

24 Ashok Leyland Ltd. Transport Equipments/ Automobile 3574.79

25 Financial Technologies

(India) Ltd.


26 Titan Industries Ltd. Non Metalic Mineral Products/Gemes

& Jewellery

3480.16

27 Alstom T & D India Ltd. Diversified 3461.36

28 India Infoline Ltd. Fee Based Services/Securities Broking

/Financial Services

3459.71

29 Thermax Ltd. Machinery/Non Electrical Machinery 3453.92

30 Pantaloon Retail (India)

Ltd.

Wholesale & Retail Trading 3441.97

31 Tata Global Beverages

Ltd.

Food & Beverage 3288.64

32 Godrej Industries Ltd. Chemicals 3255.83

33 Allahabad Bank Banking Services/ Financial Services 3119.30

34 Godrej Consumer

Products Ltd.

Chemicals 3118.63

35 E I H Ltd. Hospitality & Recreational Services 3009.40

36 United Breweries Ltd. Food & Beverage 3001.69

37 Great Eastern Shipping

Co. Ltd.


38 Mahindra & Mahindra

Financial Services Ltd.


39 Jagran Prakashan Ltd. Misc. Manufacturing 2913.70

40 Century Textiles & Inds.

Ltd.

Non Metalic Mineral

Products/Cements

2871.02

41 Andhra Bank Banking Services/ Financial Services 2841.04

42 Glaxosmithkline

Consumer Healthcare


APPENDICES

181

Ltd.

43 Deccan Chronicle

Holdings Ltd.

Misc. Manufacturing 2781.82

44 L I C Housing Finance

Ltd.


45 A I A Engineering Ltd. Metal & Metal Products/ferrous

metal/Casting and forging

2730.72

46 Syndicate Bank Banking Services/ Financial Services 2667.06

47 Pidilite Industries Ltd. Chemicals 2665.24

48 Marico Ltd. Food & Beverage 2664.09

49 Bhushan Steel Ltd. Metal & Metal Products/ Ferrous

metal/Steel

2646.62

50 Britannia Industries Ltd. Food & Beverage 2624.64

51 I V R C L Ltd. Construction & Real Estate 2530.21

52 Gillette India Ltd. Metal & Metal

Products/FerrousMetal/Metal Products

2472.84

53 Shree Cement Ltd. Non Metalic Mineral Products/Cement 2459.66

54 Procter & Gamble

Hygiene & Health Care

Ltd.

Chemicals 2439.89

55 Rashtriya Chemicals &

Fertilizers Ltd.

Chemicals 2403.32

56 Motherson Sumi

Systems Ltd.

Transport Equipments/Automobile

Ancillery

2372.72

57 C E S C Ltd. Electricity 2368.60

58 J M Financial Ltd. Investment Services/Financial Services 2347.60

59 Jubilant Life Sciences

Ltd.

Chemicals 2329.96

60 Indusind Bank Ltd. Banking Services/ Financial Services 2319.12

61 National Fertilizers Ltd. Chemicals 2265.00

62 Chennai Petroleum

Corpn. Ltd.

Chemicals 2258.82

63 N C C Ltd. Construction & Real Estate 2247.92

64 B E M L Ltd. Machinery/ Non Electrical machinery 2213.10

65 Federal Bank Ltd. Banking Services/ Financial Services 2153.56

66 Aurobindo Pharma Ltd. Chemicals 2145.81

67 Alstom Projects India

Ltd.


68 Aventis Pharma Ltd. Chemicals 2039.61

69 Indraprastha Gas Ltd. Misc. Services 2031.40

Small- Caps: Total No. of Companies 477

Sr.

No.


Market

Capitalization

(2001-02to

2010-11)

(Rs. Crores)

1 Gujarat Mineral Devp.

Corpn. Ltd.

Mining 1988.69

APPENDICES

182

2 Moser Baer India Ltd. Machinery/Electronics 1981.95

3 Everest Kanto Cylinder

Ltd.

Metal & Metal Products 1956.03

4 Apollo Hospitals

Enterprise Ltd.

Health Services 1955.17

5 Sintex Industries Ltd. Chemicals 1949.36

6 Sterling Biotech Ltd. Chemicals 1947.98

7 Emami Ltd. Chemicals 1943.41

8 Bank Of Maharashtra Banking Services/ Financial Services 1916.85

9 Allcargo Logistics Ltd. Transport Services/ Transport &

Logistic

1913.87

10 Jammu & Kashmir Bank

Ltd.


11 Rolta India Ltd. Information Technology 1896.52

12 Madras Cements Ltd. Non Metalic Mineral Products/Cement 1868.86

13 Bombay Rayon Fashions

Ltd.

Textile Industry 1855.23

14 A B G Shipyard Ltd. Transport Equipments/ Automobile 1807.51

15 Patel Engineering Ltd. Construction & Real Estate 1805.61

16 Coromandel

International Ltd.

Chemicals 1760.79

17 G T L Ltd. Communication


1755.05

18 Pfizer Ltd. Chemicals 1752.35

19 Sundaram Finance Ltd. Asset Financing/Financial Services 1743.91

20 H C L Infosystems Ltd. Wholesale & Retail Trading 1718.82

21 Hindustan Construction

Co. Ltd.


22 I N G Vysya Bank Ltd. Banking Services/ Financial Services 1682.77

23 State Bank Of Mysore Banking Services/ Financial Services 1649.38

24 Opto Circuits (India)

Ltd.

Machinery/Electronics 1640.84

25 Rei Agro Ltd. Food & Beverage 1639.89

26 Gujarat N R E Coke Ltd. Mining 1623.73

27 Blue Star Ltd. Machinery/ Electrical Machinery 1594.81

28 Triveni Engineering &

Inds. Ltd.

Food & Beverage/Diversified 1593.82

29 State Bank Of

Travancore


30 Kalpataru Power

Transmission Ltd.

Metal & Metal


1565.36

31 Gujarat Gas Co. Ltd. Misc. Services 1545.26

32 State Bank Of Bikaner &

Jaipur


33 Bajaj Hindusthan Ltd. Food & Beverage 1498.94

34 Lakshmi Machine Works

Ltd.

Machinery/Non Electrical Machinery 1493.01

35 Crisil Ltd. Misc. Services 1484.54

APPENDICES

183

36 Maharashtra Seamless

Ltd.

Metal & Metal Products/FerrousMetal 1476.89

37 Chambal Fertilisers &

Chemicals Ltd.

Chemicals 1475.81

38 Gitanjali Gems Ltd. Non Metalic Mineral Products/Gemes

& Jewellery

1462.38

39 Jindal Stainless Ltd. Metal & Metal


1461.27

40 Torrent Pharmaceuticals

Ltd.

Chemicals 1444.78

41 Gammon India Ltd. Construction & Real Estate 1433.64

42 Havells India Ltd. Machinery/Elerctrical Machinery 1380.28

43 Kansai Nerolac Paints

Ltd.

Chemicals 1375.26

44 Rajesh Exports Ltd. Non Metalic Mineral Products/Gemes

& Jewellery

1359.20

45 Kirloskar Brothers Ltd. Machinery/Non Electrical Machinery 1355.85

46 Karur Vysya Bank Ltd. Banking Services/ Financial Services 1355.80

47 T V S Motor Co. Ltd. Transport Equipments/Automobile 1349.41

48 Apollo Tyres Ltd. Chemicals 1324.39

49 Akzo Nobel India Ltd. Chemicals 1310.29

50 Core Education &

Technologies Ltd.


51 M R F Ltd. Chemicals 1274.44

52 Dredging Corpn. Of

India Ltd.


53 Ballarpur Industries Ltd. Misc. Manufacturing 1257.61

54 Gateway Distriparks Ltd. Transport Services/Transport &

Logistics

1248.05

55 Alfa Laval (India) Ltd. Machinery/ Non Elecrical Machinery 1233.43

56 Karnataka Bank Ltd. Banking Services/ Financial Services 1233.11

57 Nava Bharat Ventures

Ltd.

Electricity 1202.71

58 Praj Industries Ltd. Machinery/Non Electrical Machinery 1200.38

59 Polaris Financial

Technology Ltd.


60 Birla Corporation Ltd. Non Metalic Mineral Products/ Cement 1194.17

61 E I D-Parry (India) Ltd. Food & Beverage 1185.63

62 Ipca Laboratories Ltd. Chemicals 1182.64

63 Gujarat Fluorochemicals

Ltd.

Chemicals 1176.35

64 Astrazeneca Pharma

India Ltd.

Chemicals 1168.84

65 Simplex Infrastructures

Ltd.


66 Shriram City Union

Finance Ltd.


67 Bombay Dyeing & Mfg.

Co. Ltd.


68 Gujarat Narmada Valley Chemicals 1146.28

APPENDICES

184

Fertilizers Co. Ltd.

69 C M C Ltd. Information Technology 1139.61

70 Tata Investment Corpn.

Ltd.


71 State Trading Corpn. Of

India Ltd.


72 Plethico Pharmaceuticals

Ltd.

Chemicals 1114.80

73 Jyothy Laboratories Ltd. Chemicals 1113.40

74 Kirloskar Industries Ltd. Machinery/Non Electrical Machinery 1098.58

75 Hindustan Oil

Exploration Co. Ltd.

Mining 1062.75

76 Monnet Ispat & Energy

Ltd.


77 Berger Paints India Ltd. Chemicals 1017.05

78 Monsanto India Ltd. Food & Beverage 1015.84

79 S K F India Ltd. Machinery/Non Electrical Machinery 1006.80

80 Honeywell Automation

India Ltd.


81 Panacea Biotec Ltd. Chemicals 969.35

82 Usha Martin Ltd. Metal & Metal


952.08

83 Godfrey Phillips India

Ltd.


84 Ruchi Soya Inds. Ltd. Food & Beverage 944.24

85 Ansal Properties &

Infrastructure Ltd.


86 Dalmia Bharat Sugar &

Inds. Ltd.


87 Strides Arcolab Ltd. Chemicals 919.87

88 Mahindra Lifespace

Developers Ltd.


89 Gujarat State Fertilizers

& Chemicals Ltd.

Chemicals 916.42

90 Blue Dart Express Ltd. Transport Services/ Transport &

Logistic

901.62

91 Hotel Leela Venture Ltd. Hospitality & Recreational Services 901.33

92 Prism Cement Ltd. Non Metalic Mineral Products/Cement 885.47

93 Kesoram Industries Ltd. Diversified 884.45

94 Orchid Chemicals &


Chemicals 853.14

95 Gujarat Industries Power

Co. Ltd.

Electricity 838.95

96 Ingersoll-Rand (India)

Ltd.


97 Hindusthan National

Glass & Inds. Ltd.

Non Metalic Mineral Products 825.06

98 Hexaware Technologies

Ltd.


99 Thomas Cook (India) Hospitality & Recreational Services 814.55

APPENDICES

185

Ltd.

100 Infotech Enterprises Ltd. Information Technology 809.78

101 Sundram Fasteners Ltd. Transport Equipments/Automobile

Ancillery

803.65

102 Carborundum Universal

Ltd.


103 Hinduja Ventures Ltd. Investment Services/Financial Services 792.12

104 Asian Hotels (North)

Ltd.


105 Greaves Cotton Ltd. Machinery/Non Electrical Machinery 785.36

106 Tube Investments Of

India Ltd.

Metal & Metal


776.44

107 Eicher Motors Ltd. Transport Equipments/Automobile 775.21

108 Electrosteel Castings

Ltd.


109 B O C India Ltd. Chemicals 771.40

110 Geodesic Ltd. Information Technology 768.79

111 South Indian Bank Ltd. Banking Services/ Financial Services 765.20

112 Arvind Ltd. Textile Industru 755.14

113 Mercator Ltd. Transport Services 747.43

114 Abbott India Ltd. Diversified 736.83

115 Sundaram-Clayton Ltd. Transport Equipments/Automobile

Ancillery

736.61

116 Jyoti Structures Ltd. Metal & Metal


734.44

117 Escorts Ltd. Machinery/Non Electrical Machinery 733.68

118 Trent Ltd. Wholesale & Retail Trading 733.20

119 Bata India Ltd. Misc. Manufacturing 730.32

120 Bharati Shipyard Ltd. Transport Equipments/Automobile 728.62

121 Century Plyboards

(India) Ltd.


122 Bajaj Finance Ltd. Asset Financing/Financial Services 722.14

123 Reliance Industrial

Infrastructure Ltd.

Misc. Services 709.37

124 Alok Industries Ltd. Textile Industru 704.73

125 Manappuram Finance

Ltd.


126 F D C Ltd. Chemicals 693.27

127 Page Industries Ltd. Textile Industry 676.38

128 Texmaco Ltd. Misc. Services 675.96

129 Finolex Cables Ltd. Machinery/Elerctrical Machinery 675.43

130 Merck Ltd. Chemicals 673.42

131 Graphite India Ltd. Non Metalic Mineral Products 671.54

132 Finolex Industries Ltd. Chemicals 669.42

133 Essel Propack Ltd. Chemicals 659.08

134 Mandhana Industries

Ltd.


APPENDICES

186

135 Jindal Drilling & Inds.

Ltd.


136 D C M Shriram

Consolidated Ltd.

Diversified 649.16

137 Unity Infraprojects Ltd. Construction & Real Estate 648.02

138 Bajaj Electricals Ltd. Machinery/ Electrical machinery 631.12

139 H E G Ltd. Non Metalic Mineral Products 627.87

140 S R E I Infrastructure

Finance Ltd.


141 Navneet Publications

(India) Ltd.


142 S R F Ltd. Textile Industru 611.86

143 Unichem Laboratories

Ltd.

Chemicals 611.67

144 Sasken Communication

Technologies Ltd.


145 Dewan Housing Finance

Corpn. Ltd.


146 Solar Industries India

Ltd.

Chemicals 594.22

147 Balkrishna Industries

Ltd.

Chemicals 594.13

148 Balaji Telefilms Ltd. Hospitality & Recreational Services 591.94

149 Gulf Oil Corpn. Ltd. Chemicals 586.23

150 Mastek Ltd. Information Technology 580.90

151 Clariant Chemicals

(India) Ltd.

Diversified 579.17

152 City Union Bank Ltd. Banking Services/ Financial Services 577.07

153 Bannari Amman Sugars

Ltd.


154 Gujarat Alkalies &

Chemicals Ltd.

Chemicals 574.10

155 I S M T Ltd. Metal & Metal


567.87

156 Zuari Industries Ltd. Chemicals 565.93

157 Lakshmi Energy &

Foods Ltd.


158 Ruchi Infrastructure Ltd. Food & Beverage 563.51

159 Cranes Software Intl.

Ltd.


160 Elecon Engineering Co.

Ltd.


161 I C S A (India) Ltd. Information Technology 557.27

162 Deepak Fertilisers &

Petrochemicals Corpn.

Ltd.

Chemicals 556.70

163 P S L Ltd. Metal & Metal Products/FerrousMetal 541.02

164 Indo Rama Synthetics

(India) Ltd.

Textile Industru 538.92

165 Rallis India Ltd. Chemicals 535.97

APPENDICES

187

166 Amara Raja Batteries

Ltd.

Machinery/ Elecrical machinery 527.57

167 Grindwell Norton Ltd. Non Metalic Mineral Products 526.00

168 Amtek India Ltd. Metal & Metal Products / Ferrous

metal/ Casting & Forging

525.47

169 Kalyani Steels Ltd. Metal & Metal


519.41

170 Cholamandalam

Investment & Finance

Co. Ltd.


171 Jindal Poly Films Ltd. Chemicals 507.43

172 Sarda Energy & Minerals

Ltd.


173 Geojit B N P Paribas

Financial Services Ltd.

Fee Based Services/Securities

Broking/Financial Services

498.01

174 Tamil Nadu Newsprint &

Papers Ltd.


175 Balmer Lawrie & Co.

Ltd.


176 Tata Elxsi Ltd. Information Technology 486.33

177 Supreme Industries Ltd. Chemicals 481.21

178 F A G Bearings India

Ltd.


179 G H C L Ltd. Chemicals 472.64

180 Alembic Ltd. Chemicals 468.59

181 Godawari Power & Ispat

Ltd.

Metal & Metal


466.21

182 Himatsingka Seide Ltd. Textile Industru 464.43

183 Taj G V K Hotels &

Resorts Ltd.


184 Orient Paper & Inds. Ltd. Non Metalic Mineral Products/Cement 458.10

185 Sanwaria Agro Oils Ltd. Food & Beverage 455.49

186 J B Chemicals &


Chemicals 441.75

187 K P I T Cummins

Infosystems Ltd.


188 O C L India Ltd. Non Metalic Mineral Products/Cement 429.05

189 K S B Pumps Ltd. Machinery/Non Electrical Machinery 426.58

190 S P M L Infra Ltd. Construction & Real Estate 423.89

191 Subex Ltd. Information Technology 423.60

192 Karuturi Global Ltd. Food & Beverage 423.43

193 H B L Power Systems

Ltd.

Machinery/Elerctrical Machinery 423.41

194 Hikal Ltd. Chemicals 419.09

195 Pratibha Industries Ltd. Construction & Real Estate 415.13

196 Bharat Bijlee Ltd. Machinery/ Electrical Machinery 414.39

197 Oriental Hotels Ltd. Hospitality & Recreational Services 403.83

198 P V R Ltd. Hospitality & Recreational Services 399.30

APPENDICES

188

199 Ratnamani Metals &

Tubes Ltd.


200 I L & F S Investment

Managers Ltd.

Other Financial Services 397.14

201 K C P Ltd. Non Metalic Mineral Products/Cement 394.87

202 Sanghvi Movers Ltd. Misc. Services 387.76

203 Dhanlaxmi Bank Ltd. Banking Services/ Financial Services 385.57

204 Esab India Ltd. Machinery/Elerctrical Machinery 382.53

205 J K Lakshmi Cement

Ltd.

Non Metalic Mineral Products/Cement 381.38

206 Nucleus Software

Exports Ltd.


207 Chemplast Sanmar Ltd. Chemicals 371.51

208 Gruh Finance Ltd. Asset Financing/Financial Services 368.44

209 Automotive Axles Ltd. Transport Equipments/ Automobile

ancillery

366.14

210 Elder Pharmaceuticals

Ltd.

Chemicals 364.24

211 Emco Ltd. Machinery/Elerctrical Machinery 361.10

212 Assam Company India

Ltd.


213 Indoco Remedies Ltd. Chemicals 347.72

214 Transport Corporation

Of India Ltd.

Transport Services/Transport &

Logistics

342.88

215 Magma Fincorp Ltd. Asset Financing/Financial Services 337.39

216 Tata Coffee Ltd. Food & Beverage 335.65

217 T R F Ltd. Machinery/Non Electrical Machinery 335.54

218 Elgi Equipments Ltd. Machinery/Non Electrical Machinery 329.41

219 Kewal Kiran Clothing

Ltd.


220 Apar Industries Ltd. Diversified 317.86

221 P N B Gilts Ltd. Investment Services/Financial Services 315.63

222 Dynamatic Technologies

Ltd.


Ancillery

310.97

223 Rico Auto Inds. Ltd. Transport Equipments/Automobile

Ancillery

304.07

224 Geometric Ltd. Information Technology 303.65

225 Zandu Realty Ltd. Construction & Real Estate 303.27

226 Sonata Software Ltd. Information Technology 301.89

227 M P S Ltd. Misc. Manufacturing 297.99

228 Aftek Ltd. Information Technology 290.80

229 Om Metals Infraprojects

Ltd.

Metal & Metal


289.06

230 J K Tyre & Inds. Ltd. Chemicals 286.38

231 Shanthi Gears Ltd. Machinery/Non Electrical Machinery 282.81

232 Ahmednagar Forgings

Ltd.

Metal & Metal Products Ferrous Metal/

Casting & Forging

282.71

233 Savita Oil Technologies Chemicals 282.06

APPENDICES

189

Ltd.

234 K R B L Ltd. Food & Beverage 278.62

235 Ramco Industries Ltd. Non Metalic Mineral Products 275.50

236 Mirc Electronics Ltd. Machinery/Electronics 271.44

237 Jindal Worldwide Ltd. Textile Industry 268.37

238 J K Paper Ltd. Misc. Manufacturing 268.08

239 Paper Products Ltd. Chemicals 266.61

240 Asian Electronics Ltd. Wholesale & Retail Trading 261.02

241 Tide Water Oil Co.

(India) Ltd.

Chemicals 259.62

242 H S I L Ltd. Non Metalic Mineral Products 257.14

243 Ineos A B S (India) Ltd. Chemicals 255.50

244 Murli Industries Ltd. Food & Beverage 253.86

245 Easun Reyrolle Ltd. Machinery/Electronics 253.62

246 S M L Isuzu Ltd. Transport Equipments/Automobile 251.70

247 Hindustan Dorr-Oliver

Ltd.


248 Datamatics Global

Services Ltd.


249 Ruby Mills Ltd. Textile Industru 246.39

250 Gujarat Ambuja Exports

Ltd.


251 N R B Bearings Ltd. Machinery/Non Electrical Machinery 243.73

252 Binani Industries Ltd. Other Financial Services 237.90

253 Indraprastha Medical

Corpn. Ltd.


254 Polyplex Corporation

Ltd.

Chemicals 232.02

255 Ramsarup Industries Ltd. Metal & Metal


231.85

256 Natco Pharma Ltd. Chemicals 230.51

257 Smartlink Network

Systems Ltd.


258 Ceat Ltd. Chemicals 228.79

259 Genus Power

Infrastructures Ltd.

Diversified 227.92

260 K C P Sugar & Inds.

Corpn. Ltd.


261 T T K Prestige Ltd. Machinery/Elerctrical Machinery 225.58

262 Banco Products (India)

Ltd.

Transport Equipments/ Auto ancillery 224.10

263 Tata Sponge Iron Ltd. Metal & Metal Products/FerrousMetal 218.99

264 Shasun Pharmaceuticals

Ltd.

Chemicals 218.48

265 Maharashtra Scooters

Ltd.


266 Tata Metaliks Ltd. Metal & Metal Products/FerrousMetal 216.01

267 G I C Housing Finance Asset Financing/Financial Services 212.21

APPENDICES

190

Ltd.

268 Greenply Industries Ltd. Misc. Manufacturing 211.19

269 Indian Hume Pipe Co.

Ltd.


270 Aarti Industries Ltd. Chemicals 208.29

271 Kothari Products Ltd. Wholesale & Retail Trading 207.23

272 Navin Fluorine Intl. Ltd. Chemicals 206.87

273 Aegis Logistics Ltd. Misc. Services 206.78

274 Swaraj Engines Ltd. Machinery/Non Electrical Machinery 204.74

275 T I L Ltd. Wholesale & Retail Trading 203.53

276 Nahar Spinning Mills

Ltd.


277 Zenith Infotech Ltd. Wholesale & Retail Trading 200.18

278 Global Offshore Services

Ltd.


279 Supreme Petrochem Ltd. Chemicals 197.74

280 Kei Industries Ltd. Machinery/Elerctrical Machinery 195.62

281 I T D Cementation India

Ltd.


282 Garden Silk Mills Ltd. Textile Industry 185.83

283 D C W Ltd. Diversified 185.31

284 Honda Siel Power

Products Ltd.


285 Zodiac Clothing Co. Ltd. Textile Industru 181.46

286 Kajaria Ceramics Ltd. Non Metalic Mineral Products 180.24

287 C C L Products (India)

Ltd.


288 K L G Systel Ltd. Information Technology 179.90

289 Selan Exploration

Technology Ltd.

Mining 177.72

290 Dolphin Offshore

Enterprises (India) Ltd.


291 Spanco Ltd. Information Technology 170.37

292 A B G Infralogistics Ltd. Misc. Services 169.99

293 Atul Ltd. Chemicals 169.99

294 Munjal Showa Ltd. Transport Equipments/Automobile

Ancillery

167.51

295 Foseco India Ltd. Chemicals 165.51

296 Numeric Power Systems

Ltd.


297 India Nippon Electricals

Ltd.


Ancillery

162.85

298 A P L Apollo Tubes Ltd. Metal & Metal Products/ferrous metal 162.10

299 Hyderabad Industries

Ltd.


300 Cosmo Films Ltd. Chemicals 160.29

301 Subros Ltd. Transport Equipments/Automobile

Ancillery

159.93

APPENDICES

191

302 Gemini Communication

Ltd.


303 Excel Crop Care Ltd. Chemicals 153.68

304 Shrenuj & Co. Ltd. Non Metalic Mineral Products/Gemes

& Jewellery

153.51

305 R S W M Ltd. Textile Industru 150.59

306 Tantia Constructions Ltd. Construction & Real Estate 150.19

307 Sharyans Resources Ltd. Other Financial Services 149.75

308 F C S Software Solutions

Ltd.


309 Denso India Ltd. Transport Equipments/Automobile

Ancillery

148.58

310 Gabriel India Ltd. Transport Equipments/Automobile

Ancillery

147.86

311 Fedders Lloyd Corpn.

Ltd.


312 Sagar Cements Ltd. Non Metalic Mineral Products/Cement 147.37

313 Micro Technologies

(India) Ltd.


314 Rajapalayam Mills Ltd. Textile Industru 144.29

315 Bliss G V S Pharma Ltd. Chemicals 142.84

316 Nippo Batteries Co. Ltd. Machinery/Elerctrical Machinery 142.40

317 Ador Welding Ltd. Machinery/ Electrical Machinery 142.21

318 Manugraph India Ltd. Machinery/Non Electrical Machinery 142.08

319 Maxwell Industries Ltd. Wholesale & Retail Trading 142.03

320 Gujarat Apollo Inds. Ltd. Machinery/Non Electrical Machinery 141.45

321 Advani Hotels & Resorts

(India) Ltd.


322 Heritage Foods (India)

Ltd.


323 Bhagyanagar India Ltd. Metal & Metal Products/Non Ferrous

Metal/Copper & Copper product

138.19

324 Sundaram Multi Pap Ltd. Misc. Manufacturing 138.05

325 Gillanders Arbuthnot &

Co. Ltd.

Diversified 137.78

326 Nilkamal Ltd. Chemicals 135.32

327 Kanoria Chemicals &

Inds. Ltd.

Chemicals 134.61

328 Lumax Industries Ltd. Transport Equipments/Automobile

Ancillery

134.23

329 Everest Industries Ltd. Non Metalic Mineral Products 133.41

330 L G Balakrishnan &

Bros. Ltd.

Metal & Metal


130.34

331 Jupiter Bioscience Ltd. Chemicals 129.56

332 Dhanuka Agritech Ltd. Chemicals 129.22

333 Panoramic Universal

Ltd.


334 Mirza International Ltd. Misc. Manufacturing 127.33

335 D I C India Ltd. Chemicals 126.51

APPENDICES

192

336 India Motor Parts &

Accessories Ltd.


337 Sudarshan Chemical

Inds. Ltd.

Chemicals 125.78

338 R Systems International

Ltd.


339 Rane Holdings Ltd. Other Financial Services 122.18

340 Garware-Wall Ropes

Ltd.


341 Ansal Housing &

Construction Ltd.


342 Ucal Fuel Systems Ltd. Transport Equipments/Automobile

Ancillery

119.23

343 Bodal Chemicals Ltd. Chemicals 119.22

344 Manali Petrochemicals

Ltd.

Chemicals 118.72

345 Sandesh Ltd. Misc. Manufacturing 117.64

346 Eastern Silk Inds. Ltd. Textile Industru 117.22

347 Seshasayee Paper &

Boards Ltd.


348 Universal Cables Ltd. Machinery/Elerctrical Machinery 116.07

349 Shri Lakshmi Cotsyn

Ltd.


350 Bilpower Ltd. Machinery/ Elecrical Machinery 113.96

351 Can Fin Homes Ltd. Asset Financing/Financial Services 111.88

352 I F G L Refractories Ltd. Non Metalic Mineral Products 111.87

353 J V L Agro Inds. Ltd. Food & Beverage 110.11

354 Classic Diamonds (India)

Ltd.

Non Metalic Mineral Products/ Gemes

& Jewellery

110.07

355 Suprajit Engineering Ltd. Transport Equipments/Automobile

Ancillery

109.89

356 Blue Star Infotech Ltd. Information Technology 108.87

357 Repro India Ltd. Misc. Manufacturing 107.69

358 Kavveri Telecom

Products Ltd.


359 Ind-Swift Laboratories

Ltd.

Chemicals 105.86

360 Surya Roshni Ltd. Metal & Metal Products/FerrousMetal 105.71

361 Eimco Elecon (India)

Ltd.


362 Steel Strips Wheels Ltd. Transport Equipments/Automobile

Ancillery

104.64

363 Crew B O S Products

Ltd.


364 Centum Electronics Ltd. Machinery/Electronics 102.15

365 E C E Industries Ltd. Machinery/ Electrical Machinery 102.02

366 Omax Autos Ltd. Transport Equipments/Automobile

Ancillery

99.99

367 Ajanta Pharma Ltd. Chemicals 97.39

368 Relaxo Footwears Ltd. Misc. Manufacturing 97.06

APPENDICES

193

369 Harrisons Malayalam

Ltd.

Chemicals 96.55

370 Aarvee Denims &

Exports Ltd.


371 Dhunseri Petrochem &

Tea Ltd.

Chemicals 94.22

372 Zenith Birla (India) Ltd. Metal & Metal Products/FerrousMetal 94.14

373 Hi-Tech Gears Ltd. Transport Equipments/Automobile

Ancillery

92.92

374 Amrutanjan Health Care

Ltd.

Chemicals 91.95

375 Arihant Foundations &

Housing Ltd.


376 Goldiam International

Ltd.

Non Metalic Mineral Products/Gemes

& Jewellery

91.20

377 Rajshree Sugars &

Chemicals Ltd.


378 Jeypore Sugar Co. Ltd. Food & Beverage 90.57

379 Zicom Electronic

Security Systems Ltd.


380 Siyaram Silk Mills Ltd. Textile Industru 86.77

381 Deepak Nitrite Ltd. Chemicals 85.33

382 Kamat Hotels (India)

Ltd.


383 Rainbow Papers Ltd. Misc. Manufacturing 84.18

384 Helios & Matheson

Information Technology

Ltd.


385 Prime Securities Ltd. Fee Based Services/Financial Services 82.45

386 Sundaram Brake Linings

Ltd.


Ancillery

82.29

387 Deccan Cements Ltd. Non Metalic Mineral Products/ Cement 82.16

388 Shreyas Shipping &

Logistics Ltd.


389 Precision Wires India

Ltd.


390 Kale Consultants Ltd. Information Technology 80.26

391 Rane (Madras) Ltd. Transport Equipments/Automobile

Ancillery

79.77

392 S I L Investments Ltd. Investment Services/Financial Services 79.61

393 Alchemist Ltd. Wholesale & Retail Trading 79.23

394 First Leasing Co. Of

India Ltd.


395 Jay Bharat Maruti Ltd. Transport Equipments/Automobile

Ancillery

77.06

396 Nahar Poly Films Ltd. Investment Services/Financial Services 76.99

397 Bimetal Bearings Ltd. Transport Equipments/Automobile

ancillery

76.67

398 Aarti Drugs Ltd. Chemicals 76.14

399 B L B Ltd. Investment Services/Financial Services 76.07

APPENDICES

194

400 Gandhi Special Tubes

Ltd.


401 T V S Srichakra Ltd. Chemicals 75.17

402 Ind-Swift Ltd. Wholesale & Retail Trading 74.28

403 Sah Petroleums Ltd. Chemicals 73.41

404 Jayant Agro-Organics

Ltd.


405 Tricom India Ltd. Information Technology 72.42

406 Anik Industries Ltd. Wholesale & Retail Trading 71.64

407 N C L Industries Ltd. Non Metalic Mineral Products/Cement 71.51

408 Lakshmi Mills Co. Ltd. Textile Industru 71.28

409 Ambika Cotton Mills

Ltd.


410 T T K Healthcare Ltd. Chemicals 70.96

411 Cera Sanitaryware Ltd. Non Metalic Mineral Products 69.84

412 Excel Industries Ltd. Chemicals 68.43

413 Cura Technologies Ltd. Information Technology 67.77

414 Kabra Extrusiontechnik

Ltd.


415 Arvind Remedies Ltd. Chemicals 66.95

416 Shalimar Paints Ltd. Chemicals 66.93

417 Sirpur Paper Mills Ltd. Misc. Manufacturing 66.92

418 Salora International Ltd. Wholesale & Retail Trading 65.47

419 Plastiblends India Ltd. Chemicals 64.83

420 Harita Seating Systems

Ltd.


Ancillery

63.11

421 M M Forgings Ltd. Metal & Metal

Products/FerrousMetal/Casting &

Forging

61.25

422 Banswara Syntex Ltd. Textile Industru 60.83

423 Suryalakshmi Cotton

Mills Ltd.


424 Mro-Tek Ltd. Machinery/Electronics 59.57

425 Balaji Amines Ltd. Chemicals 57.36

426 Industrial Investment

Trust Ltd.

Other Financial Services 56.49

427 G M Breweries Ltd. Food & Beverage 53.62

428 Jagsonpal


Chemicals 52.25

429 J B M Auto Ltd. Transport Equipments/Automobile

Ancillery

51.77

430 Pritish Nandy

Communications Ltd.


431 A D F Foods Ltd. Food & Beverage 50.81

432 Sarla Performance Fibres

Ltd.


433 Somany Ceramics Ltd. Non Metalic Mineral Products 50.42

APPENDICES

195

434 Panasonic Carbon India

Co. Ltd.


435 Alkyl Amines Chemicals

Ltd.

Chemicals 49.05

436 Pudumjee Pulp & Paper

Mills Ltd.


437 I P Rings Ltd. Transport Equipments/Automobile

Ancillery

47.04

438 Surana Telecom &

Power Ltd.


439 Kakatiya Cement Sugar

& Inds. Ltd.

Non Metalic Mineral Products/Cement 45.66

440 Panama Petrochem Ltd. Chemicals 45.57

441 Soma Textiles & Inds.

Ltd.


442 Indian Card Clothing Co.

Ltd.


443 Compucom Software

Ltd.


444 Goa Carbon Ltd. Chemicals 43.65

445 A V T Natural Products

Ltd.

Chemicals 43.58

446 Talbros Automotive

Components Ltd.


Ancillery

42.46

447 Chemfab Alkalis Ltd. Chemicals 41.25

448 Orient Ceramics & Inds.

Ltd.


449 Sterling Tools Ltd. Metal & Metal


39.35

450 Bhartiya International

Ltd.


451 Zenith Computers Ltd. Machinery/Electronics 38.37

452 Atlas Cycles (Haryana)

Ltd.


453 Kesar Enterprises Ltd. Food & Beverage 36.39

454 K S E Ltd. Food & Beverage 35.99

455 Patspin India Ltd. Textile Industru 35.96

456 Super Sales India Ltd. Textile Industry 34.49

457 Ponni Sugars (Erode)

Ltd.


458 Panasonic Home

Appliances India Co.

Ltd.


459 Aro Granite Inds. Ltd. Non Metalic Mineral Products 33.46

460 Xpro India Ltd. Chemicals 33.26

461 Pitti Laminations Ltd. Machinery/Elerctrical Machinery 32.74

462 Cheslind Textiles Ltd. Textile Industru 32.40

463 Madhav Marbles &

Granites Ltd.


464 De Nora India Ltd. Misc. Services 31.76

APPENDICES

196

465 I V P Ltd. Chemicals 31.70

466 Sambandam Spinning

Mills Ltd.


467 Tulsyan N E C Ltd. Metal & Metal


25.56

468 Avanti Feeds Ltd. Food & Beverage 21.42

469 B S L Ltd. Textile Industru 21.11

470 Hydro S & S Inds. Ltd. Chemicals 20.96

471 Eurotex Industries &

Exports Ltd.


472 Pondy Oxides &

Chemicals Ltd.

Chemicals 19.77

473 Pudumjee Industries Ltd. Misc. Manufacturing 15.79

474 Elnet Technologies Ltd. Information Technology 14.71

475 National Oxygen Ltd. Chemicals 12.24

476 Remsons Industries Ltd. Transport Equipments/Automobile

Ancillery

11.40

477 Zodiac-Jrd-Mkj Ltd. Non Metalic Mineral Products/Gemes

& Jewellery

8.82

Source: Prowess 3.1

APPENDICES

197

Appendix 3.2: Break –up of the 103 selected companies into respective market cap

category along with Industry representation identified being

common to the indices of NSE and BSE with at least ten dividend

events during the period 2001-02 to 2010-2011

Sr.

No.

Company Name Industry Classification Average Market

Capitalization

(2001-02to 2010-

11)

(Rs. Crores)

Large Caps: Total No. of Companies 24

1 Coal India Ltd. Mining 202165.51

2 Reliance

Industries Ltd.

Chemicals 175283.59

3 Oil & Natural Gas

Corpn. Ltd.

Mining 140417.55

4 N T P C Ltd. Electricity 138616.14

5 Tata Consultancy

Services Ltd.


6 Infosys Ltd. Information Technology 73106.78

7 State Bank Of

India

Banking Services/ Financial

Services

64568.61

8 I T C Ltd. Food & Beverage 51355.27

9 Bharat Heavy

Electricals Ltd.

Machinery/ Non Electrical

machinery

51193.72

10 I C I C I Bank

Ltd.


Services

50692.14

11 Hindustan

Unilever Ltd.

Chemicals 46048.87

12 Larsen & Toubro

Ltd.


13 HDFC Ltd. Asset Financing/Financial

Services

38617.18

14 Sterlite Industries

(India) Ltd.

Metal & Metal Products/Non

Ferrous Metal/Copper &

Copper Products

25189.08

15 Tata Steel Ltd. Metal & Metal


24868.90

16 G A I L (India)

Ltd.


17 Jindal Steel &

Power Ltd.

Metal & Metal

Products/Ferrous Metal/Steel

18669.85

18 Tata Motors Ltd. Transport

Equipments/Automobile

17821.52

19 Sun Chemicals 15774.36

APPENDICES

198

Pharmaceutical

Inds. Ltd.

20 Hero Motocorp

Ltd.

Transport


14680.55

21 Hindalco

Industries Ltd.

Metal & Metal Products/Non

Ferrous Metal/Copper &

Copper product

14566.68

22 Tata Power Co.

Ltd.


23 Cipla Ltd. Chemicals 13043.79

24 Mahindra &

Mahindra Ltd.

Transport


12198.83

Mid- Caps: Total No. of Companies 15


Capitalization

(2001-02to 2010-

11)

(Rs. Crores)

1 Glenmark

Pharmaceuticals

Ltd.

Chemicals 4687.00

2 Aban Offshore

Ltd.


3 Thermax Ltd. Machinery/Non Electrical

Machinery

3453.92

4 Pantaloon Retail

(India) Ltd.


5 Godrej Industries

Ltd.

Chemicals 3255.83

6 Pidilite Industries

Ltd.

Chemicals 2665.24

7 Marico Ltd. Food & Beverage 2664.09

8 Bhushan Steel

Ltd.

Metal & Metal Products/

Ferrous metal/Steel

2646.62

9 Shree Cement

Ltd.

Non Metalic Mineral

Products/Cement

2459.66

10 Motherson Sumi

Systems Ltd.

Transport


Ancillery

2372.72

11 C E S C Ltd. Electricity 2368.60

12 J M Financial

Ltd.

Investment

Services/Financial Services

2347.60

13 Jubilant Life

Sciences Ltd.

Chemicals 2329.96

14 B E M L Ltd. Machinery/ Non Electrical 2213.10

APPENDICES

199

machinery

15 Federal Bank Ltd. Banking Services/ Financial

Services

2153.56

Small- Caps: Total No. of Companies 64


Capitalization

(2001-02to 2010-

11)

(Rs. Crores)

1 Gujarat Mineral

Devp. Corpn. Ltd.

Mining 1988.69

2 Apollo Hospitals

Enterprise Ltd.


3 Sintex Industries

Ltd.

Chemicals 1949.36

4 Coromandel

International Ltd.

Chemicals 1760.79

5 Hindustan

Construction Co.

Ltd.


6 Gujarat Gas Co.

Ltd.


7 Bajaj Hindusthan

Ltd.


8 Lakshmi Machine

Works Ltd.

Machinery/Non Electrical

Machinery

1493.01

9 Crisil Ltd. Misc. Services 1484.54

10 Maharashtra

Seamless Ltd.

Metal & Metal

Products/FerrousMetal

1476.89

11 Chambal

Fertilisers &

Chemicals Ltd.

Chemicals 1475.81

12 Jindal Stainless

Ltd.

Metal & Metal


1461.27

13 Torrent

Pharmaceuticals

Ltd.

Chemicals 1444.78

14 Kansai Nerolac

Paints Ltd.

Chemicals 1375.26

15 Apollo Tyres Ltd. Chemicals 1324.39

16 Akzo Nobel India

Ltd.

Chemicals 1310.29

17 M R F Ltd. Chemicals 1274.44

18 Karnataka Bank

Ltd.


Services

1233.11

APPENDICES

200

19 Nava Bharat

Ventures Ltd.

Electricity 1202.71

20 Praj Industries

Ltd.


Machinery

1200.38

21 Birla Corporation

Ltd.

Non Metalic Mineral

Products/ Cement

1194.17

22 E I D-Parry

(India) Ltd.


23 Ipca Laboratories

Ltd.

Chemicals 1182.64

24 C M C Ltd. Information Technology 1139.61

25 Tata Investment

Corpn. Ltd.

Investment

Services/Financial Services

1135.17

26 Hindustan Oil

Exploration Co.

Ltd.

Mining 1062.75

27 Monnet Ispat &

Energy Ltd.

Metal & Metal

Products/FerrousMetal

1030.55

28 Berger Paints

India Ltd.

Chemicals 1017.05

29 S K F India Ltd. Machinery/Non Electrical

Machinery

1006.80

30 Honeywell

Automation India

Ltd.


31 Godfrey Phillips

India Ltd.


32 Ruchi Soya Inds.

Ltd.


33 Strides Arcolab

Ltd.

Chemicals 919.87

34 Gujarat State

Fertilizers &

Chemicals Ltd.

Chemicals 916.42

35 Blue Dart Express

Ltd.

Transport Services/

Transport & Logistic

901.62

36 Prism Cement

Ltd.

Non Metalic Mineral

Products/Cement

885.47

37 Orchid Chemicals

&

Pharmaceuticals

Ltd.

Chemicals 853.14

38 Hexaware

Technologies Ltd.


39 Infotech

Enterprises Ltd.


APPENDICES

201

40 Carborundum

Universal Ltd.

Non Metalic Mineral

Products

794.28

41 Tube Investments

Of India Ltd.

Metal & Metal

Products/FerrousMetal/Metal

Products

776.44

42 Eicher Motors

Ltd.

Transport


775.21

43 B O C India Ltd. Chemicals 771.40

44 Geodesic Ltd. Information Technology 768.79

45 South Indian

Bank Ltd.


Services

765.20

46 Mercator Ltd. Transport Services 747.43

47 Trent Ltd. Wholesale & Retail Trading 733.20

48 Bata India Ltd. Misc. Manufacturing 730.32

49 Reliance

Industrial

Infrastructure Ltd.


50 Alok Industries

Ltd.


51 F D C Ltd. Chemicals 693.27

52 Texmaco Ltd. Misc. Services 675.96

53 Graphite India

Ltd.

Non Metalic Mineral

Products

671.54

54 Finolex Industries

Ltd.

Chemicals 669.42

55 S R F Ltd. Textile Industru 611.86

56 Clariant

Chemicals (India)

Ltd.

Diversified 579.17

57 City Union Bank

Ltd.


Services

577.07

58 Deepak Fertilisers

& Petrochemicals

Corpn. Ltd.

Chemicals 556.70

59 Rallis India Ltd. Chemicals 535.97

60 Supreme

Industries Ltd.

Chemicals 481.21

61 F A G Bearings

India Ltd.


Machinery

477.61

62 K P I T Cummins

Infosystems Ltd.


63 Karuturi Global

Ltd.


64 Magma Fincorp

Ltd.

Asset Financing/Financial

Services

337.39

APPENDICES

202

Appendix 3.3: No. of Dividend Related Events Announced by Large Cap. Sampled Companies

Industry Total No. of

Large Cap.

Companies

Events for Large Cap. Companies

Total

Event

@

10%

Total

Event@

-10%

Total

Event

@

15%

Total

Event

@ -

15%

Total

Event

@

20%

Total

Event@

-20%

Total

Event@

25%

Total

Event@

-25%

Total

Event@

50%

Total

Event

@ -

50%

Total

Event

Dividend

Initiation

Total

Event

Dividend

Omission

Total

Events

Auto Ancillary 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Automobile 3 2 2 1 1 1 0 1 2 12 7 1 0 30

Banking & Financial

Services 3 4 0 5 1 1 0 5 1 2 1 1 1 22

Cement 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Chemicals &

Pharmaceuticals 4 1 1 7 1 1 1 7 3 2 1 4 4 33

Construction & Real

Estate 1 0 0 1 0 0 0 1 3 3 1 0 0 9

Diversified 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Electrical Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Electricity 2 3 1 0 0 0 0 0 0 7 5 1 1 18

Electronics Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Ferrous Metal 2 0 0 0 2 1 0 2 5 8 2 1 1 22

Food & Beverage 1 2 1 1 0 2 0 2 0 1 0 0 0 9

APPENDICES

203

Gems & Jewellery 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Health Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Hospitality &

Recreational Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Information Technology

& Telecommunication

Services 2 0 0 2 0 1 1 8 5 11 4 0 0 32

Mining 2 1 0 1 2 2 3 5 2 5 2 1 0 24

Misc. Manufacturing 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Misc. services 1 1 0 0 1 0 1 3 3 3 3 0 0 15

Non - Electrical

Machinery 1 1 2 1 0 0 0 5 1 2 2 0 0 14

Non - Ferrous Metal 2 1 2 1 0 2 1 0 2 1 0 2 2 14

Non - Metalic Mineral

Product 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Textile Industry 0 0 0 0 0 0 0 0 0 0 0 0 0 0


Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Whole Sale & Retail

Trading 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Total 24 16 9 20 8 11 7 39 27 57 28 11 9 242


APPENDICES

204

Appendix 3.4: No. of Dividend Related Events Announced by Mid Cap. Sampled Companies

Industry Total

No. of

Mid Cap.

Compani

es

Events for Mid Cap. Companies

Total

Event

@10%

Total

Event@

-10%

Total

Event@

15%

Total

Event@

-15%

Total

Even

t@

20%

Total

Event@

-20%

Total

Event@

25%

Total

Event@

-25%

Total

Event

@

50%

Total

Event@

-50%

Total

Event

Divide

nd

Initiati

on

Total

Event

Dividen

d

Omissio

n

Total

Events

Auto Ancillary 1 1 0 0 0 1 0 4 0 0 0 0 0 6

Automobile 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Banking & Financial Services 2 3 0 1 0 2 0 1 0 5 2 0 0 14

Cement 1 0 0 2 0 1 1 1 1 2 0 1 1 10

Chemicals & Pharmaceuticals 4 1 0 5 1 6 0 3 3 5 1 4 4 33

Construction & Real Estate 1 0 0 2 0 1 0 4 0 0 0 0 0 7

Diversified 0 0 0 0 0 0 0 0 0 0 0 0 0 0


Electricity 1 1 0 0 0 0 0 1 0 0 0 1 0 3


APPENDICES

205

Ferrous Metal 1 0 0 0 0 0 0 1 0 2 0 0 0 3

Food & Beverage 1 5 0 7 3 3 1 2 3 2 2 2 2 32

Gems & Jewellery 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Health Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Hospitality & Recreational

Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Information Technology &

Telecommunication Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Mining 0 0 0 0 0 0 0 0 0 0 0 0 0 0


Misc. services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Non - Electrical Machinery 2 0 0 2 1 0 2 2 4 8 1 0 0 20



Product 0 0 0 0 0 0 0 0 0 0 0 0 0 0


Transport & Logistic Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Whole Sale & Retail Trading 1 0 0 1 0 0 0 2 0 1 0 1 0 5

Total 15 11 0 20 5 14 4 21 11 25 6 9 7 133


APPENDICES

206

Appendix 3.5: No. of Dividend Related Events Announced by Small Cap. Sampled Companies Industry

Total No.

of Small

Cap.

Companie

s

Events: Small Cap. Companies

Total

Event

@10%

Total

Event

@ -

10%

Total

Event

@

15%

Total

Event

@-15%

Total

Event

@

20%

Total

Event

@-20%

Total

Event

@ 25%

Total

Event

@ -

25%

Total

Event

@50%

Total

Event

@-50%

Total

Event

Dividend

Initiation

Total

Event

Divide

nd

Omissi

on

Total

Event

s

Auto Ancillary 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Automobile 1 1 0 0 0 1 0 2 0 2 0 1 1 8

Banking & Financial

Services 5 1 0 4 0 0 1 6 6 8 2 3 3 34

Cement 2 2 0 0 0 0 0 4 4 2 0 3 1 16

Chemicals &

Pharmaceuticals 19 9 3 14 6 7 4 17 19 41 20 11 8 159

Construction & Real

Estate 1 0 0 3 0 2 0 1 0 0 0 0 0 6

Diversified 1 0 0 1 0 1 0 1 3 4 0 0 0 10


Electricity 1 1 0 0 0 0 0 3 0 4 0 0 0 8

APPENDICES

207


Ferrous Metal 4 2 0 1 0 3 0 5 8 8 3 6 4 40

Food & Beverage 5 2 0 5 1 3 0 3 4 7 3 1 0 29

Gems & Jewellery 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Health Services 1 2 0 0 0 0 0 2 1 0 0 0 5

Hospitality &

Recreational Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Information

Technology &

Telecommunication

Services 5 3 1 3 1 1 1 11 3 8 0 3 1 36

Mining 2 2 1 1 0 2 0 0 1 2 0 2 2 13


Misc. services 4 0 0 1 1 2 0 6 2 8 3 2 2 27

Non - Electrical

Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0



Product 2 1 0 2 0 1 1 3 2 4 1 0 0 15


APPENDICES

208


Services 2 0 0 0 0 2 0 1 4 4 3 0 0 14

Whole Sale & Retail

Trading 1 0 0 1 1 0 1 0 0 0 0 3 3 9

Total 64 32 7 39 11 29 11 72 66 115 38 44 33 497

Source: Computed from Prowess 3.1

APPENDICES

209

Appendix 4.1: Calculated AAR, CAAR and corresponding t-values and p- values associated with 10% dividend increase/decrease decisions

along with declaration of financial results based on GARCH Model:

Large Cap. Dividend Increase along with financial results@10% Large Cap. Dividend Decrease along with financial results @10%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0188 0.0188 2.5169 1.0221 0.0145 0.3108 -0.0021 -0.0021 -0.2116 -0.0834 0.8332 0.9338

-29 -0.0023 0.0164 -0.3140 0.8946 0.7546 0.3746 0.0129 0.0109 1.3282 0.4402 0.1891 0.6614

-28 -0.0104 0.0061 -1.3900 0.3301 0.1697 0.7425 0.0117 0.0226 1.1983 0.9126 0.2355 0.3651

-27 -0.0081 -0.0020 -1.0812 -0.1090 0.2839 0.9136 0.0022 0.0247 0.2237 1.0008 0.8237 0.3209

-26 -0.0010 -0.0030 -0.1311 -0.1622 0.8962 0.8717 -0.0004 0.0243 -0.0411 0.9846 0.9674 0.3288

-25 0.0098 0.0068 1.3119 0.3706 0.1945 0.7123 -0.0002 0.0241 -0.0249 0.9748 0.9802 0.3336

-24 0.0115 0.0183 1.5352 0.9940 0.1300 0.3242 0.0016 0.0257 0.1647 1.0397 0.8698 0.3026

-23 0.0015 0.0198 0.1982 1.0745 0.8436 0.2869 0.0041 0.0298 0.4234 1.2066 0.6735 0.2323

-22 -0.0161 0.0037 -2.1556 0.1991 0.0351 0.8428 0.0108 0.0406 1.1064 1.6428 0.2730 0.1057

-21 -0.0107 -0.0070 -1.4303 -0.3817 0.1578 0.7040 0.0043 0.0449 0.4430 1.8175 0.6593 0.0741

-20 -0.0092 -0.0163 -1.2375 -0.8843 0.2207 0.3801 0.0079 0.0528 0.8060 2.1352 0.4234 0.0368

-19 0.0048 -0.0114 0.6459 -0.6220 0.5208 0.5363 -0.0040 0.0488 -0.4115 1.9730 0.6822 0.0531

-18 0.0093 -0.0021 1.2514 -0.1138 0.2157 0.9098 0.0160 0.0648 1.6465 2.6221 0.1049 0.0111

-17 -0.0021 -0.0042 -0.2846 -0.2294 0.7769 0.8193 -0.0122 0.0527 -1.2487 2.1298 0.2166 0.0373

-16 -0.0119 -0.0161 -1.5926 -0.8762 0.1165 0.3844 0.0004 0.0531 0.0402 2.1457 0.9680 0.0360

-15 0.0009 -0.0152 0.1160 -0.8291 0.9080 0.4104 -0.0127 0.0404 -1.2987 1.6337 0.1990 0.1076

-14 -0.0016 -0.0169 -0.2156 -0.9166 0.8300 0.3630 -0.0077 0.0327 -0.7864 1.3237 0.4347 0.1906

-13 0.0067 -0.0101 0.8987 -0.5517 0.3724 0.5832 -0.0036 0.0292 -0.3643 1.1801 0.7169 0.2426

-12 0.0100 -0.0002 1.3378 -0.0084 0.1860 0.9933 -0.0057 0.0235 -0.5857 0.9492 0.5603 0.3463

-11 0.0022 0.0020 0.2904 0.1095 0.7725 0.9132 0.0034 0.0269 0.3535 1.0885 0.7249 0.2807

-10 -0.0030 -0.0010 -0.3994 -0.0527 0.6910 0.9581 0.0149 0.0418 1.5297 1.6916 0.1314 0.0959

-9 -0.0028 -0.0038 -0.3806 -0.2072 0.7049 0.8365 -0.0174 0.0244 -1.7833 0.9886 0.0796 0.3269

-8 -0.0054 -0.0092 -0.7185 -0.4990 0.4753 0.6196 -0.0054 0.0190 -0.5591 0.7681 0.5782 0.4454

-7 0.0011 -0.0081 0.1493 -0.4384 0.8818 0.6627 0.0189 0.0379 1.9368 1.5317 0.0575 0.1309

-6 0.0048 -0.0033 0.6411 -0.1780 0.5239 0.8593 0.0208 0.0587 2.1373 2.3743 0.0367 0.0208

-5 0.0049 0.0017 0.6596 0.0898 0.5120 0.9287 -0.0141 0.0446 -1.4450 1.8046 0.1536 0.0762

-4 0.0018 0.0035 0.2473 0.1902 0.8055 0.8498 -0.0149 0.0297 -1.5272 1.2025 0.1320 0.2339

APPENDICES

210

-3 -0.0048 -0.0013 -0.6420 -0.0705 0.5233 0.9440 0.0034 0.0331 0.3474 1.3395 0.7295 0.1855

-2 -0.0023 -0.0036 -0.3024 -0.1933 0.7634 0.8474 0.0073 0.0404 0.7459 1.6335 0.4586 0.1076

-1 -0.0001 -0.0036 -0.0098 -0.1973 0.9922 0.8443 0.0065 0.0469 0.6697 1.8975 0.5056 0.0626

0 -0.0097 -0.0133 -1.2994 -0.7250 0.1988 0.4713 -0.0058 0.0411 -0.5928 1.6638 0.5556 0.1014

1 -0.0088 -0.0221 -1.1797 -1.2041 0.2428 0.2333 -0.0049 0.0363 -0.4992 1.4670 0.6194 0.1476

2 0.0010 -0.0211 0.1399 -1.1472 0.8892 0.2558 0.0214 0.0577 2.1980 2.3335 0.0318 0.0230

3 0.0139 -0.0071 1.8680 -0.3887 0.0666 0.6989 -0.0116 0.0461 -1.1897 1.8645 0.2388 0.0671

4 -0.0122 -0.0193 -1.6285 -1.0500 0.1087 0.2979 -0.0157 0.0304 -1.6123 1.2289 0.1122 0.2239

5 -0.0038 -0.0231 -0.5038 -1.2546 0.6162 0.2145 0.0171 0.0475 1.7545 1.9206 0.0845 0.0595

6 -0.0017 -0.0247 -0.2234 -1.3453 0.8240 0.1836 -0.0077 0.0397 -0.7938 1.6077 0.4305 0.1132

7 0.0076 -0.0171 1.0227 -0.9300 0.3106 0.3561 -0.0016 0.0381 -0.1691 1.5410 0.8663 0.1286

8 -0.0084 -0.0255 -1.1216 -1.3855 0.2665 0.1710 0.0045 0.0426 0.4642 1.7240 0.6442 0.0899

9 0.0076 -0.0178 1.0219 -0.9705 0.3109 0.3357 -0.0024 0.0402 -0.2471 1.6266 0.8056 0.1091

10 -0.0024 -0.0202 -0.3211 -1.1009 0.7493 0.2753 0.0137 0.0539 1.4028 2.1796 0.1658 0.0332

11 -0.0090 -0.0292 -1.2034 -1.5896 0.2335 0.1172 0.0005 0.0544 0.0484 2.1987 0.9615 0.0318

12 0.0060 -0.0232 0.8074 -1.2617 0.4226 0.2119 -0.0088 0.0455 -0.9079 1.8407 0.3675 0.0706

13 -0.0092 -0.0324 -1.2304 -1.7614 0.2234 0.0833 0.0137 0.0592 1.4043 2.3944 0.1654 0.0198

14 -0.0087 -0.0410 -1.1605 -2.2326 0.2504 0.0293 0.0058 0.0650 0.5924 2.6279 0.5558 0.0109

15 0.0015 -0.0395 0.2015 -2.1508 0.8410 0.0355 0.0019 0.0668 0.1914 2.7033 0.8489 0.0089

16 0.0020 -0.0375 0.2730 -2.0399 0.7858 0.0458 -0.0110 0.0558 -1.1289 2.2583 0.2634 0.0276

17 -0.0035 -0.0410 -0.4677 -2.2299 0.6417 0.0295 0.0032 0.0591 0.3308 2.3887 0.7419 0.0201

18 0.0051 -0.0359 0.6875 -1.9507 0.4944 0.0558 0.0146 0.0736 1.4945 2.9779 0.1403 0.0042

19 -0.0018 -0.0376 -0.2352 -2.0462 0.8148 0.0451 0.0077 0.0813 0.7862 3.2878 0.4348 0.0017

20 0.0071 -0.0305 0.9511 -1.6600 0.3454 0.1021 0.0007 0.0820 0.0726 3.3164 0.9424 0.0016

21 0.0031 -0.0274 0.4174 -1.4905 0.6779 0.1413 -0.0030 0.0790 -0.3123 3.1933 0.7559 0.0022

22 -0.0044 -0.0318 -0.5940 -1.7317 0.5548 0.0885 0.0102 0.0891 1.0433 3.6046 0.3010 0.0006

23 -0.0131 -0.0450 -1.7594 -2.4462 0.0836 0.0174 0.0130 0.1021 1.3361 4.1313 0.1866 0.0001

24 -0.0051 -0.0501 -0.6863 -2.7249 0.4951 0.0084 0.0049 0.1071 0.5047 4.3303 0.6156 0.0001

25 0.0091 -0.0410 1.2211 -2.2290 0.2268 0.0296 -0.0146 0.0924 -1.5011 3.7385 0.1386 0.0004

26 0.0031 -0.0379 0.4110 -2.0621 0.6825 0.0435 -0.0055 0.0870 -0.5595 3.5180 0.5779 0.0008

27 -0.0055 -0.0434 -0.7340 -2.3601 0.4658 0.0215 0.0029 0.0899 0.2968 3.6350 0.7676 0.0006

28 0.0040 -0.0394 0.5320 -2.1441 0.5967 0.0361 0.0011 0.0910 0.1119 3.6791 0.9113 0.0005

29 -0.0105 -0.0499 -1.4063 -2.7152 0.1648 0.0086 0.0037 0.0947 0.3838 3.8304 0.7025 0.0003

30 0.0066 -0.0433 0.8868 -2.3551 0.3787 0.0218 0.0040 0.0987 0.4076 3.9911 0.6850 0.0002

Mid Cap. Dividend Increase along with financial results @10% Mid. Cap. Dividend Decrease along with financial results @10%

APPENDICES

211

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0100 0.0100 0.8073 0.6649 0.4227 0.5087 Events are not sufficient to be included in final study

-29 -0.0089 0.0011 -0.7164 0.0748 0.4765 0.9406

-28 0.0089 0.0100 0.7179 0.6661 0.4756 0.5079

-27 0.0002 0.0102 0.0152 0.6786 0.9879 0.5000

-26 -0.0216 -0.0114 -1.7451 -0.7586 0.0861 0.4511

-25 0.0060 -0.0053 0.4884 -0.3563 0.6270 0.7229

-24 -0.0066 -0.0120 -0.5353 -0.7972 0.5944 0.4285

-23 0.0011 -0.0108 0.0913 -0.7221 0.9276 0.4731

-22 0.0027 -0.0081 0.2184 -0.5422 0.8279 0.5897

-21 0.0020 -0.0061 0.1658 -0.4056 0.8688 0.6865

-20 -0.0147 -0.0207 -1.1860 -1.3824 0.2403 0.1720

-19 -0.0057 -0.0265 -0.4638 -1.7644 0.6445 0.0827

-18 0.0031 -0.0234 0.2492 -1.5592 0.8040 0.1242

-17 0.0070 -0.0164 0.5689 -1.0907 0.5716 0.2798

-16 0.0092 -0.0071 0.7468 -0.4757 0.4581 0.6360

-15 -0.0025 -0.0097 -0.2051 -0.6446 0.8382 0.5217

-14 -0.0116 -0.0213 -0.9413 -1.4198 0.3503 0.1608

-13 0.0068 -0.0145 0.5472 -0.9691 0.5863 0.3364

-12 -0.0090 -0.0235 -0.7265 -1.5674 0.4704 0.1223

-11 -0.0090 -0.0325 -0.7243 -2.1640 0.4717 0.0345

-10 -0.0048 -0.0373 -0.3913 -2.4863 0.6969 0.0157

-9 0.0102 -0.0272 0.8213 -1.8099 0.4147 0.0753

-8 0.0035 -0.0236 0.2850 -1.5751 0.7766 0.1205

-7 0.0134 -0.0102 1.0839 -0.6824 0.2827 0.4976

-6 0.0128 0.0025 1.0324 0.1678 0.3061 0.8673

-5 -0.0266 -0.0241 -2.1541 -1.6063 0.0353 0.1135

-4 -0.0061 -0.0302 -0.4909 -2.0106 0.6253 0.0489

-3 -0.0047 -0.0349 -0.3843 -2.3271 0.7021 0.0234

-2 0.0215 -0.0134 1.7415 -0.8928 0.0867 0.3755

-1 0.0041 -0.0093 0.3294 -0.6215 0.7430 0.5366

0 0.0042 -0.0051 0.3388 -0.3425 0.7360 0.7331

1 0.0002 -0.0050 0.0150 -0.3302 0.9881 0.7424

APPENDICES

212

2 -0.0099 -0.0148 -0.7987 -0.9880 0.4276 0.3271

3 0.0212 0.0064 1.7178 0.4268 0.0910 0.6711

4 -0.0035 0.0029 -0.2802 0.1960 0.7803 0.8452

5 -0.0304 -0.0275 -2.4624 -1.8320 0.0167 0.0719

6 0.0160 -0.0115 1.2977 -0.7632 0.1994 0.4483

7 -0.0155 -0.0270 -1.2558 -1.7975 0.2141 0.0773

8 -0.0077 -0.0347 -0.6233 -2.3108 0.5355 0.0243

9 0.0087 -0.0259 0.7068 -1.7287 0.4824 0.0890

10 -0.0115 -0.0374 -0.9291 -2.4939 0.3566 0.0154

11 0.0037 -0.0337 0.3009 -2.2461 0.7645 0.0284

12 0.0044 -0.0293 0.3598 -1.9498 0.7202 0.0559

13 0.0003 -0.0289 0.0261 -1.9282 0.9792 0.0586

14 -0.0276 -0.0566 -2.2360 -3.7697 0.0291 0.0004

15 0.0329 -0.0236 2.6658 -1.5742 0.0099 0.1207

16 -0.0015 -0.0251 -0.1211 -1.6739 0.9040 0.0994

17 0.0005 -0.0247 0.0370 -1.6434 0.9706 0.1055

18 0.0219 -0.0028 1.7697 -0.1859 0.0819 0.8531

19 0.0054 0.0026 0.4390 0.1756 0.6623 0.8612

20 -0.0057 -0.0031 -0.4615 -0.2045 0.6461 0.8387

21 0.0020 -0.0010 0.1655 -0.0682 0.8691 0.9459

22 -0.0224 -0.0234 -1.8133 -1.5616 0.0748 0.1236

23 -0.0008 -0.0242 -0.0652 -1.6153 0.9483 0.1115

24 -0.0021 -0.0263 -0.1698 -1.7551 0.8657 0.0843

25 -0.0101 -0.0365 -0.8211 -2.4314 0.4148 0.0180

26 0.0171 -0.0194 1.3823 -1.2929 0.1720 0.2010

27 -0.0168 -0.0362 -1.3573 -2.4108 0.1798 0.0190

28 -0.0031 -0.0393 -0.2523 -2.6186 0.8017 0.0112

29 -0.0021 -0.0414 -0.1724 -2.7606 0.8637 0.0076

30 -0.0042 -0.0456 -0.3411 -3.0415 0.7342 0.0035

Small Cap. Dividend Increase along with financial results @10% Small Cap. Dividend Decrease along with financial results @10%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0002 -0.0002 -0.0259 -0.0137 0.9794 0.9891 -0.0095 -0.0095 -0.2727 -0.0531 0.7860 0.9579

-29 0.0001 -0.0001 0.0113 -0.0077 0.9910 0.9939 -0.0010 -0.0105 -0.0287 -0.0587 0.9772 0.9534

APPENDICES

213

-28 0.0076 0.0075 0.8201 0.4259 0.4154 0.6717 -0.0090 -0.0195 -0.2582 -0.1089 0.7971 0.9136

-27 0.0024 0.0098 0.2545 0.5604 0.8000 0.5773 -0.0183 -0.0378 -0.5262 -0.2113 0.6007 0.8333

-26 -0.0045 0.0053 -0.4895 0.3016 0.6263 0.7640 0.0195 -0.0183 0.5603 -0.1023 0.5774 0.9189

-25 0.0002 0.0055 0.0220 0.3133 0.9825 0.7552 0.0199 0.0016 0.5706 0.0088 0.5704 0.9930

-24 0.0096 0.0151 1.0416 0.8639 0.3018 0.3911 0.0667 0.0683 1.9147 0.3815 0.0603 0.7042

-23 0.0071 0.0222 0.7694 1.2706 0.4447 0.2088 0.0403 0.1086 1.1572 0.6067 0.2518 0.5463

-22 -0.0033 0.0190 -0.3522 1.0845 0.7259 0.2825 -0.0222 0.0864 -0.6372 0.4827 0.5264 0.6311

-21 0.0030 0.0219 0.3187 1.2529 0.7511 0.2151 -0.0278 0.0586 -0.7975 0.3275 0.4283 0.7445

-20 0.0004 0.0223 0.0418 1.2750 0.9668 0.2072 -0.0006 0.0580 -0.0176 0.3240 0.9860 0.7470

-19 0.0002 0.0225 0.0195 1.2854 0.9845 0.2036 -0.0077 0.0503 -0.2197 0.2813 0.8268 0.7795

-18 -0.0003 0.0223 -0.0271 1.2710 0.9784 0.2086 -0.0264 0.0240 -0.7566 0.1340 0.4522 0.8939

-17 0.0083 0.0305 0.8919 1.7425 0.3760 0.0865 0.0125 0.0365 0.3598 0.2040 0.7203 0.8390

-16 0.0002 0.0307 0.0167 1.7513 0.9868 0.0850 0.0324 0.0689 0.9298 0.3850 0.3562 0.7016

-15 -0.0102 0.0205 -1.1027 1.1684 0.2746 0.2473 -0.0276 0.0413 -0.7917 0.2309 0.4316 0.8182

-14 0.0083 0.0288 0.9012 1.6448 0.3711 0.1052 -0.0237 0.0176 -0.6800 0.0985 0.4991 0.9218

-13 0.0057 0.0345 0.6128 1.9688 0.5424 0.0536 -0.0231 -0.0055 -0.6643 -0.0308 0.5091 0.9756

-12 0.0072 0.0417 0.7778 2.3799 0.4397 0.0205 -0.0032 -0.0088 -0.0933 -0.0489 0.9260 0.9612

-11 0.0008 0.0425 0.0914 2.4283 0.9275 0.0182 0.1006 0.0918 2.8878 0.5132 0.0054 0.6097

-10 0.0105 0.0531 1.1391 3.0305 0.2592 0.0036 -0.0234 0.0685 -0.6715 0.3825 0.5045 0.7035

-9 0.0005 0.0536 0.0564 3.0603 0.9552 0.0033 0.0985 0.1670 2.8284 0.9330 0.0064 0.3546

-8 0.0080 0.0616 0.8665 3.5183 0.3897 0.0008 0.0693 0.2362 1.9881 1.3200 0.0514 0.1919

-7 -0.0041 0.0575 -0.4457 3.2827 0.6574 0.0017 0.0284 0.2647 0.8166 1.4789 0.4174 0.1444

-6 -0.0030 0.0545 -0.3251 3.1109 0.7462 0.0029 0.0054 0.2701 0.1561 1.5093 0.8765 0.1365

-5 0.0000 0.0544 -0.0037 3.1089 0.9971 0.0029 -0.0348 0.2353 -0.9996 1.3147 0.3215 0.1936

-4 0.0065 0.0609 0.7018 3.4799 0.4855 0.0009 0.0187 0.2540 0.5372 1.4193 0.5931 0.1610

-3 -0.0097 0.0512 -1.0490 2.9253 0.2984 0.0049 -0.0222 0.2318 -0.6368 1.2954 0.5267 0.2002

-2 0.0000 0.0512 0.0026 2.9267 0.9980 0.0048 -0.0279 0.2039 -0.8007 1.1395 0.4265 0.2590

-1 0.0055 0.0568 0.5977 3.2427 0.5523 0.0019 -0.0035 0.2004 -0.1007 1.1199 0.9202 0.2672

0 0.0255 0.0823 2.7587 4.7011 0.0077 0.0000 0.0143 0.2147 0.4110 1.1999 0.6825 0.2349

1 -0.0470 0.0354 -5.0735 2.0190 0.0000 0.0480 0.0743 0.2890 2.1328 1.6151 0.0370 0.1115

2 0.0077 0.0430 0.8290 2.4572 0.4104 0.0169 -0.0045 0.2845 -0.1294 1.5899 0.8975 0.1171

3 -0.0065 0.0365 -0.7045 2.0848 0.4839 0.0414 0.0085 0.2931 0.2449 1.6375 0.8074 0.1068

4 0.0080 0.0445 0.8635 2.5413 0.3913 0.0136 0.0140 0.3070 0.4012 1.7156 0.6897 0.0914

5 0.0011 0.0456 0.1240 2.6068 0.9018 0.0115 0.0251 0.3321 0.7194 1.8557 0.4747 0.0684

APPENDICES

214

6 0.0084 0.0540 0.9059 3.0857 0.3686 0.0031 0.0292 0.3613 0.8379 2.0188 0.4054 0.0480

7 -0.0010 0.0530 -0.1086 3.0283 0.9138 0.0036 -0.0114 0.3498 -0.3285 1.9548 0.7437 0.0553

8 -0.0057 0.0473 -0.6211 2.6999 0.5369 0.0090 -0.0023 0.3476 -0.0650 1.9422 0.9484 0.0568

9 0.0134 0.0606 1.4429 3.4627 0.1542 0.0010 0.0195 0.3671 0.5604 2.0513 0.5773 0.0446

10 0.0024 0.0630 0.2567 3.5984 0.7983 0.0006 0.0493 0.4164 1.4152 2.3267 0.1622 0.0234

11 -0.0086 0.0544 -0.9334 3.1050 0.3544 0.0029 -0.0114 0.4050 -0.3268 2.2631 0.7450 0.0273

12 -0.0069 0.0474 -0.7477 2.7097 0.4576 0.0088 -0.0416 0.3634 -1.1954 2.0304 0.2366 0.0468

13 -0.0050 0.0425 -0.5375 2.4256 0.5929 0.0183 -0.0086 0.3548 -0.2473 1.9823 0.8055 0.0520

14 0.0014 0.0439 0.1555 2.5078 0.8770 0.0149 -0.0275 0.3272 -0.7907 1.8284 0.4322 0.0725

15 -0.0108 0.0331 -1.1697 1.8894 0.2467 0.0637 0.0441 0.3713 1.2661 2.0748 0.2104 0.0423

16 0.0079 0.0410 0.8538 2.3408 0.3966 0.0226 0.0344 0.4058 0.9885 2.2672 0.3269 0.0270

17 -0.0024 0.0385 -0.2641 2.2012 0.7926 0.0316 -0.0370 0.3688 -1.0620 2.0605 0.2925 0.0437

18 0.0004 0.0390 0.0459 2.2254 0.9636 0.0298 0.0497 0.4184 1.4258 2.3380 0.1591 0.0227

19 0.0020 0.0410 0.2213 2.3424 0.8256 0.0225 0.0117 0.4301 0.3357 2.4034 0.7383 0.0194

20 -0.0062 0.0348 -0.6723 1.9870 0.5040 0.0515 0.0695 0.4996 1.9948 2.7917 0.0506 0.0070

21 -0.0038 0.0310 -0.4095 1.7705 0.6836 0.0817 -0.0014 0.4982 -0.0397 2.7839 0.9684 0.0072

22 -0.0067 0.0243 -0.7259 1.3867 0.4707 0.1707 -0.0218 0.4764 -0.6264 2.6620 0.5334 0.0100

23 -0.0055 0.0188 -0.5942 1.0726 0.5546 0.2877 -0.0018 0.4746 -0.0512 2.6520 0.9594 0.0102

24 -0.0036 0.0152 -0.3858 0.8686 0.7010 0.3885 0.0157 0.4904 0.4518 2.7400 0.6531 0.0081

25 0.0131 0.0283 1.4138 1.6161 0.1626 0.1113 -0.0375 0.4529 -1.0754 2.5307 0.2865 0.0140

26 0.0005 0.0288 0.0512 1.6431 0.9593 0.1056 0.0487 0.5016 1.3991 2.8030 0.1669 0.0068

27 0.0022 0.0309 0.2346 1.7671 0.8154 0.0823 0.0205 0.5222 0.5899 2.9178 0.5575 0.0050

28 0.0161 0.0470 1.7396 2.6868 0.0871 0.0093 -0.0411 0.4811 -1.1788 2.6883 0.2431 0.0093

29 -0.0017 0.0453 -0.1877 2.5876 0.8517 0.0121 0.0197 0.5008 0.5659 2.7985 0.5736 0.0069

30 0.0016 0.0469 0.1725 2.6788 0.8636 0.0095 -0.0522 0.4486 -1.4996 2.5066 0.1390 0.0149

APPENDICES

215

Appendix 4.2: Calculated AAR, CAAR and corresponding t-values and p- values associated with 15% dividend increase/decrease

decisions along with declaration of financial results based on GARCH Model:

Large Cap. Dividend Increase along with financial results @15% Large Cap. Dividend Decrease along with financial results @15%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0010 0.0010 0.1805 0.0497 0.8574 0.9605 -0.0033 -0.0033 -0.2706 -0.1359 0.7876 0.8923

-29 -0.0050 -0.0041 -0.9285 -0.2060 0.3569 0.8375 -0.0107 -0.0140 -0.8915 -0.5837 0.3762 0.5616

-28 -0.0031 -0.0072 -0.5805 -0.3658 0.5638 0.7158 0.0047 -0.0093 0.3893 -0.3881 0.6984 0.6993

-27 -0.0054 -0.0126 -0.9982 -0.6407 0.3222 0.5242 0.0061 -0.0031 0.5113 -0.1313 0.6110 0.8960

-26 0.0015 -0.0111 0.2839 -0.5625 0.7774 0.5759 0.0039 0.0008 0.3263 0.0326 0.7453 0.9741

-25 -0.0011 -0.0122 -0.2032 -0.6184 0.8396 0.5386 0.0046 0.0054 0.3830 0.2250 0.7031 0.8228

-24 0.0074 -0.0048 1.3645 -0.2427 0.1775 0.8090 -0.0139 -0.0085 -1.1548 -0.3551 0.2528 0.7238

-23 -0.0029 -0.0077 -0.5358 -0.3903 0.5941 0.6977 0.0094 0.0009 0.7831 0.0382 0.4367 0.9696

-22 -0.0029 -0.0106 -0.5277 -0.5356 0.5996 0.5942 0.0131 0.0140 1.0864 0.5840 0.2816 0.5614

-21 0.0051 -0.0054 0.9404 -0.2766 0.3508 0.7830 -0.0050 0.0089 -0.4195 0.3733 0.6764 0.7103

-20 0.0014 -0.0041 0.2571 -0.2058 0.7980 0.8376 -0.0015 0.0075 -0.1224 0.3118 0.9030 0.7563

-19 -0.0008 -0.0048 -0.1391 -0.2441 0.8898 0.8079 -0.0010 0.0065 -0.0838 0.2697 0.9335 0.7883

-18 -0.0067 -0.0115 -1.2346 -0.5841 0.2218 0.5613 0.0083 0.0147 0.6879 0.6152 0.4942 0.5407

-17 -0.0002 -0.0117 -0.0372 -0.5943 0.9704 0.5545 -0.0078 0.0069 -0.6520 0.2877 0.5169 0.7746

-16 0.0020 -0.0097 0.3696 -0.4926 0.7129 0.6241 0.0116 0.0185 0.9648 0.7723 0.3385 0.4429

-15 0.0055 -0.0042 1.0174 -0.2124 0.3131 0.8325 -0.0037 0.0148 -0.3081 0.6176 0.7591 0.5392

-14 -0.0005 -0.0047 -0.0924 -0.2379 0.9267 0.8128 -0.0249 -0.0101 -2.0689 -0.4217 0.0429 0.6748

-13 -0.0016 -0.0063 -0.3040 -0.3216 0.7622 0.7489 0.0029 -0.0072 0.2409 -0.3007 0.8105 0.7647

-12 -0.0048 -0.0111 -0.8811 -0.5642 0.3818 0.5747 -0.0015 -0.0087 -0.1286 -0.3652 0.8981 0.7162

-11 0.0036 -0.0075 0.6606 -0.3823 0.5114 0.7036 0.0055 -0.0033 0.4540 -0.1372 0.6515 0.8913

-10 0.0010 -0.0065 0.1926 -0.3293 0.8480 0.7431 0.0086 0.0053 0.7138 0.2214 0.4781 0.8255

-9 0.0030 -0.0034 0.5603 -0.1750 0.5773 0.8617 -0.0075 -0.0022 -0.6242 -0.0922 0.5349 0.9269

-8 -0.0085 -0.0120 -1.5728 -0.6081 0.1210 0.5454 0.0048 0.0026 0.3983 0.1079 0.6919 0.9144

-7 0.0027 -0.0093 0.4931 -0.4723 0.6237 0.6384 0.0006 0.0031 0.0465 0.1312 0.9631 0.8960

-6 -0.0028 -0.0121 -0.5147 -0.6140 0.6087 0.5415 0.0385 0.0417 3.2045 1.7409 0.0022 0.0868

-5 0.0058 -0.0063 1.0680 -0.3199 0.2898 0.7501 -0.0185 0.0232 -1.5391 0.9678 0.1290 0.3370

-4 0.0076 0.0013 1.3978 0.0650 0.1673 0.9484 -0.0060 0.0171 -0.5030 0.7151 0.6168 0.4773

APPENDICES

216

-3 0.0044 0.0057 0.8072 0.2872 0.4228 0.7749 0.0074 0.0245 0.6164 1.0247 0.5400 0.3096

-2 -0.0026 0.0031 -0.4777 0.1557 0.6346 0.8768 -0.0044 0.0201 -0.3659 0.8409 0.7157 0.4037

-1 -0.0055 -0.0024 -1.0125 -0.1231 0.3154 0.9024 0.0199 0.0400 1.6520 1.6708 0.1038 0.1000

0 -0.0190 -0.0214 -3.4947 -1.0854 0.0009 0.2821 -0.0202 0.0198 -1.6784 0.8277 0.0985 0.4111

1 -0.0194 -0.0408 -3.5751 -2.0698 0.0007 0.0428 0.0030 0.0228 0.2483 0.9524 0.8047 0.3447

2 0.0040 -0.0367 0.7464 -1.8643 0.4583 0.0672 0.0110 0.0338 0.9132 1.4111 0.3648 0.1634

3 -0.0038 -0.0405 -0.7014 -2.0574 0.4858 0.0440 0.0116 0.0453 0.9615 1.8941 0.3402 0.0630

4 -0.0012 -0.0417 -0.2233 -2.1189 0.8240 0.0382 -0.0176 0.0277 -1.4629 1.1593 0.1487 0.2509

5 -0.0027 -0.0444 -0.4911 -2.2541 0.6252 0.0279 0.0013 0.0290 0.1076 1.2133 0.9147 0.2298

6 0.0047 -0.0397 0.8744 -2.0133 0.3854 0.0486 0.0060 0.0350 0.4962 1.4626 0.6216 0.1488

7 0.0052 -0.0345 0.9597 -1.7491 0.3411 0.0854 -0.0033 0.0317 -0.2731 1.3254 0.7857 0.1901

8 0.0028 -0.0316 0.5229 -1.6051 0.6029 0.1137 0.0038 0.0356 0.3197 1.4859 0.7503 0.1425

9 -0.0003 -0.0319 -0.0514 -1.6192 0.9592 0.1106 -0.0057 0.0299 -0.4720 1.2489 0.6386 0.2166

10 -0.0064 -0.0383 -1.1817 -1.9446 0.2420 0.0565 -0.0062 0.0237 -0.5154 0.9900 0.6082 0.3262

11 -0.0097 -0.0480 -1.7933 -2.4384 0.0780 0.0177 -0.0132 0.0105 -1.0983 0.4383 0.2765 0.6628

12 0.0011 -0.0469 0.2021 -2.3828 0.8405 0.0204 -0.0315 -0.0210 -2.6234 -0.8795 0.0110 0.3826

13 0.0035 -0.0435 0.6370 -2.2074 0.5266 0.0311 0.0059 -0.0152 0.4889 -0.6339 0.6267 0.5285

14 -0.0019 -0.0454 -0.3576 -2.3059 0.7219 0.0246 -0.0001 -0.0153 -0.0124 -0.6402 0.9902 0.5245

15 -0.0045 -0.0499 -0.8223 -2.5323 0.4142 0.0140 0.0072 -0.0081 0.6004 -0.3386 0.5505 0.7361

16 0.0074 -0.0424 1.3717 -2.1546 0.1752 0.0352 -0.0022 -0.0103 -0.1820 -0.4300 0.8562 0.6687

17 -0.0022 -0.0446 -0.4034 -2.2656 0.6881 0.0271 0.0182 0.0079 1.5168 0.3319 0.1346 0.7411

18 0.0034 -0.0413 0.6215 -2.0945 0.5367 0.0404 -0.0056 0.0023 -0.4697 0.0960 0.6403 0.9239

19 -0.0076 -0.0488 -1.3951 -2.4787 0.1681 0.0160 0.0033 0.0056 0.2771 0.2352 0.7826 0.8149

20 -0.0023 -0.0511 -0.4195 -2.5942 0.6763 0.0119 0.0371 0.0428 3.0886 1.7866 0.0030 0.0791

21 0.0013 -0.0498 0.2333 -2.5300 0.8163 0.0141 0.0096 0.0524 0.8003 2.1886 0.4267 0.0325

22 0.0022 -0.0477 0.4011 -2.4195 0.6897 0.0186 0.0059 0.0582 0.4887 2.4341 0.6268 0.0179

23 0.0064 -0.0412 1.1883 -2.0923 0.2394 0.0406 0.0017 0.0600 0.1445 2.5067 0.8856 0.0149

24 -0.0009 -0.0421 -0.1570 -2.1356 0.8758 0.0368 -0.0009 0.0591 -0.0751 2.4690 0.9404 0.0164

25 -0.0050 -0.0471 -0.9226 -2.3896 0.3599 0.0200 0.0019 0.0610 0.1577 2.5482 0.8752 0.0134

26 -0.0050 -0.0521 -0.9266 -2.6447 0.3579 0.0104 -0.0128 0.0482 -1.0635 2.0140 0.2918 0.0485

27 -0.0036 -0.0557 -0.6625 -2.8272 0.5102 0.0064 0.0007 0.0488 0.0543 2.0413 0.9569 0.0456

28 0.0048 -0.0509 0.8836 -2.5839 0.3804 0.0122 0.0068 0.0557 0.5677 2.3264 0.5724 0.0234

29 0.0008 -0.0501 0.1393 -2.5455 0.8897 0.0135 0.0070 0.0627 0.5847 2.6201 0.5610 0.0111

30 0.0000 -0.0502 -0.0062 -2.5472 0.9950 0.0134 0.0106 0.0733 0.8855 3.0649 0.3794 0.0033

Mid. Cap. Dividend Increase along with financial results @15% Mid. Cap. Dividend Decrease along with financial results @15%

APPENDICES

217

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0166 -0.0166 -1.4836 -0.8212 0.1431 0.4148 Events are not sufficient for final study

-29 0.0041 -0.0125 0.3673 -0.6179 0.7147 0.5390

-28 -0.0063 -0.0188 -0.5643 -0.9302 0.5746 0.3560

-27 -0.0024 -0.0213 -0.2178 -1.0508 0.8283 0.2976

-26 0.0177 -0.0036 1.5762 -0.1784 0.1202 0.8590

-25 0.0151 0.0115 1.3438 0.5654 0.1841 0.5739

-24 -0.0076 0.0038 -0.6794 0.1893 0.4995 0.8505

-23 0.0018 0.0057 0.1643 0.2803 0.8700 0.7802

-22 0.0065 0.0122 0.5802 0.6014 0.5640 0.5498

-21 -0.0058 0.0064 -0.5154 0.3162 0.6081 0.7530

-20 0.0038 0.0102 0.3351 0.5017 0.7387 0.6177

-19 0.0197 0.0299 1.7570 1.4741 0.0840 0.1457

-18 0.0047 0.0346 0.4197 1.7064 0.6762 0.0931

-17 -0.0132 0.0213 -1.1803 1.0532 0.2425 0.2965

-16 -0.0031 0.0182 -0.2765 0.9001 0.7831 0.3717

-15 -0.0052 0.0131 -0.4616 0.6446 0.6460 0.5216

-14 0.0033 0.0164 0.2972 0.8091 0.7674 0.4217

-13 -0.0069 0.0095 -0.6182 0.4669 0.5388 0.6423

-12 0.0048 0.0143 0.4305 0.7052 0.6684 0.4834

-11 -0.0168 -0.0025 -1.4975 -0.1237 0.1395 0.9020

-10 0.0071 0.0046 0.6371 0.2289 0.5265 0.8197

-9 0.0093 0.0140 0.8338 0.6904 0.4077 0.4926

-8 0.0139 0.0279 1.2406 1.3771 0.2196 0.1736

-7 0.0071 0.0350 0.6331 1.7275 0.5290 0.0892

-6 0.0260 0.0610 2.3222 3.0128 0.0236 0.0038

-5 0.0040 0.0650 0.3559 3.2098 0.7232 0.0021

-4 -0.0095 0.0555 -0.8450 2.7421 0.4015 0.0080

-3 -0.0071 0.0484 -0.6339 2.3912 0.5285 0.0199

-2 -0.0003 0.0481 -0.0255 2.3771 0.9798 0.0207

-1 -0.0103 0.0379 -0.9154 1.8704 0.3636 0.0663

0 0.0049 0.0428 0.4341 2.1107 0.6658 0.0390

1 -0.0129 0.0299 -1.1499 1.4742 0.2547 0.1457

APPENDICES

218

2 -0.0102 0.0196 -0.9131 0.9688 0.3648 0.3366

3 -0.0216 -0.0020 -1.9276 -0.0982 0.0586 0.9221

4 -0.0088 -0.0108 -0.7844 -0.5323 0.4359 0.5965

5 0.0100 -0.0008 0.8904 -0.0395 0.3768 0.9686

6 0.0046 0.0038 0.4112 0.1881 0.6824 0.8514

7 0.0119 0.0157 1.0629 0.7764 0.2921 0.4406

8 0.0042 0.0199 0.3745 0.9837 0.7093 0.3292

9 -0.0039 0.0160 -0.3472 0.7915 0.7297 0.4318

10 -0.0012 0.0148 -0.1066 0.7325 0.9155 0.4667

11 -0.0018 0.0130 -0.1594 0.6443 0.8739 0.5218

12 0.0257 0.0388 2.2959 1.9151 0.0252 0.0603

13 -0.0163 0.0225 -1.4564 1.1089 0.1505 0.2719

14 0.0064 0.0289 0.5712 1.4251 0.5700 0.1593

15 -0.0133 0.0156 -1.1850 0.7692 0.2407 0.4448

16 -0.0096 0.0059 -0.8602 0.2931 0.3931 0.7705

17 -0.0083 -0.0023 -0.7368 -0.1147 0.4641 0.9090

18 -0.0047 -0.0070 -0.4210 -0.3477 0.6753 0.7292

19 -0.0063 -0.0134 -0.5648 -0.6604 0.5743 0.5115

20 0.0098 -0.0036 0.8725 -0.1774 0.3864 0.8598

21 0.0083 0.0047 0.7378 0.2310 0.4635 0.8181

22 -0.0075 -0.0028 -0.6668 -0.1381 0.5074 0.8906

23 -0.0153 -0.0181 -1.3629 -0.8925 0.1780 0.3757

24 0.0036 -0.0145 0.3213 -0.7146 0.7491 0.4776

25 -0.0007 -0.0152 -0.0653 -0.7508 0.9481 0.4557

26 0.0024 -0.0128 0.2162 -0.6311 0.8295 0.5304

27 0.0337 0.0209 3.0020 1.0305 0.0039 0.3069

28 -0.0064 0.0144 -0.5743 0.7126 0.5679 0.4789

29 -0.0002 0.0143 -0.0139 0.7049 0.9889 0.4836

30 -0.0069 0.0074 -0.6178 0.3629 0.5390 0.7179


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0085 -0.0085 -1.0678 -0.6258 0.2899 0.5338 -0.0136 -0.0136 -0.8743 -0.2601 0.3854 0.7957

-29 -0.0046 -0.0131 -0.5735 -0.9620 0.5684 0.3399 0.0086 -0.0050 0.5532 -0.0955 0.5822 0.9242

APPENDICES

219

-28 -0.0030 -0.0161 -0.3828 -1.1863 0.7032 0.2402 -0.0105 -0.0155 -0.6763 -0.2967 0.5015 0.7677

-27 0.0106 -0.0055 1.3370 -0.4027 0.1863 0.6886 -0.0039 -0.0195 -0.2535 -0.3721 0.8008 0.7111

-26 0.0019 -0.0036 0.2362 -0.2643 0.8141 0.7925 0.0063 -0.0132 0.4047 -0.2517 0.6871 0.8021

-25 -0.0063 -0.0099 -0.7884 -0.7264 0.4336 0.4704 0.0224 0.0092 1.4380 0.1761 0.1556 0.8608

-24 -0.0364 -0.0462 -4.5656 -3.4022 0.0000 0.0012 0.0206 0.0298 1.3236 0.5699 0.1907 0.5709

-23 0.0033 -0.0429 0.4125 -3.1604 0.6814 0.0025 -0.0195 0.0103 -1.2515 0.1975 0.2156 0.8441

-22 -0.0060 -0.0489 -0.7474 -3.5985 0.4577 0.0006 -0.0231 -0.0128 -1.4874 -0.2450 0.1421 0.8073

-21 0.0081 -0.0407 1.0233 -2.9988 0.3103 0.0039 -0.0109 -0.0237 -0.6993 -0.4530 0.4871 0.6522

-20 -0.0092 -0.0499 -1.1494 -3.6724 0.2549 0.0005 0.0053 -0.0184 0.3408 -0.3516 0.7344 0.7264

-19 0.0053 -0.0446 0.6679 -3.2810 0.5068 0.0017 0.0120 -0.0064 0.7689 -0.1228 0.4449 0.9026

-18 -0.0005 -0.0451 -0.0657 -3.3195 0.9479 0.0015 -0.0299 -0.0363 -1.9211 -0.6944 0.0595 0.4901

-17 0.0127 -0.0324 1.5949 -2.3847 0.1160 0.0203 -0.0005 -0.0368 -0.0320 -0.7039 0.9745 0.4842

-16 0.0100 -0.0224 1.2585 -1.6471 0.2131 0.1048 -0.0003 -0.0371 -0.0187 -0.7095 0.9851 0.4808

-15 -0.0024 -0.0248 -0.3036 -1.8251 0.7625 0.0730 -0.0026 -0.0397 -0.1701 -0.7601 0.8655 0.4502

-14 0.0041 -0.0206 0.5209 -1.5198 0.6043 0.1338 0.0231 -0.0166 1.4859 -0.3180 0.1425 0.7516

-13 0.0079 -0.0128 0.9864 -0.9416 0.3279 0.3502 0.0156 -0.0010 1.0055 -0.0189 0.3187 0.9850

-12 0.0037 -0.0091 0.4661 -0.6684 0.6428 0.5064 -0.0024 -0.0033 -0.1519 -0.0641 0.8798 0.9491

-11 -0.0037 -0.0128 -0.4609 -0.9386 0.6465 0.3517 -0.0082 -0.0116 -0.5293 -0.2215 0.5986 0.8254

-10 0.0070 -0.0058 0.8782 -0.4239 0.3833 0.6732 -0.0063 -0.0178 -0.4025 -0.3413 0.6887 0.7341

-9 -0.0115 -0.0173 -1.4491 -1.2732 0.1525 0.2079 0.0277 0.0099 1.7839 0.1894 0.0795 0.8504

-8 -0.0031 -0.0204 -0.3846 -1.4986 0.7019 0.1392 0.0066 0.0165 0.4268 0.3164 0.6710 0.7528

-7 -0.0040 -0.0244 -0.5076 -1.7961 0.6136 0.0775 -0.0061 0.0104 -0.3923 0.1997 0.6962 0.8424

-6 0.0006 -0.0238 0.0712 -1.7544 0.9435 0.0845 -0.0087 0.0018 -0.5563 0.0342 0.5801 0.9728

-5 -0.0055 -0.0294 -0.6968 -2.1628 0.4886 0.0346 -0.0011 0.0007 -0.0688 0.0137 0.9454 0.9891

-4 -0.0118 -0.0412 -1.4858 -3.0336 0.1426 0.0036 0.0070 0.0078 0.4532 0.1486 0.6520 0.8824

-3 0.0083 -0.0329 1.0410 -2.4235 0.3021 0.0184 0.0034 0.0111 0.2174 0.2133 0.8287 0.8319

-2 0.0114 -0.0215 1.4326 -1.5838 0.1572 0.1185 -0.0056 0.0056 -0.3596 0.1063 0.7204 0.9157

-1 0.0060 -0.0155 0.7559 -1.1408 0.4527 0.2585 0.0224 0.0280 1.4413 0.5351 0.1547 0.5946

0 0.0030 -0.0125 0.3816 -0.9172 0.7041 0.3627 -0.0120 0.0160 -0.7700 0.3060 0.4443 0.7607

1 -0.0047 -0.0172 -0.5961 -1.2666 0.5533 0.2102 -0.0427 -0.0267 -2.7454 -0.5108 0.0080 0.6114

2 0.0136 -0.0036 1.7106 -0.2640 0.0923 0.7927 -0.0167 -0.0434 -1.0758 -0.8308 0.2863 0.4094

3 0.0002 -0.0034 0.0227 -0.2507 0.9820 0.8029 -0.0133 -0.0568 -0.8576 -1.0860 0.3945 0.2818

4 -0.0049 -0.0083 -0.6096 -0.6080 0.5444 0.5455 0.0017 -0.0550 0.1105 -1.0531 0.9123 0.2965

5 -0.0044 -0.0127 -0.5584 -0.9353 0.5787 0.3534 -0.0025 -0.0576 -0.1621 -1.1013 0.8718 0.2752

APPENDICES

220

6 -0.0030 -0.0157 -0.3772 -1.1563 0.7074 0.2521 0.0122 -0.0454 0.7826 -0.8685 0.4370 0.3886

7 0.0030 -0.0127 0.3751 -0.9365 0.7089 0.3528 -0.0059 -0.0513 -0.3788 -0.9812 0.7061 0.3304

8 -0.0042 -0.0170 -0.5325 -1.2486 0.5963 0.2167 -0.0197 -0.0710 -1.2672 -1.3582 0.2100 0.1795

9 0.0012 -0.0157 0.1539 -1.1584 0.8782 0.2513 -0.0088 -0.0798 -0.5664 -1.5267 0.5732 0.1321

10 -0.0045 -0.0202 -0.5604 -1.4869 0.5773 0.1423 -0.0025 -0.0823 -0.1612 -1.5747 0.8725 0.1206

11 -0.0051 -0.0253 -0.6432 -1.8638 0.5226 0.0672 -0.0249 -0.1072 -1.5992 -2.0504 0.1150 0.0447

12 -0.0028 -0.0281 -0.3507 -2.0694 0.7270 0.0428 -0.0049 -0.1120 -0.3125 -2.1434 0.7557 0.0361

13 -0.0070 -0.0351 -0.8812 -2.5859 0.3817 0.0122 -0.0035 -0.1156 -0.2266 -2.2109 0.8215 0.0309

14 -0.0043 -0.0394 -0.5404 -2.9026 0.5909 0.0052 0.0116 -0.1040 0.7449 -1.9892 0.4592 0.0512

15 0.0034 -0.0360 0.4305 -2.6503 0.6684 0.0103 -0.0034 -0.1074 -0.2179 -2.0541 0.8283 0.0443

16 -0.0018 -0.0378 -0.2227 -2.7808 0.8245 0.0072 -0.0043 -0.1117 -0.2784 -2.1369 0.7817 0.0367

17 -0.0156 -0.0534 -1.9564 -3.9274 0.0551 0.0002 -0.0048 -0.1165 -0.3063 -2.2280 0.7605 0.0296

18 0.0102 -0.0432 1.2808 -3.1767 0.2052 0.0024 0.0029 -0.1136 0.1844 -2.1731 0.8543 0.0337

19 -0.0003 -0.0435 -0.0430 -3.2020 0.9658 0.0022 0.0034 -0.1102 0.2171 -2.1086 0.8289 0.0392

20 0.0026 -0.0409 0.3243 -3.0119 0.7469 0.0038 -0.0125 -0.1228 -0.8066 -2.3485 0.4231 0.0222

21 0.0004 -0.0405 0.0553 -2.9795 0.9561 0.0042 -0.0050 -0.1278 -0.3227 -2.4445 0.7481 0.0175

22 0.0000 -0.0405 -0.0023 -2.9809 0.9982 0.0041 -0.0144 -0.1422 -0.9256 -2.7199 0.3584 0.0085

23 0.0107 -0.0298 1.3462 -2.1919 0.1833 0.0323 0.0242 -0.1180 1.5565 -2.2569 0.1249 0.0277

24 -0.0003 -0.0300 -0.0329 -2.2112 0.9738 0.0308 0.0083 -0.1097 0.5343 -2.0979 0.5951 0.0401

25 -0.0035 -0.0335 -0.4370 -2.4673 0.6637 0.0165 -0.0215 -0.1312 -1.3823 -2.5091 0.1720 0.0148

26 0.0084 -0.0252 1.0489 -1.8526 0.2984 0.0689 0.0455 -0.0857 2.9248 -1.6390 0.0049 0.1065

27 -0.0026 -0.0277 -0.3238 -2.0423 0.7472 0.0455 -0.0320 -0.1177 -2.0597 -2.2517 0.0438 0.0280

28 -0.0040 -0.0317 -0.4964 -2.3333 0.6214 0.0230 -0.0066 -0.1243 -0.4257 -2.3784 0.6719 0.0206

29 -0.0007 -0.0324 -0.0831 -2.3820 0.9340 0.0204 0.0117 -0.1126 0.7545 -2.1539 0.4535 0.0353

30 0.0041 -0.0283 0.5116 -2.0822 0.6108 0.0416 -0.0131 -0.1257 -0.8456 -2.4055 0.4012 0.0193

APPENDICES

221


along with declaration of financial results based on GARCH Model:


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0029 -0.0029 -0.2688 -0.0878 0.7890 0.9303 -0.0102 -0.0102 -0.8158 -0.2718 0.4178 0.7867

-29 -0.0046 -0.0074 -0.4280 -0.2276 0.6702 0.8207 -0.0259 -0.0361 -2.0700 -0.9615 0.0428 0.3402

-28 -0.0080 -0.0154 -0.7506 -0.4727 0.4558 0.6381 -0.0114 -0.0475 -0.9084 -1.2641 0.3673 0.2111

-27 -0.0072 -0.0227 -0.6764 -0.6936 0.5014 0.4906 0.0121 -0.0354 0.9660 -0.9423 0.3379 0.3498

-26 -0.0047 -0.0273 -0.4384 -0.8368 0.6627 0.4060 0.0170 -0.0184 1.3596 -0.4893 0.1791 0.6264

-25 0.0139 -0.0134 1.3030 -0.4113 0.1976 0.6823 0.0015 -0.0169 0.1187 -0.4498 0.9059 0.6545

-24 0.0080 -0.0054 0.7522 -0.1656 0.4549 0.8690 0.0390 0.0221 3.1173 0.5889 0.0028 0.5582

-23 0.0040 -0.0014 0.3741 -0.0434 0.7097 0.9655 -0.0079 0.0142 -0.6306 0.3788 0.5307 0.7062

-22 -0.0145 -0.0159 -1.3556 -0.4862 0.1803 0.6286 0.0109 0.0252 0.8736 0.6698 0.3858 0.5055

-21 -0.0038 -0.0196 -0.3515 -0.6010 0.7264 0.5501 0.0024 0.0275 0.1898 0.7331 0.8501 0.4664

-20 -0.0059 -0.0255 -0.5505 -0.7808 0.5840 0.4380 0.0127 0.0403 1.0156 1.0715 0.3139 0.2882

-19 -0.0001 -0.0256 -0.0125 -0.7849 0.9901 0.4356 0.0039 0.0442 0.3141 1.1761 0.7545 0.2442

-18 0.0081 -0.0176 0.7577 -0.5374 0.4516 0.5930 0.0120 0.0562 0.9589 1.4956 0.3414 0.1400

-17 -0.0101 -0.0276 -0.9430 -0.8454 0.3495 0.4012 -0.0097 0.0465 -0.7723 1.2383 0.4430 0.2204

-16 0.0179 -0.0097 1.6766 -0.2978 0.0988 0.7669 0.0251 0.0716 2.0057 1.9066 0.0494 0.0614

-15 -0.0021 -0.0119 -0.1993 -0.3629 0.8427 0.7180 0.0207 0.0923 1.6547 2.4579 0.1032 0.0169

-14 0.0267 0.0149 2.5068 0.4558 0.0149 0.6501 0.0203 0.1126 1.6178 2.9969 0.1109 0.0040

-13 0.0040 0.0188 0.3703 0.5768 0.7125 0.5662 0.0022 0.1148 0.1781 3.0563 0.8592 0.0033

-12 -0.0104 0.0084 -0.9775 0.2575 0.3323 0.7976 -0.0280 0.0869 -2.2339 2.3120 0.0292 0.0242

-11 -0.0008 0.0076 -0.0725 0.2338 0.9424 0.8159 -0.0196 0.0673 -1.5651 1.7905 0.1228 0.0784

-10 -0.0063 0.0014 -0.5867 0.0422 0.5596 0.9664 -0.0104 0.0569 -0.8315 1.5135 0.4090 0.1354

-9 -0.0003 0.0011 -0.0290 0.0328 0.9770 0.9740 -0.0138 0.0430 -1.1036 1.1458 0.2742 0.2564

-8 0.0096 0.0106 0.8967 0.3256 0.3735 0.7458 0.0045 0.0476 0.3628 1.2667 0.7180 0.2102

-7 -0.0048 0.0059 -0.4468 0.1797 0.6566 0.8580 0.0143 0.0619 1.1457 1.6484 0.2565 0.1045

-6 -0.0008 0.0050 -0.0781 0.1542 0.9380 0.8780 0.0077 0.0697 0.6175 1.8542 0.5392 0.0686

APPENDICES

222

-5 0.0019 0.0069 0.1763 0.2118 0.8607 0.8330 -0.0046 0.0651 -0.3637 1.7330 0.7174 0.0882

-4 0.0013 0.0082 0.1207 0.2512 0.9044 0.8025 -0.0104 0.0547 -0.8313 1.4560 0.4091 0.1506

-3 0.0151 0.0233 1.4138 0.7129 0.1626 0.4787 0.0154 0.0701 1.2287 1.8654 0.2240 0.0670

-2 0.0063 0.0295 0.5861 0.9043 0.5600 0.3694 0.0163 0.0864 1.3029 2.2995 0.1976 0.0250

-1 -0.0070 0.0225 -0.6585 0.6893 0.5128 0.4933 0.0043 0.0907 0.3424 2.4136 0.7332 0.0189

0 -0.0045 0.0180 -0.4263 0.5501 0.6714 0.5843 -0.0083 0.0824 -0.6625 2.1928 0.5102 0.0322

1 0.0021 0.0201 0.2001 0.6154 0.8421 0.5406 -0.0035 0.0789 -0.2823 2.0988 0.7787 0.0401

2 -0.0027 0.0174 -0.2549 0.5322 0.7997 0.5966 -0.0063 0.0725 -0.5066 1.9300 0.6143 0.0583

3 -0.0103 0.0071 -0.9656 0.2168 0.3381 0.8291 -0.0029 0.0696 -0.2303 1.8533 0.8186 0.0688

4 -0.0114 -0.0043 -1.0662 -0.1314 0.2906 0.8959 -0.0008 0.0688 -0.0643 1.8318 0.9490 0.0719

5 -0.0020 -0.0063 -0.1855 -0.1920 0.8534 0.8484 -0.0061 0.0627 -0.4885 1.6691 0.6270 0.1003

6 0.0021 -0.0042 0.1947 -0.1284 0.8463 0.8983 0.0253 0.0880 2.0239 2.3434 0.0474 0.0224

7 0.0302 0.0260 2.8298 0.7958 0.0063 0.4293 -0.0051 0.0830 -0.4062 2.2081 0.6861 0.0311

8 -0.0118 0.0142 -1.1101 0.4332 0.2714 0.6664 0.0017 0.0847 0.1354 2.2532 0.8928 0.0279

9 -0.0086 0.0055 -0.8101 0.1687 0.4211 0.8666 0.0045 0.0891 0.3556 2.3717 0.7234 0.0209

10 0.0043 0.0098 0.4011 0.2996 0.6898 0.7655 -0.0080 0.0811 -0.6397 2.1585 0.5248 0.0349

11 -0.0070 0.0028 -0.6590 0.0844 0.5124 0.9330 -0.0071 0.0740 -0.5703 1.9685 0.5706 0.0536

12 -0.0165 -0.0137 -1.5429 -0.4195 0.1281 0.6763 -0.0024 0.0716 -0.1880 1.9059 0.8515 0.0615

13 0.0193 0.0056 1.8085 0.1712 0.0755 0.8647 0.0083 0.0799 0.6639 2.1271 0.5093 0.0375

14 0.0238 0.0294 2.2296 0.8994 0.0295 0.3720 -0.0003 0.0796 -0.0216 2.1199 0.9829 0.0382

15 -0.0038 0.0256 -0.3525 0.7842 0.7257 0.4360 0.0077 0.0873 0.6131 2.3242 0.5421 0.0235

16 0.0112 0.0368 1.0501 1.1272 0.2979 0.2641 0.0042 0.0915 0.3364 2.4363 0.7377 0.0178

17 -0.0076 0.0292 -0.7139 0.8941 0.4781 0.3749 0.0084 0.1000 0.6737 2.6608 0.5031 0.0100

18 -0.0043 0.0249 -0.4058 0.7615 0.6863 0.4493 -0.0007 0.0992 -0.0597 2.6409 0.9526 0.0105

19 0.0272 0.0521 2.5532 1.5954 0.0132 0.1159 -0.0069 0.0923 -0.5510 2.4573 0.5837 0.0169

20 0.0071 0.0593 0.6701 1.8142 0.5053 0.0746 0.0010 0.0933 0.0771 2.4830 0.9388 0.0158

21 0.0028 0.0621 0.2647 1.9007 0.7921 0.0621 0.0001 0.0933 0.0047 2.4845 0.9963 0.0158

22 -0.0035 0.0585 -0.3314 1.7925 0.7415 0.0781 -0.0027 0.0907 -0.2137 2.4133 0.8315 0.0189

23 0.0101 0.0686 0.9446 2.1010 0.3487 0.0399 0.0014 0.0921 0.1126 2.4508 0.9107 0.0172

24 -0.0033 0.0653 -0.3097 1.9998 0.7578 0.0501 0.0047 0.0967 0.3720 2.5748 0.7112 0.0125

25 0.0166 0.0819 1.5515 2.5066 0.1260 0.0149 -0.0036 0.0932 -0.2863 2.4794 0.7757 0.0160

26 0.0048 0.0866 0.4475 2.6527 0.6561 0.0102 -0.0037 0.0894 -0.2990 2.3798 0.7660 0.0205

27 0.0120 0.0987 1.1261 3.0205 0.2646 0.0037 0.0056 0.0950 0.4503 2.5298 0.6541 0.0141

28 -0.0112 0.0875 -1.0460 2.6789 0.2998 0.0095 -0.0114 0.0837 -0.9091 2.2269 0.3669 0.0297

29 -0.0064 0.0811 -0.5987 2.4833 0.5516 0.0158 -0.0106 0.0731 -0.8439 1.9457 0.4021 0.0564

APPENDICES

223

30 -0.0010 0.0801 -0.0920 2.4533 0.9270 0.0171 0.0253 0.0984 2.0238 2.6200 0.0475 0.0111

Mid Cap. Dividend Increase along with financial results @20% Mid Cap. Dividend Decrease along with financial results @20%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0028 0.0028 0.2269 0.0673 0.8213 0.9466 Events are insufficient for final study.

-29 0.0038 0.0065 0.3088 0.1588 0.7585 0.8743

-28 0.0106 0.0171 0.8696 0.4167 0.3880 0.6784

-27 0.0278 0.0449 2.2930 1.0966 0.0254 0.2772

-26 0.0086 0.0535 0.7106 1.3073 0.4801 0.1961

-25 -0.0144 0.0392 -1.1821 0.9568 0.2418 0.3425

-24 0.0140 0.0532 1.1503 1.2978 0.2546 0.1993

-23 -0.0107 0.0424 -0.8837 1.0358 0.3804 0.3045

-22 -0.0075 0.0349 -0.6170 0.8529 0.5396 0.3971

-21 0.0247 0.0596 2.0328 1.4556 0.0465 0.1507

-20 0.0019 0.0615 0.1587 1.5026 0.8745 0.1382

-19 0.0101 0.0716 0.8278 1.7481 0.4110 0.0856

-18 0.0070 0.0786 0.5782 1.9195 0.5653 0.0597

-17 0.0133 0.0920 1.0975 2.2449 0.2768 0.0285

-16 0.0015 0.0934 0.1203 2.2806 0.9046 0.0261

-15 -0.0148 0.0786 -1.2186 1.9193 0.2278 0.0597

-14 -0.0015 0.0771 -0.1222 1.8831 0.9031 0.0645

-13 -0.0046 0.0726 -0.3751 1.7718 0.7089 0.0815

-12 -0.0122 0.0603 -1.0068 1.4733 0.3181 0.1459

-11 0.0015 0.0619 0.1261 1.5107 0.9000 0.1361

-10 0.0087 0.0706 0.7185 1.7238 0.4753 0.0899

-9 0.0167 0.0873 1.3743 2.1312 0.1745 0.0372

-8 0.0043 0.0916 0.3532 2.2359 0.7252 0.0291

-7 0.0025 0.0941 0.2059 2.2970 0.8375 0.0251

-6 -0.0055 0.0886 -0.4558 2.1619 0.6502 0.0346

-5 0.0096 0.0982 0.7904 2.3962 0.4324 0.0197

-4 0.0168 0.1149 1.3831 2.8063 0.1718 0.0067

-3 -0.0103 0.1047 -0.8474 2.5550 0.4001 0.0132

-2 -0.0153 0.0894 -1.2561 2.1826 0.2139 0.0330

-1 0.0017 0.0911 0.1437 2.2252 0.8863 0.0298

APPENDICES

224

0 -0.0087 0.0825 -0.7128 2.0138 0.4787 0.0485

1 0.0100 0.0925 0.8266 2.2589 0.4117 0.0275

2 0.0129 0.1054 1.0611 2.5735 0.2929 0.0126

3 0.0011 0.1065 0.0879 2.5996 0.9302 0.0117

4 0.0246 0.1311 2.0243 3.1998 0.0474 0.0022

5 -0.0028 0.1282 -0.2334 3.1306 0.8163 0.0027

6 -0.0283 0.1000 -2.3269 2.4407 0.0234 0.0176

7 -0.0033 0.0966 -0.2746 2.3592 0.7846 0.0216

8 -0.0207 0.0759 -1.7048 1.8537 0.0934 0.0687

9 -0.0143 0.0616 -1.1785 1.5043 0.2433 0.1377

10 -0.0195 0.0421 -1.6086 1.0274 0.1130 0.3084

11 0.0039 0.0460 0.3219 1.1228 0.7486 0.2660

12 -0.0197 0.0263 -1.6250 0.6410 0.1094 0.5240

13 -0.0108 0.0155 -0.8877 0.3778 0.3782 0.7069

14 -0.0107 0.0048 -0.8817 0.1164 0.3815 0.9077

15 -0.0052 -0.0004 -0.4244 -0.0095 0.6728 0.9925

16 -0.0112 -0.0116 -0.9233 -0.2832 0.3596 0.7780

17 0.0164 0.0048 1.3466 0.1161 0.1832 0.9080

18 0.0013 0.0060 0.1033 0.1467 0.9181 0.8839

19 -0.0032 0.0028 -0.2602 0.0695 0.7956 0.9448

20 -0.0069 -0.0041 -0.5689 -0.0992 0.5715 0.9213

21 0.0093 0.0052 0.7623 0.1269 0.4489 0.8995

22 0.0074 0.0126 0.6071 0.3069 0.5461 0.7600

23 -0.0132 -0.0006 -1.0861 -0.0151 0.2818 0.9880

24 -0.0064 -0.0071 -0.5295 -0.1721 0.5984 0.8639

25 0.0112 0.0041 0.9217 0.1011 0.3604 0.9198

26 -0.0042 -0.0001 -0.3467 -0.0017 0.7300 0.9987

27 -0.0012 -0.0013 -0.1000 -0.0313 0.9207 0.9751

28 -0.0032 -0.0045 -0.2636 -0.1095 0.7930 0.9132

29 0.0171 0.0126 1.4054 0.3072 0.1650 0.7597

30 0.0120 0.0246 0.9886 0.6003 0.3268 0.5505


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

APPENDICES

225

-30 -0.0032 -0.0032 -0.2706 -0.0906 0.7877 0.9281 -0.0096 -0.0096 -0.7029 -0.1548 0.4849 0.8775

-29 -0.0067 -0.0099 -0.5706 -0.2818 0.5704 0.7791 0.0132 0.0036 0.9666 0.0581 0.3376 0.9539

-28 -0.0047 -0.0146 -0.4008 -0.4160 0.6900 0.6789 -0.0059 -0.0023 -0.4297 -0.0366 0.6689 0.9710

-27 -0.0032 -0.0179 -0.2753 -0.5082 0.7840 0.6132 -0.0004 -0.0027 -0.0298 -0.0431 0.9764 0.9658

-26 -0.0085 -0.0264 -0.7237 -0.7506 0.4720 0.4558 0.0063 0.0036 0.4617 0.0586 0.6459 0.9535

-25 0.0011 -0.0253 0.0940 -0.7192 0.9254 0.4748 0.0173 0.0210 1.2670 0.3376 0.2100 0.7368

-24 0.0096 -0.0157 0.8130 -0.4468 0.4194 0.6566 -0.0004 0.0205 -0.0301 0.3310 0.9761 0.7418

-23 0.0038 -0.0119 0.3219 -0.3390 0.7487 0.7358 -0.0214 -0.0008 -1.5625 -0.0131 0.1234 0.9896

-22 -0.0055 -0.0174 -0.4706 -0.4967 0.6396 0.6213 0.0133 0.0125 0.9751 0.2016 0.3334 0.8409

-21 0.0048 -0.0127 0.4072 -0.3603 0.6853 0.7199 -0.0018 0.0107 -0.1320 0.1726 0.8954 0.8636

-20 -0.0038 -0.0165 -0.3261 -0.4695 0.7455 0.6404 0.0083 0.0190 0.6064 0.3061 0.5466 0.7606

-19 0.0036 -0.0129 0.3021 -0.3683 0.7636 0.7139 0.0012 0.0202 0.0909 0.3261 0.9278 0.7455

-18 -0.0073 -0.0203 -0.6246 -0.5775 0.5346 0.5658 -0.0005 0.0198 -0.0329 0.3189 0.9738 0.7509

-17 -0.0096 -0.0299 -0.8145 -0.8503 0.4186 0.3985 -0.0118 0.0080 -0.8645 0.1285 0.3908 0.8982

-16 0.0092 -0.0207 0.7818 -0.5885 0.4374 0.5584 0.0216 0.0296 1.5831 0.4771 0.1187 0.6350

-15 0.0071 -0.0136 0.6005 -0.3873 0.5504 0.6999 0.0058 0.0354 0.4209 0.5698 0.6753 0.5709

-14 0.0085 -0.0051 0.7256 -0.1443 0.4709 0.8858 -0.0248 0.0105 -1.8164 0.1698 0.0743 0.8657

-13 0.0039 -0.0011 0.3336 -0.0325 0.7398 0.9742 0.0384 0.0489 2.8090 0.7884 0.0067 0.4335

-12 0.0063 0.0051 0.5339 0.1463 0.5954 0.8842 -0.0015 0.0474 -0.1102 0.7642 0.9126 0.4478

-11 0.0019 0.0070 0.1599 0.1999 0.8735 0.8423 0.0061 0.0535 0.4455 0.8623 0.6575 0.3920

-10 0.0023 0.0093 0.1939 0.2648 0.8469 0.7921 0.0058 0.0593 0.4212 0.9550 0.6751 0.3434

-9 0.0015 0.0108 0.1276 0.3075 0.8989 0.7595 -0.0106 0.0487 -0.7771 0.7839 0.4402 0.4362

-8 -0.0016 0.0092 -0.1352 0.2623 0.8929 0.7940 0.0042 0.0528 0.3056 0.8512 0.7609 0.3980

-7 0.0080 0.0173 0.6839 0.4913 0.4967 0.6250 0.0123 0.0652 0.9021 1.0499 0.3706 0.2980

-6 -0.0056 0.0117 -0.4748 0.3323 0.6367 0.7408 -0.0156 0.0496 -1.1396 0.7989 0.2590 0.4275

-5 -0.0033 0.0083 -0.2836 0.2373 0.7777 0.8132 0.0092 0.0588 0.6713 0.9468 0.5046 0.3476

-4 -0.0127 -0.0044 -1.0835 -0.1256 0.2829 0.9005 -0.0150 0.0438 -1.0977 0.7050 0.2767 0.4835

-3 0.0110 0.0066 0.9326 0.1868 0.3548 0.8525 -0.0024 0.0414 -0.1727 0.6670 0.8635 0.5073

-2 0.0137 0.0203 1.1640 0.5767 0.2490 0.5663 0.0094 0.0508 0.6902 0.8190 0.4927 0.4160

-1 0.0019 0.0221 0.1588 0.6299 0.8744 0.5312 0.0244 0.0752 1.7819 1.2114 0.0798 0.2305

0 0.0139 0.0360 1.1797 1.0250 0.2428 0.3095 -0.0207 0.0545 -1.5159 0.8776 0.1348 0.3837

1 0.0238 0.0598 2.0201 1.7016 0.0478 0.0940 0.0155 0.0700 1.1367 1.1279 0.2602 0.2638

2 0.0125 0.0723 1.0663 2.0588 0.2906 0.0439 -0.0067 0.0633 -0.4878 1.0205 0.6275 0.3116

3 -0.0017 0.0706 -0.1449 2.0103 0.8853 0.0489 0.0139 0.0773 1.0203 1.2452 0.3117 0.2179

APPENDICES

226

4 0.0080 0.0786 0.6768 2.2370 0.5011 0.0290 0.0105 0.0878 0.7657 1.4138 0.4469 0.1626

5 -0.0019 0.0767 -0.1630 2.1824 0.8711 0.0330 0.0196 0.1073 1.4304 1.7288 0.1578 0.0890

6 -0.0044 0.0722 -0.3774 2.0560 0.7072 0.0441 0.0251 0.1324 1.8376 2.1335 0.0711 0.0370

7 -0.0002 0.0720 -0.0212 2.0489 0.9832 0.0449 0.0003 0.1327 0.0228 2.1385 0.9819 0.0366

8 0.0144 0.0863 1.2211 2.4579 0.2268 0.0169 -0.0150 0.1177 -1.1000 1.8963 0.2757 0.0627

9 -0.0001 0.0863 -0.0066 2.4557 0.9948 0.0170 0.0077 0.1254 0.5599 2.0196 0.5776 0.0479

10 -0.0116 0.0746 -0.9895 2.1242 0.3264 0.0378 0.0040 0.1294 0.2925 2.0840 0.7709 0.0414

11 -0.0003 0.0743 -0.0287 2.1146 0.9772 0.0386 0.0199 0.1493 1.4560 2.4047 0.1506 0.0193

12 0.0025 0.0768 0.2106 2.1851 0.8339 0.0328 -0.0157 0.1335 -1.1502 2.1514 0.2546 0.0355

13 0.0057 0.0825 0.4841 2.3473 0.6301 0.0222 -0.0124 0.1211 -0.9085 1.9513 0.3672 0.0557

14 -0.0707 0.0117 -6.0101 0.3342 0.0000 0.7394 0.0207 0.1419 1.5179 2.2856 0.1343 0.0258

15 0.0044 0.0161 0.3734 0.4593 0.7102 0.6477 -0.0007 0.1411 -0.0536 2.2738 0.9574 0.0266

16 0.0075 0.0236 0.6346 0.6718 0.5281 0.5043 0.0037 0.1449 0.2724 2.3338 0.7862 0.0230

17 0.0152 0.0388 1.2926 1.1048 0.2011 0.2737 -0.0031 0.1418 -0.2234 2.2846 0.8240 0.0259

18 -0.0024 0.0364 -0.2030 1.0368 0.8398 0.3040 0.0101 0.1519 0.7355 2.4466 0.4649 0.0174

19 0.0095 0.0459 0.8079 1.3074 0.4224 0.1961 -0.0039 0.1479 -0.2861 2.3835 0.7758 0.0203

20 0.0057 0.0516 0.4809 1.4685 0.6323 0.1472 0.0208 0.1688 1.5245 2.7193 0.1326 0.0085

21 -0.0021 0.0495 -0.1767 1.4092 0.8603 0.1639 -0.0070 0.1618 -0.5112 2.6067 0.6111 0.0115

22 0.0029 0.0524 0.2476 1.4922 0.8053 0.1409 -0.0093 0.1525 -0.6811 2.4567 0.4985 0.0169

23 -0.0019 0.0505 -0.1620 1.4379 0.8718 0.1557 0.0044 0.1569 0.3231 2.5279 0.7477 0.0141

24 -0.0084 0.0421 -0.7169 1.1978 0.4762 0.2357 0.0057 0.1626 0.4187 2.6201 0.6769 0.0111

25 0.0030 0.0451 0.2529 1.2825 0.8012 0.2046 0.0117 0.1744 0.8582 2.8091 0.3942 0.0067

26 -0.0016 0.0435 -0.1338 1.2377 0.8940 0.2206 -0.0116 0.1627 -0.8499 2.6219 0.3988 0.0111

27 0.0025 0.0459 0.2086 1.3076 0.8355 0.1960 -0.0092 0.1535 -0.6748 2.4733 0.5024 0.0162

28 -0.0023 0.0436 -0.1981 1.2412 0.8436 0.2194 0.0088 0.1623 0.6454 2.6155 0.5212 0.0113

29 0.0006 0.0442 0.0533 1.2591 0.9577 0.2129 0.0357 0.1980 2.6089 3.1900 0.0114 0.0023

30 0.0083 0.0525 0.7066 1.4957 0.4826 0.1400 0.0160 0.2140 1.1684 3.4474 0.2473 0.0010

APPENDICES

227




Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0077 -0.0077 -1.8489 -0.7890 0.0694 0.4332 -0.0011 -0.0011 -0.1942 -0.0495 0.8467 0.9607

-29 -0.0002 -0.0079 -0.0502 -0.8104 0.9602 0.4209 0.0144 0.0132 2.4498 0.5745 0.0172 0.5678

-28 0.0045 -0.0035 1.0716 -0.3531 0.2882 0.7252 0.0011 0.0143 0.1793 0.6202 0.8583 0.5375

-27 0.0035 0.0001 0.8469 0.0083 0.4004 0.9934 -0.0093 0.0050 -1.5890 0.2154 0.1173 0.8302

-26 0.0041 0.0041 0.9676 0.4212 0.3371 0.6751 -0.0006 0.0043 -0.1103 0.1874 0.9126 0.8520

-25 0.0037 0.0079 0.8902 0.8010 0.3769 0.4263 0.0057 0.0101 0.9785 0.4366 0.3317 0.6640

-24 -0.0028 0.0051 -0.6659 0.5169 0.5080 0.6071 0.0063 0.0163 1.0668 0.7083 0.2903 0.4815

-23 0.0010 0.0061 0.2382 0.6185 0.8126 0.5386 -0.0054 0.0109 -0.9138 0.4756 0.3645 0.6361

-22 0.0046 0.0107 1.0956 1.0860 0.2776 0.2818 0.0069 0.0179 1.1836 0.7770 0.2412 0.4402

-21 0.0075 0.0182 1.8015 1.8548 0.0767 0.0685 -0.0004 0.0175 -0.0700 0.7592 0.9445 0.4507

-20 -0.0014 0.0168 -0.3436 1.7082 0.7323 0.0928 0.0019 0.0194 0.3314 0.8436 0.7415 0.4022

-19 0.0049 0.0217 1.1794 2.2114 0.2429 0.0308 -0.0036 0.0158 -0.6195 0.6858 0.5380 0.4954

-18 -0.0029 0.0188 -0.6842 1.9195 0.4965 0.0597 -0.0123 0.0035 -2.0988 0.1513 0.0400 0.8803

-17 -0.0011 0.0177 -0.2621 1.8076 0.7941 0.0757 -0.0026 0.0009 -0.4376 0.0398 0.6633 0.9684

-16 0.0021 0.0198 0.4947 2.0187 0.6226 0.0480 -0.0028 -0.0019 -0.4752 -0.0812 0.6364 0.9355

-15 0.0000 0.0198 0.0117 2.0237 0.9907 0.0475 -0.0020 -0.0039 -0.3457 -0.1693 0.7308 0.8662

-14 0.0056 0.0254 1.3369 2.5942 0.1863 0.0119 -0.0021 -0.0060 -0.3616 -0.2614 0.7189 0.7947

-13 -0.0065 0.0189 -1.5632 1.9271 0.1233 0.0587 0.0073 0.0013 1.2435 0.0554 0.2185 0.9560

-12 -0.0001 0.0188 -0.0282 1.9151 0.9776 0.0603 0.0085 0.0097 1.4446 0.4233 0.1538 0.6736

-11 -0.0001 0.0186 -0.0354 1.9000 0.9719 0.0622 -0.0019 0.0078 -0.3317 0.3388 0.7413 0.7359

-10 -0.0022 0.0164 -0.5224 1.6771 0.6033 0.0987 0.0003 0.0081 0.0559 0.3530 0.9556 0.7253

-9 -0.0014 0.0150 -0.3425 1.5309 0.7332 0.1310 -0.0096 -0.0015 -1.6412 -0.0650 0.1060 0.9484

-8 -0.0037 0.0113 -0.8895 1.1513 0.3773 0.2542 0.0017 0.0002 0.2943 0.0100 0.7695 0.9921

-7 -0.0005 0.0108 -0.1093 1.1047 0.9133 0.2737 0.0012 0.0015 0.2100 0.0635 0.8344 0.9496

-6 0.0029 0.0137 0.6853 1.3971 0.4958 0.1675 -0.0015 -0.0001 -0.2631 -0.0035 0.7934 0.9972

-5 -0.0030 0.0107 -0.7164 1.0914 0.4766 0.2794 -0.0051 -0.0052 -0.8754 -0.2265 0.3848 0.8216

-4 -0.0024 0.0083 -0.5645 0.8505 0.5745 0.3984 0.0021 -0.0031 0.3666 -0.1331 0.7152 0.8945

APPENDICES

228

-3 -0.0049 0.0035 -1.1608 0.3552 0.2503 0.7237 0.0000 -0.0031 -0.0079 -0.1352 0.9937 0.8929

-2 0.0007 0.0042 0.1692 0.4274 0.8662 0.6706 -0.0080 -0.0111 -1.3704 -0.4842 0.1757 0.6300

-1 0.0026 0.0068 0.6232 0.6934 0.5355 0.4908 -0.0056 -0.0167 -0.9524 -0.7268 0.3447 0.4702

0 -0.0069 -0.0001 -1.6373 -0.0053 0.1068 0.9958 0.0070 -0.0098 1.1866 -0.4245 0.2400 0.6727

1 -0.0058 -0.0058 -1.3766 -0.5927 0.1738 0.5556 -0.0053 -0.0150 -0.8957 -0.6527 0.3740 0.5165

2 -0.0008 -0.0066 -0.1993 -0.6778 0.8427 0.5005 0.0039 -0.0112 0.6586 -0.4849 0.5127 0.6295

3 0.0044 -0.0023 1.0425 -0.2329 0.3014 0.8166 -0.0001 -0.0112 -0.0087 -0.4871 0.9931 0.6279

4 0.0007 -0.0016 0.1602 -0.1646 0.8733 0.8698 -0.0031 -0.0143 -0.5281 -0.6216 0.5994 0.5365

5 0.0045 0.0028 1.0645 0.2897 0.2914 0.7731 0.0030 -0.0114 0.5035 -0.4934 0.6165 0.6235

6 0.0098 0.0126 2.3418 1.2890 0.0225 0.2024 0.0070 -0.0043 1.1984 -0.1882 0.2355 0.8514

7 -0.0024 0.0102 -0.5739 1.0441 0.5682 0.3006 0.0040 -0.0003 0.6886 -0.0128 0.4937 0.9898

8 0.0020 0.0122 0.4754 1.2469 0.6362 0.2173 0.0051 0.0048 0.8681 0.2083 0.3888 0.8357

9 -0.0005 0.0117 -0.1228 1.1945 0.9027 0.2370 0.0008 0.0056 0.1316 0.2418 0.8957 0.8097

10 -0.0023 0.0094 -0.5509 0.9594 0.5837 0.3412 0.0093 0.0149 1.5832 0.6451 0.1186 0.5213

11 -0.0027 0.0067 -0.6466 0.6835 0.5204 0.4969 0.0085 0.0234 1.4540 1.0154 0.1511 0.3140

12 0.0012 0.0079 0.2877 0.8063 0.7746 0.4233 -0.0093 0.0141 -1.5861 0.6114 0.1180 0.5432

13 0.0006 0.0085 0.1457 0.8685 0.8847 0.3886 0.0056 0.0197 0.9608 0.8561 0.3405 0.3953

14 -0.0044 0.0041 -1.0526 0.4193 0.2967 0.6765 0.0079 0.0277 1.3540 1.2010 0.1808 0.2345

15 -0.0050 -0.0009 -1.2041 -0.0945 0.2333 0.9250 -0.0067 0.0209 -1.1470 0.9088 0.2559 0.3671

16 0.0016 0.0007 0.3774 0.0665 0.7072 0.9472 -0.0023 0.0186 -0.3883 0.8099 0.6992 0.4212

17 0.0026 0.0032 0.6183 0.3303 0.5387 0.7423 0.0077 0.0264 1.3205 1.1463 0.1917 0.2562

18 0.0027 0.0059 0.6422 0.6044 0.5232 0.5479 -0.0017 0.0246 -0.2977 1.0704 0.7669 0.2887

19 -0.0065 -0.0006 -1.5572 -0.0601 0.1247 0.9523 0.0072 0.0319 1.2301 1.3837 0.2235 0.1716

20 -0.0064 -0.0070 -1.5212 -0.7093 0.1335 0.4809 0.0024 0.0343 0.4113 1.4885 0.6824 0.1419

21 -0.0075 -0.0145 -1.7969 -1.4760 0.0774 0.1452 0.0151 0.0493 2.5677 2.1425 0.0127 0.0362

22 -0.0036 -0.0181 -0.8546 -1.8407 0.3962 0.0706 0.0043 0.0536 0.7338 2.3294 0.4660 0.0232

23 0.0091 -0.0090 2.1677 -0.9157 0.0342 0.3635 -0.0002 0.0535 -0.0271 2.3225 0.9785 0.0236

24 -0.0020 -0.0110 -0.4811 -1.1210 0.6322 0.2668 0.0078 0.0613 1.3366 2.6629 0.1864 0.0099

25 0.0042 -0.0068 1.0003 -0.6942 0.3212 0.4903 0.0025 0.0638 0.4236 2.7708 0.6734 0.0074

26 -0.0002 -0.0070 -0.0576 -0.7187 0.9543 0.4751 -0.0003 0.0635 -0.0525 2.7574 0.9583 0.0077

27 0.0070 -0.0001 1.6701 -0.0061 0.1001 0.9952 -0.0015 0.0620 -0.2495 2.6939 0.8038 0.0091

28 0.0059 0.0058 1.4033 0.5927 0.1657 0.5556 0.0021 0.0641 0.3524 2.7836 0.7258 0.0072

29 -0.0024 0.0034 -0.5653 0.3515 0.5740 0.7264 -0.0084 0.0557 -1.4282 2.4199 0.1584 0.0186

30 -0.0023 0.0011 -0.5576 0.1136 0.5792 0.9099 0.0055 0.0613 0.9452 2.6606 0.3483 0.0100

Mid Cap. Dividend Increase along with financial results @25% Mid. Cap. Dividend Decrease along with financial results @25%

APPENDICES

229

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0033 0.0033 0.3796 0.0577 0.7056 0.9541 0.0172 0.0172 1.3719 0.2431 0.1752 0.8088

-29 0.0090 0.0123 1.0318 0.2147 0.3063 0.8307 0.0016 0.0188 0.1280 0.2658 0.8986 0.7913

-28 0.0045 0.0167 0.5169 0.2933 0.6071 0.7703 -0.0116 0.0072 -0.9220 0.1024 0.3602 0.9188

-27 -0.0023 0.0145 -0.2600 0.2538 0.7958 0.8005 0.0188 0.0261 1.5020 0.3686 0.1383 0.7138

-26 0.0065 0.0210 0.7468 0.3674 0.4581 0.7146 0.0113 0.0373 0.8989 0.5278 0.3723 0.5996

-25 0.0116 0.0325 1.3306 0.5698 0.1884 0.5709 0.0243 0.0617 1.9407 0.8717 0.0570 0.3868

-24 -0.0006 0.0319 -0.0696 0.5592 0.9448 0.5781 0.0299 0.0916 2.3893 1.2951 0.0200 0.2003

-23 0.0008 0.0328 0.0973 0.5740 0.9228 0.5681 0.0009 0.0925 0.0687 1.3072 0.9455 0.1961

-22 0.0091 0.0418 1.0433 0.7327 0.3010 0.4666 -0.0055 0.0870 -0.4361 1.2300 0.6643 0.2235

-21 0.0128 0.0546 1.4766 0.9573 0.1450 0.3422 -0.0022 0.0847 -0.1791 1.1982 0.8585 0.2355

-20 -0.0015 0.0531 -0.1754 0.9307 0.8614 0.3558 -0.0011 0.0837 -0.0862 1.1830 0.9316 0.2415

-19 -0.0064 0.0467 -0.7366 0.8186 0.4642 0.4162 0.0070 0.0906 0.5547 1.2812 0.5811 0.2050

-18 0.0061 0.0528 0.7036 0.9256 0.4844 0.3583 0.0055 0.0961 0.4402 1.3592 0.6614 0.1792

-17 0.0013 0.0542 0.1553 0.9493 0.8771 0.3463 0.0257 0.1219 2.0546 1.7233 0.0443 0.0900

-16 0.0143 0.0685 1.6523 1.2006 0.1037 0.2346 0.0086 0.1305 0.6891 1.8454 0.4934 0.0699

-15 0.0033 0.0718 0.3828 1.2588 0.7032 0.2130 -0.0078 0.1227 -0.6262 1.7344 0.5336 0.0880

-14 0.0045 0.0763 0.5139 1.3370 0.6092 0.1863 -0.0050 0.1177 -0.3955 1.6644 0.6939 0.1013

-13 0.0193 0.0956 2.2227 1.6752 0.0300 0.0991 -0.0275 0.0902 -2.1939 1.2756 0.0321 0.2070

-12 0.0189 0.1145 2.1729 2.0057 0.0337 0.0494 -0.0054 0.0848 -0.4332 1.1989 0.6664 0.2353

-11 0.0177 0.1321 2.0347 2.3152 0.0463 0.0240 0.0098 0.0946 0.7806 1.3372 0.4381 0.1862

-10 -0.0181 0.1140 -2.0876 1.9976 0.0411 0.0503 0.0058 0.1004 0.4617 1.4190 0.6460 0.1611

-9 0.0024 0.1164 0.2725 2.0391 0.7862 0.0459 -0.0036 0.0968 -0.2837 1.3687 0.7776 0.1762

-8 0.0010 0.1174 0.1166 2.0568 0.9076 0.0441 0.0047 0.1015 0.3743 1.4350 0.7095 0.1565

-7 0.0204 0.1378 2.3521 2.4146 0.0220 0.0188 0.0078 0.1093 0.6226 1.5454 0.5359 0.1275

-6 0.0192 0.1570 2.2102 2.7508 0.0309 0.0078 0.0171 0.1264 1.3664 1.7875 0.1769 0.0789

-5 -0.0103 0.1466 -1.1914 2.5696 0.2382 0.0127 0.0221 0.1485 1.7643 2.1001 0.0828 0.0399

-4 0.0205 0.1671 2.3583 2.9283 0.0216 0.0048 -0.0024 0.1461 -0.1914 2.0662 0.8489 0.0431

-3 0.0049 0.1721 0.5689 3.0149 0.5716 0.0038 0.0031 0.1492 0.2452 2.1096 0.8072 0.0391

-2 -0.0053 0.1667 -0.6147 2.9214 0.5411 0.0049 0.0144 0.1636 1.1479 2.3131 0.2555 0.0242

-1 -0.0017 0.1650 -0.1947 2.8917 0.8462 0.0053 0.0199 0.1835 1.5865 2.5942 0.1179 0.0119

0 0.0032 0.1683 0.3727 2.9484 0.7107 0.0045 -0.0034 0.1801 -0.2693 2.5465 0.7887 0.0135

1 -0.0103 0.1580 -1.1878 2.7678 0.2396 0.0075 0.0164 0.1965 1.3106 2.7787 0.1950 0.0073

APPENDICES

230

2 0.0050 0.1630 0.5792 2.8559 0.5646 0.0059 -0.0115 0.1850 -0.9175 2.6161 0.3625 0.0112

3 -0.0013 0.1617 -0.1451 2.8338 0.8851 0.0063 -0.0138 0.1712 -1.0998 2.4212 0.2758 0.0185

4 -0.0008 0.1610 -0.0874 2.8205 0.9306 0.0065 -0.0077 0.1636 -0.6126 2.3127 0.5424 0.0242

5 -0.0061 0.1549 -0.7008 2.7139 0.4862 0.0087 0.0104 0.1740 0.8329 2.4603 0.4082 0.0168

6 -0.0001 0.1548 -0.0134 2.7119 0.9893 0.0087 0.0057 0.1797 0.4584 2.5415 0.6483 0.0136

7 0.0054 0.1601 0.6177 2.8058 0.5391 0.0068 0.0193 0.1990 1.5387 2.8141 0.1291 0.0066

8 -0.0052 0.1549 -0.6037 2.7140 0.5483 0.0087 -0.0181 0.1810 -1.4414 2.5587 0.1547 0.0130

9 -0.0040 0.1509 -0.4652 2.6432 0.6435 0.0105 0.0232 0.2042 1.8525 2.8870 0.0689 0.0054

10 -0.0029 0.1480 -0.3338 2.5924 0.7397 0.0120 -0.0080 0.1962 -0.6361 2.7743 0.5272 0.0074

11 0.0067 0.1547 0.7754 2.7104 0.4412 0.0087 -0.0047 0.1915 -0.3780 2.7073 0.7067 0.0088

12 0.0049 0.1596 0.5695 2.7970 0.5711 0.0069 0.0026 0.1941 0.2089 2.7443 0.8353 0.0080

13 -0.0023 0.1574 -0.2618 2.7572 0.7943 0.0077 -0.0064 0.1877 -0.5088 2.6542 0.6128 0.0102

14 0.0016 0.1589 0.1804 2.7846 0.8574 0.0072 0.0244 0.2121 1.9470 2.9992 0.0562 0.0039

15 0.0059 0.1648 0.6793 2.8880 0.4995 0.0054 0.0027 0.2148 0.2179 3.0378 0.8283 0.0035

16 -0.0146 0.1503 -1.6772 2.6329 0.0987 0.0108 0.0065 0.2214 0.5225 3.1303 0.6033 0.0027

17 -0.0030 0.1473 -0.3431 2.5807 0.7327 0.0123 0.0218 0.2432 1.7434 3.4393 0.0864 0.0011

18 0.0060 0.1532 0.6865 2.6851 0.4950 0.0094 -0.0050 0.2383 -0.3968 3.3690 0.6929 0.0013

19 0.0049 0.1581 0.5610 2.7704 0.5769 0.0074 0.0105 0.2488 0.8395 3.5177 0.4045 0.0008

20 0.0247 0.1828 2.8405 3.2025 0.0061 0.0022 -0.0075 0.2413 -0.5985 3.4117 0.5517 0.0012

21 0.0024 0.1852 0.2796 3.2451 0.7808 0.0019 -0.0083 0.2329 -0.6656 3.2937 0.5082 0.0017

22 -0.0035 0.1817 -0.4013 3.1840 0.6896 0.0023 -0.0097 0.2233 -0.7704 3.1572 0.4441 0.0025

23 0.0063 0.1881 0.7301 3.2951 0.4682 0.0017 0.0026 0.2259 0.2049 3.1935 0.8383 0.0022

24 -0.0065 0.1815 -0.7523 3.1806 0.4548 0.0023 -0.0062 0.2196 -0.4982 3.1053 0.6201 0.0029

25 -0.0041 0.1774 -0.4691 3.1093 0.6407 0.0029 0.0032 0.2228 0.2575 3.1509 0.7977 0.0025

26 0.0004 0.1779 0.0499 3.1169 0.9603 0.0028 0.0078 0.2306 0.6187 3.2605 0.5385 0.0018

27 -0.0061 0.1717 -0.7072 3.0093 0.4822 0.0038 0.0142 0.2447 1.1292 3.4606 0.2633 0.0010

28 0.0060 0.1778 0.6962 3.1152 0.4890 0.0028 0.0297 0.2745 2.3719 3.8809 0.0209 0.0003

29 0.0019 0.1797 0.2212 3.1488 0.8257 0.0026 0.0081 0.2826 0.6451 3.9952 0.5213 0.0002

30 0.0043 0.1840 0.4902 3.2234 0.6258 0.0021 -0.0047 0.2779 -0.3718 3.9293 0.7113 0.0002


Days AAR

CAA

R

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0085 0.0085 1.7392 0.3122 0.0871 0.7560 0.0075 0.0075 1.0276 0.4750 0.3083 0.6365

-29 -0.0018 0.0066 -0.3758 0.2448 0.7084 0.8075 0.0033 0.0108 0.4551 0.6853 0.6506 0.4958

APPENDICES

231

-28 0.0018 0.0085 0.3754 0.3121 0.7087 0.7560 0.0163 0.0271 2.2427 1.7219 0.0286 0.0902

-27 0.0003 0.0088 0.0617 0.3232 0.9510 0.7477 0.0012 0.0283 0.1701 1.8005 0.8655 0.0768

-26 0.0021 0.0109 0.4301 0.4004 0.6686 0.6903 0.0102 0.0385 1.4055 2.4501 0.1650 0.0172

-25 -0.0041 0.0068 -0.8425 0.2492 0.4029 0.8041 -0.0095 0.0290 -1.3082 1.8455 0.1958 0.0699

-24 -0.0102

-

0.0035 -2.1014 -0.1281 0.0398 0.8985 -0.0057 0.0233 -0.7902 1.4803 0.4325 0.1440

-23 -0.0045

-

0.0080 -0.9344 -0.2958 0.3538 0.7684 0.0057 0.0289 0.7800 1.8408 0.4385 0.0706

-22 0.0008

-

0.0073 0.1559 -0.2678 0.8766 0.7898 -0.0050 0.0240 -0.6858 1.5238 0.4955 0.1328

-21 0.0013

-

0.0060 0.2626 -0.2207 0.7938 0.8261 0.0009 0.0248 0.1182 1.5785 0.9063 0.1197

-20 -0.0005

-

0.0065 -0.1075 -0.2400 0.9148 0.8112 -0.0098 0.0150 -1.3512 0.9539 0.1817 0.3439

-19 0.0048

-

0.0017 0.9895 -0.0623 0.3264 0.9505 -0.0033 0.0117 -0.4493 0.7463 0.6549 0.4584

-18 -0.0004

-

0.0021 -0.0861 -0.0778 0.9317 0.9383 -0.0036 0.0082 -0.4915 0.5191 0.6248 0.6056

-17 -0.0013

-

0.0034 -0.2635 -0.1251 0.7931 0.9009 0.0112 0.0194 1.5442 1.2329 0.1278 0.2224

-16 0.0099 0.0065 2.0409 0.2413 0.0457 0.8102 0.0124 0.0318 1.7053 2.0210 0.0933 0.0477

-15 -0.0004 0.0061 -0.0827 0.2264 0.9344 0.8216 0.0051 0.0368 0.6967 2.3431 0.4887 0.0225

-14 -0.0030 0.0031 -0.6202 0.1151 0.5375 0.9087 0.0004 0.0372 0.0502 2.3663 0.9602 0.0212

-13 0.0011 0.0043 0.2332 0.1570 0.8164 0.8758 0.0004 0.0376 0.0579 2.3930 0.9540 0.0199

-12 0.0010 0.0052 0.1963 0.1922 0.8450 0.8482 -0.0119 0.0258 -1.6322 1.6386 0.1079 0.1065

-11 -0.0076

-

0.0024 -1.5618 -0.0882 0.1236 0.9301 0.0106 0.0364 1.4598 2.3133 0.1496 0.0241

-10 0.0001

-

0.0023 0.0205 -0.0845 0.9837 0.9330 0.0023 0.0387 0.3168 2.4597 0.7525 0.0168

-9 0.0034 0.0011 0.6963 0.0405 0.4889 0.9678 0.0022 0.0409 0.3073 2.6018 0.7596 0.0117

-8 0.0103 0.0114 2.1191 0.4209 0.0382 0.6753 0.0020 0.0430 0.2816 2.7319 0.7792 0.0083

-7 0.0043 0.0157 0.8745 0.5779 0.3854 0.5655 0.0023 0.0453 0.3177 2.8788 0.7518 0.0055

-6 0.0043 0.0200 0.8917 0.7380 0.3761 0.4634 0.0003 0.0455 0.0345 2.8947 0.9726 0.0053

-5 0.0044 0.0244 0.9031 0.9001 0.3701 0.3717 0.0016 0.0471 0.2191 2.9960 0.8273 0.0040

-4 0.0096 0.0340 1.9626 1.2524 0.0543 0.2153 0.0007 0.0478 0.0971 3.0408 0.9230 0.0035

APPENDICES

232

-3 -0.0014 0.0326 -0.2819 1.2018 0.7790 0.2341 -0.0008 0.0470 -0.1068 2.9915 0.9153 0.0040

-2 0.0037 0.0363 0.7584 1.3380 0.4512 0.1860 0.0005 0.0475 0.0625 3.0204 0.9504 0.0037

-1 0.0082 0.0445 1.6888 1.6411 0.0965 0.1060 -0.0062 0.0413 -0.8563 2.6246 0.3952 0.0110

0 0.0043 0.0488 0.8752 1.7982 0.3850 0.0772 0.0141 0.0554 1.9409 3.5217 0.0570 0.0008

1 0.0126 0.0614 2.5981 2.2646 0.0118 0.0272 0.0018 0.0572 0.2487 3.6366 0.8044 0.0006

2 0.0021 0.0635 0.4343 2.3426 0.6656 0.0225 -0.0159 0.0413 -2.1878 2.6254 0.0326 0.0110

3 0.0038 0.0673 0.7810 2.4828 0.4378 0.0158 0.0036 0.0449 0.5002 2.8566 0.6187 0.0059

4 -0.0074 0.0599 -1.5222 2.2096 0.1332 0.0310 0.0047 0.0496 0.6469 3.1556 0.5202 0.0025

5 -0.0079 0.0520 -1.6192 1.9189 0.1106 0.0598 0.0088 0.0584 1.2074 3.7137 0.2320 0.0004

6 0.0001 0.0522 0.0305 1.9244 0.9758 0.0591 -0.0087 0.0497 -1.1905 3.1634 0.2385 0.0024

7 -0.0006 0.0516 -0.1195 1.9029 0.9053 0.0619 0.0045 0.0542 0.6131 3.4468 0.5421 0.0010

8 -0.0005 0.0511 -0.1108 1.8830 0.9121 0.0645 -0.0025 0.0517 -0.3419 3.2888 0.7336 0.0017

9 -0.0044 0.0467 -0.9022 1.7211 0.3705 0.0904 -0.0084 0.0433 -1.1582 2.7535 0.2514 0.0078

10 -0.0004 0.0463 -0.0815 1.7064 0.9353 0.0931 -0.0091 0.0342 -1.2547 2.1736 0.2145 0.0337

11 0.0060 0.0523 1.2304 1.9273 0.2234 0.0587 0.0152 0.0494 2.0883 3.1387 0.0410 0.0026

12 0.0045 0.0568 0.9272 2.0938 0.3575 0.0405 0.0013 0.0507 0.1817 3.2227 0.8564 0.0021

13 0.0026 0.0594 0.5403 2.1907 0.5910 0.0324 0.0022 0.0529 0.3080 3.3651 0.7591 0.0013

14 -0.0068 0.0526 -1.4014 1.9392 0.1663 0.0572 -0.0143 0.0387 -1.9622 2.4582 0.0544 0.0169

15 -0.0015 0.0511 -0.3160 1.8825 0.7531 0.0646 -0.0112 0.0274 -1.5422 1.7454 0.1283 0.0860

16 0.0058 0.0568 1.1865 2.0955 0.2401 0.0404 -0.0082 0.0193 -1.1254 1.2252 0.2649 0.2253

17 0.0013 0.0582 0.2735 2.1446 0.7854 0.0360 0.0023 0.0216 0.3192 1.3728 0.7507 0.1749

18 0.0020 0.0602 0.4205 2.2200 0.6756 0.0302 -0.0085 0.0131 -1.1709 0.8316 0.2463 0.4089

19 -0.0049 0.0553 -1.0044 2.0397 0.3192 0.0458 0.0022 0.0153 0.3055 0.9728 0.7610 0.3346

20 -0.0016 0.0537 -0.3276 1.9809 0.7443 0.0522 -0.0052 0.0101 -0.7106 0.6443 0.4801 0.5218

21 0.0073 0.0610 1.4939 2.2491 0.1405 0.0282 -0.0015 0.0086 -0.2098 0.5474 0.8345 0.5862

22 0.0022 0.0632 0.4473 2.3294 0.6562 0.0232 0.0112 0.0198 1.5417 1.2599 0.1284 0.2126

23 0.0025 0.0657 0.5228 2.4232 0.6030 0.0184 -0.0059 0.0139 -0.8129 0.8842 0.4195 0.3801

24 -0.0035 0.0623 -0.7113 2.2956 0.4797 0.0252 -0.0014 0.0126 -0.1863 0.7981 0.8528 0.4280

25 -0.0012 0.0611 -0.2403 2.2524 0.8109 0.0280 -0.0063 0.0063 -0.8626 0.3994 0.3918 0.6910

26 -0.0054 0.0557 -1.1169 2.0519 0.2685 0.0446 0.0023 0.0086 0.3204 0.5475 0.7498 0.5861

27 0.0054 0.0611 1.1159 2.2522 0.2689 0.0280 0.0016 0.0102 0.2192 0.6488 0.8272 0.5189

28 0.0069 0.0680 1.4226 2.5076 0.1600 0.0149 0.0000 0.0102 -0.0036 0.6472 0.9972 0.5200

29 -0.0020 0.0660 -0.4138 2.4333 0.6805 0.0180 0.0053 0.0154 0.7241 0.9819 0.4718 0.3301

30 0.0061 0.0721 1.2568 2.6589 0.2137 0.0100 0.0032 0.0186 0.4394 1.1850 0.6620 0.2407

APPENDICES

233

Appendix 4.5: Calculated AAR, CAAR and corresponding t-values and p- values associated with 50% dividend increase/decrease or more



Days AAR

CAA

R

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0060 0.0060 1.0679 0.5148 0.2898 0.6086 -0.0060 -0.0060 -0.9658 -0.4863 0.337999 0.628524

-29 -0.0014 0.0046 -0.2440 0.3972 0.8081 0.6927 0.0018 -0.0042 0.2941 -0.3382 0.769728 0.73636

-28 -0.0102

-

0.0055 -1.8081 -0.4744 0.0756 0.6369 0.0068 0.0027 1.1029 0.2170 0.274493 0.82891

-27 0.0041

-

0.0014 0.7281 -0.1235 0.4694 0.9022 -0.0068 -0.0041 -1.0981 -0.3359 0.276538 0.738147

-26 0.0025 0.0010 0.4429 0.0901 0.6594 0.9285 -0.0056 -0.0097 -0.8967 -0.7874 0.373462 0.434176

-25 0.0034 0.0045 0.6128 0.3855 0.5423 0.7012 -0.0024 -0.0121 -0.3798 -0.9786 0.705467 0.331728

-24 -0.0050

-

0.0005 -0.8900 -0.0436 0.3770 0.9654 0.0012 -0.0109 0.1869 -0.8845 0.852386 0.379976

-23 0.0007 0.0002 0.1282 0.0182 0.8984 0.9855 -0.0063 -0.0172 -1.0106 -1.3933 0.316273 0.168671

-22 0.0022 0.0025 0.4007 0.2114 0.6901 0.8333 -0.0091 -0.0262 -1.4590 -2.1279 0.149785 0.037464

-21 0.0088 0.0112 1.5582 0.9625 0.1244 0.3396 0.0070 -0.0193 1.1216 -1.5632 0.266488 0.123277

-20 0.0028 0.0140 0.4975 1.2024 0.6206 0.2339 0.0042 -0.0151 0.6784 -1.2216 0.500117 0.226649

-19 0.0081 0.0221 1.4439 1.8984 0.1540 0.0625 0.0080 -0.0071 1.2838 -0.5752 0.204141 0.56733

-18 -0.0040 0.0181 -0.7158 1.5533 0.4769 0.1256 0.0078 0.0007 1.2554 0.0569 0.21421 0.9548

-17 0.0034 0.0215 0.6032 1.8441 0.5487 0.0701 -0.0071 -0.0064 -1.1515 -0.5229 0.254083 0.602985

-16 0.0043 0.0258 0.7674 2.2141 0.4458 0.0306 -0.0041 -0.0105 -0.6579 -0.8541 0.51311 0.396426

-15 -0.0016 0.0242 -0.2809 2.0787 0.7797 0.0419 -0.0039 -0.0144 -0.6232 -1.1679 0.535544 0.247469

-14 0.0047 0.0289 0.8377 2.4825 0.4055 0.0159 -0.0085 -0.0229 -1.3636 -1.8545 0.17779 0.068589

-13 -0.0058 0.0231 -1.0278 1.9870 0.3082 0.0515 -0.0007 -0.0236 -0.1180 -1.9139 0.906426 0.060406

-12 0.0007 0.0238 0.1159 2.0429 0.9082 0.0455 0.0016 -0.0220 0.2605 -1.7827 0.795344 0.079691

APPENDICES

234

-11 -0.0005 0.0233 -0.0809 2.0039 0.9358 0.0496 -0.0012 -0.0232 -0.1925 -1.8797 0.847978 0.065013

-10 -0.0052 0.0181 -0.9341 1.5536 0.3540 0.1255 -0.0073 -0.0305 -1.1746 -2.4710 0.244813 0.016329

-9 -0.0054 0.0127 -0.9663 1.0878 0.3378 0.2811 -0.0004 -0.0308 -0.0578 -2.5002 0.954098 0.015165

-8 -0.0010 0.0117 -0.1742 1.0038 0.8623 0.3195 -0.0020 -0.0328 -0.3228 -2.6627 0.747933 0.009936

-7 -0.0068 0.0049 -1.2132 0.4190 0.2298 0.6767 -0.0048 -0.0376 -0.7657 -3.0482 0.446843 0.003421

-6 -0.0013 0.0036 -0.2335 0.3064 0.8162 0.7604 -0.0049 -0.0425 -0.7956 -3.4488 0.429407 0.001036

-5 0.0122 0.0157 2.1667 1.3508 0.0342 0.1818 -0.0084 -0.0509 -1.3555 -4.1313 0.180326 0.000113

-4 -0.0040 0.0117 -0.7145 1.0064 0.4777 0.3183 0.0070 -0.0440 1.1214 -3.5667 0.266605 0.000717

-3 -0.0044 0.0073 -0.7875 0.6268 0.4341 0.5332 -0.0004 -0.0444 -0.0664 -3.6002 0.947305 0.000646

-2 -0.0080

-

0.0007 -1.4318 -0.0634 0.1574 0.9496 0.0099 -0.0345 1.5981 -2.7955 0.115276 0.00695

-1 -0.0026

-

0.0034 -0.4665 -0.2883 0.6426 0.7741 0.0000 -0.0344 0.0069 -2.7920 0.994489 0.007016

0 0.0133 0.0100 2.3759 0.8570 0.0207 0.3948 0.0058 -0.0287 0.9286 -2.3245 0.356826 0.023502

1 0.0054 0.0154 0.9584 1.3190 0.3417 0.1922 0.0017 -0.0270 0.2659 -2.1906 0.791231 0.032377

2 -0.0050 0.0103 -0.8948 0.8877 0.3745 0.3782 -0.0048 -0.0318 -0.7774 -2.5820 0.439963 0.012281

3 -0.0027 0.0076 -0.4863 0.6533 0.6285 0.5161 -0.0065 -0.0383 -1.0452 -3.1083 0.300102 0.002875

4 0.0051 0.0127 0.9073 1.0906 0.3679 0.2798 0.0042 -0.0341 0.6807 -2.7656 0.498672 0.00754

5 0.0032 0.0159 0.5644 1.3627 0.5746 0.1781 0.0237 -0.0104 3.8118 -0.8463 0.000328 0.400737

6 -0.0019 0.0140 -0.3345 1.2015 0.7392 0.2343 0.0038 -0.0066 0.6129 -0.5377 0.542227 0.592772

7 -0.0048 0.0092 -0.8481 0.7926 0.3998 0.4311 0.0011 -0.0055 0.1794 -0.4474 0.858214 0.656223

8 0.0012 0.0105 0.2221 0.8997 0.8250 0.3719 0.0048 -0.0007 0.7772 -0.0560 0.44007 0.95551

9 -0.0023 0.0081 -0.4174 0.6985 0.6779 0.4876 -0.0053 -0.0060 -0.8503 -0.4841 0.398546 0.630047

10 0.0046 0.0128 0.8277 1.0975 0.4111 0.2768 -0.0051 -0.0110 -0.8141 -0.8940 0.418804 0.37487

11 -0.0010 0.0118 -0.1739 1.0137 0.8625 0.3148 -0.0099 -0.0209 -1.5924 -1.6958 0.116556 0.095106

12 0.0051 0.0169 0.9078 1.4513 0.3676 0.1519 -0.0043 -0.0253 -0.6999 -2.0482 0.486691 0.044923

13 0.0208 0.0377 3.7108 3.2401 0.0005 0.0020 0.0032 -0.0221 0.5115 -1.7907 0.610867 0.078393

14 -0.0064 0.0314 -1.1333 2.6938 0.2616 0.0091 0.0028 -0.0192 0.4561 -1.5610 0.649941 0.123784

15 -0.0027 0.0286 -0.4880 2.4585 0.6273 0.0169 -0.0029 -0.0222 -0.4699 -1.7976 0.640162 0.077278

16 -0.0047 0.0239 -0.8438 2.0518 0.4021 0.0446 0.0025 -0.0197 0.3963 -1.5980 0.693269 0.115293

17 -0.0034 0.0205 -0.6001 1.7625 0.5507 0.0831 0.0019 -0.0178 0.3024 -1.4457 0.763364 0.153454

18 0.0003 0.0208 0.0460 1.7847 0.9635 0.0794 0.0024 -0.0154 0.3841 -1.2523 0.702257 0.215305

19 -0.0014 0.0194 -0.2478 1.6652 0.8051 0.1011 -0.0013 -0.0168 -0.2151 -1.3606 0.83043 0.178718

20 -0.0005 0.0189 -0.0958 1.6190 0.9240 0.1107 -0.0128 -0.0296 -2.0631 -2.3994 0.043442 0.019545

21 0.0080 0.0269 1.4255 2.3062 0.1592 0.0246 -0.0085 -0.0381 -1.3663 -3.0873 0.176939 0.003056

APPENDICES

235

22 -0.0008 0.0260 -0.1511 2.2334 0.8804 0.0293 0.0053 -0.0328 0.8477 -2.6605 0.399957 0.009994

23 -0.0013 0.0248 -0.2248 2.1250 0.8229 0.0377 0.0038 -0.0290 0.6175 -2.3496 0.539212 0.022104

24 0.0090 0.0338 1.6074 2.8999 0.1132 0.0052 0.0010 -0.0280 0.1607 -2.2687 0.872883 0.0269

25 0.0020 0.0358 0.3645 3.0756 0.7167 0.0032 -0.0012 -0.0291 -0.1871 -2.3629 0.852191 0.021393

26 -0.0013 0.0345 -0.2315 2.9640 0.8177 0.0044 -0.0026 -0.0317 -0.4121 -2.5704 0.68172 0.012659

27 -0.0020 0.0325 -0.3632 2.7889 0.7178 0.0071 0.0084 -0.0233 1.3573 -1.8870 0.179777 0.064002

28 0.0073 0.0398 1.2974 3.4143 0.1994 0.0012 0.0071 -0.0162 1.1464 -1.3098 0.256161 0.195272

29 -0.0024 0.0373 -0.4352 3.2046 0.6650 0.0022 0.0017 -0.0144 0.2772 -1.1702 0.782576 0.246555

30 0.0010 0.0383 0.1769 3.2898 0.8602 0.0017 -0.0032 -0.0176 -0.5129 -1.4284 0.609887 0.158351

Mid Cap. Dividend Increase along with financial results @50% Mid Cap. Dividend Decrease along with financial results @50%

Days AAR

CAA

R

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0052 0.0052 0.4007 0.1652 0.6901 0.8694 0.0162 0.0162 0.6882 0.2131 0.4940 0.8320

-29 -0.0017 0.0035 -0.1339 0.1100 0.8939 0.9128 0.0756 0.0918 3.2081 1.2065 0.0021 0.2324

-28 -0.0097

-

0.0063 -0.7507 -0.1995 0.4558 0.8425 0.0363 0.1281 1.5403 1.6834 0.1287 0.0975

-27 0.0080 0.0017 0.6171 0.0549 0.5395 0.9564 0.0265 0.1545 1.1229 2.0311 0.2659 0.0467

-26 0.0138 0.0155 1.0632 0.4932 0.2920 0.6236 0.0102 0.1647 0.4309 2.1645 0.6681 0.0344

-25 0.0119 0.0274 0.9188 0.8720 0.3619 0.3867 0.0470 0.2117 1.9971 2.7829 0.0504 0.0072

-24 0.0034 0.0308 0.2659 0.9817 0.7912 0.3302 -0.0274 0.1844 -1.1613 2.4233 0.2501 0.0184

-23 0.0005 0.0313 0.0355 0.9963 0.9718 0.3231 0.0205 0.2048 0.8691 2.6925 0.3883 0.0092

-22 0.0067 0.0380 0.5179 1.2099 0.6064 0.2311 -0.0131 0.1918 -0.5543 2.5208 0.5814 0.0144

-21 -0.0029 0.0350 -0.2261 1.1166 0.8219 0.2686 -0.0322 0.1596 -1.3670 2.0975 0.1767 0.0402

-20 -0.0092 0.0259 -0.7086 0.8245 0.4813 0.4129 -0.0080 0.1516 -0.3400 1.9922 0.7350 0.0509

-19 0.0041 0.0300 0.3207 0.9567 0.7496 0.3426 -0.0251 0.1265 -1.0638 1.6628 0.2917 0.1016

-18 0.0121 0.0422 0.9385 1.3436 0.3517 0.1841 0.0347 0.1612 1.4715 2.1185 0.1464 0.0383

-17 -0.0145 0.0277 -1.1192 0.8822 0.2675 0.3812 0.0988 0.2600 4.1943 3.4172 0.0001 0.0011

-16 0.0018 0.0295 0.1428 0.9411 0.8869 0.3504 0.0253 0.2853 1.0747 3.7500 0.2868 0.0004

-15 0.0181 0.0477 1.4018 1.5191 0.1661 0.1340 -0.0141 0.2712 -0.5967 3.5652 0.5529 0.0007

-14 0.0007 0.0484 0.0563 1.5423 0.9553 0.1283 -0.0087 0.2626 -0.3676 3.4514 0.7145 0.0010

-13 -0.0049 0.0435 -0.3756 1.3874 0.7085 0.1704 -0.0248 0.2378 -1.0511 3.1259 0.2974 0.0027

-12 -0.0009 0.0426 -0.0731 1.3573 0.9419 0.1798 -0.0156 0.2222 -0.6630 2.9206 0.5099 0.0049

-11 -0.0062 0.0364 -0.4781 1.1602 0.6343 0.2506 -0.0168 0.2054 -0.7130 2.6998 0.4786 0.0090

-10 0.0165 0.0530 1.2782 1.6871 0.2061 0.0968 -0.0149 0.1905 -0.6334 2.5037 0.5289 0.0150

APPENDICES

236

-9 0.0031 0.0561 0.2404 1.7863 0.8108 0.0791 0.0082 0.1987 0.3479 2.6114 0.7292 0.0114

-8 0.0049 0.0610 0.3779 1.9421 0.7069 0.0568 0.0002 0.1989 0.0090 2.6142 0.9929 0.0113

-7 0.0076 0.0686 0.5894 2.1851 0.5578 0.0328 -0.0168 0.1821 -0.7127 2.3935 0.4788 0.0198

-6 -0.0076 0.0610 -0.5861 1.9434 0.5600 0.0567 -0.0120 0.1701 -0.5084 2.2361 0.6130 0.0291

-5 0.0000 0.0610 0.0012 1.9439 0.9991 0.0566 -0.0037 0.1664 -0.1564 2.1877 0.8762 0.0326

-4 0.0050 0.0660 0.3883 2.1040 0.6992 0.0396 -0.0285 0.1380 -1.2079 1.8137 0.2318 0.0747

-3 -0.0174 0.0486 -1.3485 1.5480 0.1826 0.1269 0.0107 0.1487 0.4554 1.9547 0.6505 0.0553

-2 0.0143 0.0629 1.1078 2.0048 0.2724 0.0495 -0.0033 0.1454 -0.1420 1.9107 0.8875 0.0608

-1 0.0086 0.0715 0.6648 2.2789 0.5087 0.0262 -0.0160 0.1293 -0.6809 1.6999 0.4985 0.0943

0 0.0159 0.0875 1.2321 2.7869 0.2227 0.0071 -0.0087 0.1206 -0.3680 1.5859 0.7142 0.1180

1 0.0137 0.1012 1.0576 3.2229 0.2945 0.0021 -0.0325 0.0882 -1.3792 1.1588 0.1730 0.2511

2 0.0087 0.1099 0.6734 3.5006 0.5033 0.0009 0.0001 0.0883 0.0050 1.1604 0.9960 0.2505

3 -0.0075 0.1023 -0.5809 3.2610 0.5635 0.0018 0.0149 0.1031 0.6310 1.3558 0.5304 0.1802

4 -0.0042 0.0981 -0.3246 3.1272 0.7466 0.0027 -0.0073 0.0959 -0.3090 1.2601 0.7584 0.2125

5 -0.0757 0.0225 -5.8488 0.7158 0.0000 0.4769 -0.0177 0.0781 -0.7531 1.0269 0.4543 0.3086

6 -0.0026 0.0199 -0.2002 0.6332 0.8420 0.5290 -0.0133 0.0648 -0.5648 0.8520 0.5743 0.3976

7 0.0029 0.0227 0.2212 0.7245 0.8257 0.4716 -0.0124 0.0524 -0.5252 0.6894 0.6014 0.4932

8 0.0131 0.0359 1.0160 1.1433 0.3137 0.2574 -0.0093 0.0431 -0.3949 0.5671 0.6943 0.5727

9 -0.0077 0.0281 -0.5983 0.8967 0.5519 0.3735 0.0039 0.0471 0.1669 0.6188 0.8680 0.5384

10 -0.0021 0.0260 -0.1651 0.8286 0.8694 0.4106 -0.0165 0.0305 -0.7025 0.4013 0.4851 0.6896

11 0.0008 0.0268 0.0630 0.8546 0.9500 0.3962 0.0043 0.0348 0.1821 0.4577 0.8561 0.6488

12 0.0040 0.0308 0.3106 0.9827 0.7572 0.3297 0.0159 0.0508 0.6767 0.6672 0.5012 0.5072

13 -0.0044 0.0264 -0.3434 0.8411 0.7325 0.4036 0.0201 0.0709 0.8550 0.9320 0.3960 0.3551

14 -0.0150 0.0114 -1.1605 0.3626 0.2504 0.7182 -0.0113 0.0596 -0.4785 0.7838 0.6340 0.4362

15 -0.0056 0.0058 -0.4346 0.1835 0.6654 0.8551 -0.0042 0.0554 -0.1783 0.7286 0.8591 0.4691

16 -0.0049 0.0009 -0.3780 0.0276 0.7068 0.9781 -0.0120 0.0435 -0.5076 0.5714 0.6136 0.5699

17 -0.0073

-

0.0064 -0.5649 -0.2053 0.5743 0.8381 -0.0069 0.0366 -0.2915 0.4812 0.7717 0.6322

18 0.0051

-

0.0014 0.3934 -0.0431 0.6954 0.9658 -0.0021 0.0345 -0.0884 0.4538 0.9298 0.6516

19 -0.0147

-

0.0160 -1.1338 -0.5105 0.2614 0.6115 -0.0020 0.0326 -0.0829 0.4281 0.9342 0.6701

20 0.0150

-

0.0010 1.1582 -0.0330 0.2514 0.9738 0.0161 0.0487 0.6846 0.6401 0.4962 0.5245

21 0.0020 0.0010 0.1574 0.0319 0.8755 0.9747 -0.0139 0.0348 -0.5906 0.4572 0.5570 0.6492

APPENDICES

237

22 0.0006 0.0016 0.0468 0.0512 0.9628 0.9594 -0.0020 0.0328 -0.0856 0.4307 0.9320 0.6682

23 -0.0096

-

0.0080 -0.7421 -0.2548 0.4609 0.7998 0.0032 0.0360 0.1372 0.4732 0.8913 0.6378

24 -0.0016

-

0.0096 -0.1214 -0.3048 0.9038 0.7615 -0.0101 0.0259 -0.4269 0.3410 0.6710 0.7343

25 0.0069

-

0.0027 0.5330 -0.0851 0.5960 0.9325 0.0181 0.0441 0.7691 0.5792 0.4448 0.5646

26 0.0011

-

0.0016 0.0830 -0.0509 0.9341 0.9596 0.0093 0.0534 0.3947 0.7014 0.6945 0.4858

27 -0.0011

-

0.0027 -0.0821 -0.0847 0.9349 0.9328 -0.0182 0.0351 -0.7729 0.4620 0.4426 0.6457

28 -0.0043

-

0.0069 -0.3313 -0.2213 0.7415 0.8256 -0.0011 0.0340 -0.0470 0.4475 0.9626 0.6561

29 -0.0006

-

0.0076 -0.0499 -0.2419 0.9604 0.8097 -0.0025 0.0315 -0.1069 0.4144 0.9153 0.6801

30 -0.0009

-

0.0085 -0.0676 -0.2698 0.9463 0.7882 0.0158 0.0473 0.6714 0.6223 0.5045 0.5361


Days AAR

CAA

R

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0050

-

0.0050 -1.4172 -0.2710 0.1616 0.7873 0.0009 0.0009 0.1790 0.0436 0.8586 0.9654

-29 0.0083 0.0033 2.3302 0.1746 0.0232 0.8620 0.0014 0.0024 0.2707 0.1096 0.7875 0.9131

-28 0.0017 0.0050 0.4777 0.2660 0.6346 0.7912 -0.0009 0.0015 -0.1725 0.0676 0.8636 0.9464

-27 -0.0018 0.0031 -0.5125 0.1679 0.6102 0.8672 0.0049 0.0064 0.9295 0.2941 0.3563 0.7697

-26 -0.0012 0.0020 -0.3231 0.1062 0.7477 0.9158 -0.0038 0.0026 -0.7139 0.1201 0.4780 0.9048

-25 0.0005 0.0025 0.1408 0.1331 0.8885 0.8946 0.0044 0.0070 0.8206 0.3201 0.4151 0.7500

-24 -0.0024 0.0001 -0.6758 0.0038 0.5018 0.9970 0.0155 0.0224 2.9138 1.0304 0.0050 0.3070

-23 0.0010 0.0011 0.2753 0.0565 0.7840 0.9551 -0.0073 0.0151 -1.3759 0.6950 0.1740 0.4897

-22 0.0049 0.0060 1.3892 0.3221 0.1699 0.7485 0.0046 0.0198 0.8729 0.9078 0.3862 0.3676

-21 0.0021 0.0081 0.5975 0.4364 0.5525 0.6641 -0.0048 0.0150 -0.9008 0.6882 0.3713 0.4940

-20 0.0030 0.0111 0.8392 0.5969 0.4047 0.5528 -0.0049 0.0101 -0.9252 0.4627 0.3586 0.6453

-19 0.0029 0.0140 0.8055 0.7509 0.4237 0.4556 0.0076 0.0177 1.4391 0.8135 0.1553 0.4192

-18 0.0028 0.0167 0.7730 0.8988 0.4425 0.3724 -0.0033 0.0144 -0.6191 0.6626 0.5382 0.5101

APPENDICES

238

-17 0.0032 0.0199 0.8880 1.0686 0.3781 0.2895 -0.0010 0.0134 -0.1892 0.6164 0.8506 0.5399

-16 0.0008 0.0207 0.2163 1.1099 0.8295 0.2715 0.0001 0.0135 0.0142 0.6199 0.9887 0.5377

-15 0.0042 0.0249 1.1784 1.3353 0.2433 0.1868 -0.0013 0.0122 -0.2488 0.5593 0.8044 0.5781

-14 0.0043 0.0292 1.2143 1.5675 0.2294 0.1223 -0.0112 0.0010 -2.1095 0.0451 0.0391 0.9642

-13 0.0002 0.0294 0.0673 1.5804 0.9465 0.1193 0.0018 0.0028 0.3415 0.1283 0.7339 0.8983

-12 -0.0024 0.0270 -0.6803 1.4503 0.4989 0.1522 -0.0036 -0.0008 -0.6844 -0.0385 0.4964 0.9694

-11 -0.0010 0.0260 -0.2689 1.3989 0.7889 0.1670 -0.0022 -0.0030 -0.4109 -0.1387 0.6826 0.8902

-10 -0.0027 0.0233 -0.7601 1.2535 0.4502 0.2149 0.0060 0.0030 1.1389 0.1389 0.2593 0.8900

-9 0.0048 0.0281 1.3448 1.5107 0.1838 0.1361 0.0069 0.0100 1.3074 0.4576 0.1961 0.6489

-8 0.0030 0.0311 0.8344 1.6702 0.4074 0.1001 0.0044 0.0144 0.8324 0.6605 0.4085 0.5115

-7 0.0048 0.0359 1.3479 1.9280 0.1828 0.0586 0.0035 0.0179 0.6662 0.8229 0.5078 0.4138

-6 0.0014 0.0373 0.3830 2.0012 0.7031 0.0499 -0.0086 0.0093 -1.6270 0.4263 0.1090 0.6714

-5 0.0053 0.0426 1.4992 2.2879 0.1391 0.0257 0.0045 0.0137 0.8421 0.6316 0.4031 0.5300

-4 0.0013 0.0439 0.3709 2.3588 0.7120 0.0216 -0.0015 0.0122 -0.2871 0.5616 0.7750 0.5765

-3 0.0034 0.0473 0.9411 2.5388 0.3504 0.0137 0.0055 0.0177 1.0363 0.8142 0.3042 0.4187

-2 0.0074 0.0546 2.0684 2.9344 0.0429 0.0047 0.0101 0.0278 1.8992 1.2772 0.0624 0.2065

-1 -0.0047 0.0499 -1.3237 2.6812 0.1906 0.0095 0.0136 0.0414 2.5627 1.9018 0.0129 0.0620

0 0.0018 0.0518 0.5177 2.7802 0.6066 0.0072 -0.0003 0.0411 -0.0626 1.8866 0.9503 0.0641

1 0.0091 0.0609 2.5672 3.2712 0.0128 0.0018 0.0086 0.0496 1.6172 2.2808 0.1111 0.0261

2 -0.0012 0.0597 -0.3422 3.2057 0.7334 0.0022 0.0024 0.0520 0.4519 2.3910 0.6529 0.0200

3 0.0017 0.0614 0.4901 3.2995 0.6259 0.0016 -0.0029 0.0492 -0.5445 2.2582 0.5881 0.0276

4 -0.0022 0.0592 -0.6135 3.1821 0.5419 0.0023 0.0022 0.0514 0.4154 2.3595 0.6793 0.0216

5 -0.0047 0.0546 -1.3072 2.9322 0.1961 0.0048 0.0010 0.0524 0.1943 2.4069 0.8466 0.0192

6 -0.0074 0.0472 -2.0772 2.5349 0.0421 0.0139 0.0015 0.0539 0.2816 2.4755 0.7792 0.0161

7 0.0037 0.0509 1.0421 2.7342 0.3016 0.0082 -0.0009 0.0530 -0.1644 2.4354 0.8700 0.0179

8 -0.0023 0.0486 -0.6590 2.6082 0.5124 0.0115 -0.0050 0.0480 -0.9419 2.2058 0.3500 0.0312

9 0.0065 0.0550 1.8191 2.9561 0.0739 0.0044 0.0064 0.0544 1.2108 2.5010 0.2307 0.0151

10 -0.0042 0.0508 -1.1801 2.7304 0.2426 0.0083 0.0050 0.0595 0.9462 2.7316 0.3478 0.0083

11 -0.0020 0.0489 -0.5546 2.6244 0.5812 0.0110 -0.0047 0.0548 -0.8864 2.5155 0.3789 0.0146

12 0.0014 0.0503 0.3952 2.6999 0.6941 0.0090 0.0015 0.0562 0.2797 2.5837 0.7807 0.0122

13 0.0016 0.0519 0.4511 2.7862 0.6535 0.0071 0.0008 0.0570 0.1530 2.6210 0.8789 0.0111

14 -0.0013 0.0506 -0.3541 2.7185 0.7245 0.0086 0.0086 0.0656 1.6132 3.0142 0.1120 0.0038

15 0.0012 0.0518 0.3362 2.7828 0.7379 0.0072 0.0008 0.0664 0.1523 3.0514 0.8795 0.0034

16 0.0006 0.0524 0.1634 2.8140 0.8707 0.0066 -0.0065 0.0600 -1.2167 2.7548 0.2285 0.0078

17 -0.0048 0.0476 -1.3566 2.5546 0.1800 0.0132 0.0006 0.0606 0.1112 2.7819 0.9118 0.0072

APPENDICES

239

18 -0.0050 0.0426 -1.3953 2.2877 0.1681 0.0257 -0.0040 0.0565 -0.7554 2.5977 0.4529 0.0118

19 -0.0004 0.0422 -0.1126 2.2662 0.9107 0.0271 -0.0042 0.0523 -0.7922 2.4046 0.4314 0.0193

20 -0.0006 0.0416 -0.1640 2.2349 0.8703 0.0292 0.0007 0.0530 0.1234 2.4347 0.9022 0.0179

21 0.0007 0.0423 0.1956 2.2723 0.8456 0.0267 -0.0101 0.0429 -1.9028 1.9709 0.0619 0.0534

22 -0.0061 0.0362 -1.7261 1.9422 0.0895 0.0568 -0.0017 0.0412 -0.3231 1.8922 0.7477 0.0633

23 0.0006 0.0367 0.1645 1.9736 0.8699 0.0530 0.0008 0.0420 0.1540 1.9297 0.8781 0.0584

24 0.0041 0.0408 1.1527 2.1941 0.2536 0.0321 0.0009 0.0429 0.1710 1.9714 0.8648 0.0533

25 0.0021 0.0430 0.5951 2.3079 0.5540 0.0245 0.0066 0.0495 1.2513 2.2764 0.2157 0.0264

26 0.0019 0.0448 0.5287 2.4090 0.5990 0.0191 -0.0007 0.0489 -0.1279 2.2452 0.8986 0.0285

27 0.0007 0.0455 0.1926 2.4458 0.8480 0.0174 -0.0041 0.0447 -0.7774 2.0557 0.4400 0.0442

28 0.0021 0.0476 0.5762 2.5560 0.5666 0.0131 -0.0026 0.0421 -0.4964 1.9347 0.6214 0.0577

29 -0.0036 0.0440 -1.0211 2.3607 0.3113 0.0215 0.0026 0.0448 0.4979 2.0561 0.6204 0.0441

30 -0.0005 0.0435 -0.1371 2.3345 0.8914 0.0229 0.0034 0.0481 0.6367 2.2113 0.5268 0.0308

APPENDICES

240


decisions alone based on GARCH Model:

Small Cap. Dividend Increase alone@10% Small Cap. Dividend Decrease alone@10%

Days AAR

CAA

R

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0024

-

0.0024 -0.1436 -0.0451 0.8863 0.9642 Events are not sufficient to be included in final study

-29 -0.0380

-

0.0404 -2.2682 -0.7572 0.0269 0.4519

-28 0.0184

-

0.0220 1.0990 -0.4122 0.2762 0.6817

-27 0.0116

-

0.0104 0.6913 -0.1951 0.4920 0.8460

-26 0.0009

-

0.0095 0.0558 -0.1776 0.9557 0.8596

-25 -0.0028

-

0.0123 -0.1675 -0.2302 0.8675 0.8187

-24 0.0395 0.0273 2.3605 0.5109 0.0215 0.6113

-23 0.0084 0.0357 0.5033 0.6689 0.6166 0.5061

-22 -0.0370

-

0.0013 -2.2112 -0.0253 0.0308 0.9799

-21 0.0042 0.0029 0.2526 0.0540 0.8015 0.9571

-20 0.0148 0.0177 0.8844 0.3317 0.3800 0.7413

-19 -0.0090 0.0087 -0.5371 0.1631 0.5932 0.8710

-18 -0.0415

-

0.0329 -2.4809 -0.6158 0.0159 0.5403

-17 0.0058

-

0.0270 0.3475 -0.5067 0.7294 0.6142

-16 0.0018

-

0.0253 0.1045 -0.4739 0.9171 0.6373

-15 0.0012

-

0.0241 0.0704 -0.4518 0.9441 0.6530

APPENDICES

241

-14 0.0047

-

0.0194 0.2795 -0.3641 0.7808 0.7171

-13 -0.0006

-

0.0201 -0.0384 -0.3761 0.9695 0.7081

-12 0.0069

-

0.0132 0.4099 -0.2474 0.6833 0.8054

-11 0.0099

-

0.0033 0.5909 -0.0619 0.5568 0.9508

-10 0.0224 0.0191 1.3369 0.3578 0.1863 0.7218

-9 0.0110 0.0301 0.6586 0.5646 0.5127 0.5745

-8 0.0088 0.0389 0.5232 0.7288 0.6028 0.4689

-7 0.0275 0.0663 1.6391 1.2434 0.1064 0.2185

-6 -0.0296 0.0367 -1.7676 0.6885 0.0822 0.4938

-5 -0.0100 0.0268 -0.5942 0.5019 0.5546 0.6175

-4 0.0051 0.0319 0.3038 0.5973 0.7623 0.5525

-3 -0.0028 0.0291 -0.1670 0.5449 0.8679 0.5878

-2 -0.0001 0.0289 -0.0084 0.5423 0.9934 0.5896

-1 -0.0233 0.0056 -1.3940 0.1046 0.1684 0.9170

0 0.0395 0.0451 2.3612 0.8459 0.0215 0.4010

1 0.0135 0.0586 0.8046 1.0985 0.4242 0.2764

2 0.0101 0.0687 0.6013 1.2873 0.5499 0.2029

3 -0.0012 0.0674 -0.0732 1.2643 0.9419 0.2110

4 0.0028 0.0702 0.1642 1.3159 0.8701 0.1932

5 0.0271 0.0973 1.6159 1.8232 0.1114 0.0733

6 0.0058 0.1030 0.3453 1.9316 0.7310 0.0581

7 -0.0134 0.0897 -0.7993 1.6807 0.4273 0.0980

8 0.0143 0.1040 0.8555 1.9493 0.3957 0.0559

9 -0.0161 0.0879 -0.9585 1.6483 0.3417 0.1045

10 -0.0141 0.0738 -0.8415 1.3841 0.4034 0.1714

11 0.0175 0.0914 1.0478 1.7131 0.2989 0.0919

12 -0.0131 0.0783 -0.7822 1.4675 0.4372 0.1475

13 -0.0058 0.0725 -0.3473 1.3585 0.7296 0.1794

14 0.0075 0.0799 0.4459 1.4985 0.6572 0.1392

15 0.0011 0.0811 0.0679 1.5198 0.9461 0.1338

16 0.0392 0.1202 2.3383 2.2539 0.0227 0.0279

APPENDICES

242

17 0.0038 0.1240 0.2260 2.3249 0.8219 0.0235

18 0.0140 0.1380 0.8346 2.5869 0.4073 0.0121

19 -0.0126 0.1254 -0.7545 2.3501 0.4535 0.0221

20 0.0026 0.1279 0.1536 2.3983 0.8785 0.0196

21 -0.0066 0.1214 -0.3916 2.2754 0.6968 0.0265

22 0.0041 0.1255 0.2458 2.3525 0.8067 0.0219

23 -0.0020 0.1235 -0.1193 2.3151 0.9054 0.0240

24 0.0043 0.1278 0.2579 2.3961 0.7973 0.0197

25 0.0054 0.1332 0.3210 2.4968 0.7493 0.0153

26 -0.0217 0.1115 -1.2957 2.0900 0.2000 0.0409

27 -0.0155 0.0960 -0.9271 1.7990 0.3576 0.0771

28 -0.0013 0.0946 -0.0801 1.7738 0.9364 0.0812

29 0.0050 0.0996 0.2996 1.8679 0.7655 0.0667

30 -0.0012 0.0984 -0.0740 1.8446 0.9412 0.0700

APPENDICES

243

Appendix 4.7: Calculated AAR, CAAR and corresponding t-values and p- values associated with dividend increase/decrease decisions

alone based on GARCH Model:

Mid. Cap. Dividend Increase alone@15% Mid. Cap. Dividend Decrease alone@15%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0077 -0.0077 -0.4229 -0.1922 0.6739 0.8482 Event are not sufficient for final study

-29 -0.0131 -0.0207 -0.7188 -0.5190 0.4751 0.6057

-28 0.0134 -0.0073 0.7373 -0.1838 0.4638 0.8548

-27 0.0038 -0.0036 0.2087 -0.0890 0.8354 0.9294

-26 -0.0044 -0.0079 -0.2407 -0.1984 0.8106 0.8434

-25 -0.0134 -0.0214 -0.7397 -0.5347 0.4624 0.5949

-24 0.0034 -0.0180 0.1864 -0.4499 0.8528 0.6544

-23 -0.0122 -0.0302 -0.6727 -0.7557 0.5037 0.4528

-22 -0.0054 -0.0356 -0.2954 -0.8900 0.7687 0.3770

-21 0.0034 -0.0322 0.1863 -0.8053 0.8528 0.4238

-20 -0.0113 -0.0435 -0.6242 -1.0891 0.5349 0.2805

-19 0.0058 -0.0377 0.3200 -0.9436 0.7501 0.3492

-18 -0.0193 -0.0570 -1.0596 -1.4253 0.2936 0.1592

-17 0.0169 -0.0400 0.9318 -1.0017 0.3552 0.3205

-16 -0.0125 -0.0525 -0.6887 -1.3148 0.4937 0.1936

-15 0.0007 -0.0519 0.0373 -1.2978 0.9704 0.1993

-14 0.0538 0.0019 2.9615 0.0485 0.0044 0.9615

-13 -0.0197 -0.0178 -1.0859 -0.4452 0.2818 0.6578

-12 -0.0122 -0.0300 -0.6738 -0.7515 0.5030 0.4553

-11 0.0053 -0.0248 0.2890 -0.6201 0.7736 0.5375

-10 -0.0010 -0.0258 -0.0535 -0.6445 0.9575 0.5217

-9 0.0045 -0.0213 0.2458 -0.5327 0.8067 0.5962

-8 0.0246 0.0034 1.3566 0.0840 0.1800 0.9333

-7 0.0203 0.0237 1.1193 0.5928 0.2675 0.5555

-6 0.0145 0.0382 0.7979 0.9556 0.4281 0.3431

-5 -0.0190 0.0191 -1.0485 0.4790 0.2986 0.6337

-4 0.0020 0.0211 0.1073 0.5278 0.9149 0.5996

-3 -0.0213 -0.0002 -1.1706 -0.0044 0.2464 0.9965

APPENDICES

244

-2 -0.0433 -0.0435 -2.3845 -1.0885 0.0203 0.2807

-1 -0.0327 -0.0762 -1.7993 -1.9065 0.0770 0.0614

0 0.0007 -0.0755 0.0394 -1.8886 0.9687 0.0638

1 -0.0204 -0.0958 -1.1202 -2.3979 0.2671 0.0196

2 -0.0077 -0.1036 -0.4250 -2.5911 0.6724 0.0120

3 -0.0066 -0.1101 -0.3615 -2.7554 0.7190 0.0078

4 0.0184 -0.0918 1.0104 -2.2961 0.3163 0.0252

5 0.0346 -0.0571 1.9066 -1.4293 0.0614 0.1581

6 -0.0260 -0.0831 -1.4312 -2.0800 0.1575 0.0418

7 -0.0230 -0.1062 -1.2681 -2.6565 0.2097 0.0101

8 0.0078 -0.0983 0.4319 -2.4601 0.6674 0.0168

9 0.0121 -0.0863 0.6640 -2.1583 0.5092 0.0349

10 -0.0132 -0.0994 -0.7257 -2.4882 0.4709 0.0156

11 -0.0192 -0.1186 -1.0570 -2.9687 0.2947 0.0043

12 -0.0047 -0.1234 -0.2594 -3.0867 0.7962 0.0031

13 0.0104 -0.1130 0.5718 -2.8267 0.5696 0.0064

14 -0.0033 -0.1162 -0.1801 -2.9086 0.8577 0.0051

15 0.0378 -0.0785 2.0793 -1.9633 0.0419 0.0543

16 0.0254 -0.0531 1.3974 -1.3280 0.1674 0.1892

17 -0.0125 -0.0656 -0.6886 -1.6410 0.4937 0.1060

18 0.0330 -0.0326 1.8167 -0.8151 0.0743 0.4182

19 -0.0201 -0.0527 -1.1063 -1.3181 0.2730 0.1925

20 0.0015 -0.0512 0.0800 -1.2817 0.9365 0.2049

21 0.0103 -0.0409 0.5658 -1.0244 0.5736 0.3097

22 0.0007 -0.0403 0.0370 -1.0076 0.9706 0.3177

23 -0.0040 -0.0443 -0.2207 -1.1079 0.8261 0.2723

24 0.0263 -0.0180 1.4448 -0.4511 0.1537 0.6536

25 0.0126 -0.0054 0.6933 -0.1359 0.4908 0.8924

26 -0.0037 -0.0091 -0.2037 -0.2285 0.8393 0.8200

27 0.0082 -0.0009 0.4527 -0.0227 0.6524 0.9820

28 -0.0194 -0.0204 -1.0704 -0.5093 0.2887 0.6124

29 0.0118 -0.0086 0.6485 -0.2145 0.5191 0.8309

30 -0.0094 -0.0179 -0.5148 -0.4485 0.6086 0.6554

APPENDICES

245


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0082 -0.0082 -0.6416 -0.2310 0.5236 0.8181 -0.0041 -0.0041 -0.2467 -0.1248 0.8060 0.9011

-29 0.0176 0.0094 1.3773 0.2648 0.1735 0.7920 0.0032 -0.0009 0.1904 -0.0285 0.8496 0.9774

-28 0.0160 0.0254 1.2526 0.7158 0.2152 0.4769 -0.0179 -0.0189 -1.0726 -0.5712 0.2877 0.5700

-27 0.0024 0.0278 0.1897 0.7841 0.8502 0.4361 -0.0015 -0.0204 -0.0908 -0.6172 0.9279 0.5395

-26 0.0027 0.0305 0.2135 0.8609 0.8317 0.3927 0.0561 0.0358 3.3612 1.0835 0.0014 0.2829

-25 -0.0054 0.0251 -0.4235 0.7085 0.6735 0.4814 -0.0133 0.0225 -0.7964 0.6805 0.4289 0.4988

-24 -0.0091 0.0160 -0.7136 0.4516 0.4783 0.6532 -0.0013 0.0212 -0.0763 0.6419 0.9394 0.5234

-23 -0.0154 0.0006 -1.2039 0.0182 0.2334 0.9855 0.0018 0.0229 0.1054 0.6952 0.9164 0.4896

-22 0.0105 0.0112 0.8251 0.3152 0.4126 0.7537 0.0221 0.0451 1.3245 1.3653 0.1904 0.1772

-21 -0.0123 -0.0011 -0.9645 -0.0320 0.3387 0.9746 0.0296 0.0747 1.7745 2.2632 0.0811 0.0273

-20 0.0172 0.0160 1.3444 0.4520 0.1839 0.6529 -0.0064 0.0683 -0.3854 2.0682 0.7013 0.0429

-19 -0.0135 0.0026 -1.0538 0.0726 0.2962 0.9423 0.0166 0.0849 0.9963 2.5723 0.3231 0.0126

-18 -0.0009 0.0017 -0.0723 0.0466 0.9426 0.9630 -0.0173 0.0676 -1.0352 2.0485 0.3047 0.0449

-17 -0.0032 -0.0015 -0.2475 -0.0425 0.8054 0.9663 0.0150 0.0826 0.8960 2.5019 0.3738 0.0151

-16 0.0089 0.0074 0.6972 0.2085 0.4884 0.8355 0.0121 0.0947 0.7273 2.8698 0.4699 0.0057

-15 -0.0080 -0.0006 -0.6242 -0.0162 0.5348 0.9871 0.0021 0.0968 0.1253 2.9332 0.9007 0.0047

-14 -0.0153 -0.0158 -1.1949 -0.4464 0.2368 0.6569 0.0028 0.0996 0.1693 3.0189 0.8661 0.0037

-13 0.0228 0.0070 1.7851 0.1962 0.0793 0.8451 -0.0071 0.0925 -0.4263 2.8032 0.6714 0.0068

-12 0.0142 0.0211 1.1104 0.5960 0.2713 0.5534 0.0257 0.1182 1.5404 3.5825 0.1287 0.0007

-11 -0.0172 0.0039 -1.3508 0.1097 0.1818 0.9130 -0.0063 0.1119 -0.3794 3.3906 0.7057 0.0012

-10 0.0180 0.0219 1.4134 0.6185 0.1627 0.5386 -0.0175 0.0944 -1.0497 2.8595 0.2981 0.0058

-9 -0.0073 0.0146 -0.5725 0.4124 0.5691 0.6815 0.0012 0.0956 0.0719 2.8959 0.9429 0.0053

-8 0.0336 0.0482 2.6320 1.3599 0.0108 0.1789 -0.0158 0.0798 -0.9452 2.4176 0.3483 0.0187

-7 -0.0214 0.0268 -1.6767 0.7563 0.0988 0.4524 0.0109 0.0906 0.6500 2.7465 0.5182 0.0079

-6 0.0029 0.0297 0.2267 0.8379 0.8214 0.4054 -0.0167 0.0740 -0.9982 2.2415 0.3222 0.0287

-5 -0.0040 0.0257 -0.3143 0.7248 0.7544 0.4714 -0.0054 0.0686 -0.3243 2.0774 0.7468 0.0421

-4 0.0231 0.0488 1.8081 1.3757 0.0756 0.1740 0.0120 0.0806 0.7206 2.4420 0.4740 0.0176

-3 0.0018 0.0505 0.1381 1.4254 0.8906 0.1592 0.0132 0.0938 0.7905 2.8419 0.4324 0.0061

-2 -0.0187 0.0319 -1.4618 0.8992 0.1490 0.3722 0.0088 0.1025 0.5241 3.1071 0.6021 0.0029

-1 0.0164 0.0483 1.2878 1.3628 0.2028 0.1780 -0.0162 0.0863 -0.9705 2.6161 0.3357 0.0112

APPENDICES

246

0 0.0041 0.0524 0.3207 1.4782 0.7496 0.1446 -0.0128 0.0736 -0.7659 2.2286 0.4467 0.0296

1 0.0408 0.0932 3.1958 2.6287 0.0022 0.0109 -0.0362 0.0374 -2.1662 1.1325 0.0343 0.2619

2 -0.0062 0.0870 -0.4840 2.4545 0.6301 0.0170 0.0001 0.0374 0.0037 1.1344 0.9971 0.2611

3 -0.0003 0.0867 -0.0236 2.4460 0.9812 0.0174 0.0253 0.0627 1.5136 1.9002 0.1354 0.0622

4 0.0104 0.0971 0.8149 2.7394 0.4183 0.0081 -0.0102 0.0525 -0.6089 1.5921 0.5449 0.1166

5 -0.0204 0.0767 -1.5970 2.1645 0.1155 0.0344 0.0000 0.0526 0.0017 1.5930 0.9987 0.1164

6 -0.0081 0.0686 -0.6370 1.9352 0.5266 0.0577 -0.0395 0.0130 -2.3674 0.3952 0.0212 0.6941

7 0.0163 0.0849 1.2780 2.3952 0.2062 0.0197 -0.0023 0.0107 -0.1389 0.3249 0.8900 0.7464

8 -0.0028 0.0821 -0.2196 2.3162 0.8270 0.0240 -0.0107 0.0001 -0.6379 0.0021 0.5259 0.9983

9 0.0001 0.0823 0.0114 2.3203 0.9910 0.0237 0.0193 0.0193 1.1530 0.5855 0.2535 0.5604

10 -0.0117 0.0706 -0.9139 1.9913 0.3644 0.0510 0.0191 0.0385 1.1460 1.1653 0.2563 0.2485

11 -0.0014 0.0692 -0.1131 1.9506 0.9104 0.0558 0.0074 0.0459 0.4459 1.3909 0.6573 0.1694

12 0.0128 0.0820 1.0027 2.3116 0.3200 0.0243 -0.0188 0.0271 -1.1280 0.8202 0.2638 0.4154

13 0.0033 0.0852 0.2577 2.4043 0.7975 0.0193 0.0240 0.0511 1.4385 1.5480 0.1555 0.1269

14 -0.0001 0.0851 -0.0098 2.4008 0.9923 0.0195 0.0074 0.0584 0.4404 1.7708 0.6612 0.0817

15 -0.0060 0.0791 -0.4690 2.2320 0.6408 0.0294 0.0092 0.0677 0.5520 2.0501 0.5830 0.0447

16 -0.0056 0.0735 -0.4418 2.0729 0.6602 0.0425 0.0003 0.0680 0.0179 2.0592 0.9858 0.0438

17 0.0156 0.0891 1.2232 2.5133 0.2260 0.0147 0.0068 0.0747 0.4050 2.2641 0.6869 0.0272

18 0.0098 0.0989 0.7665 2.7892 0.4464 0.0071 -0.0181 0.0567 -1.0816 1.7169 0.2838 0.0912

19 -0.0034 0.0955 -0.2678 2.6928 0.7898 0.0092 -0.0146 0.0420 -0.8773 1.2730 0.3838 0.2079

20 -0.0094 0.0861 -0.7360 2.4278 0.4646 0.0182 -0.0206 0.0214 -1.2341 0.6486 0.2220 0.5191

21 -0.0041 0.0819 -0.3237 2.3113 0.7473 0.0243 0.0211 0.0425 1.2609 1.2866 0.2122 0.2032

22 0.0059 0.0879 0.4644 2.4785 0.6440 0.0160 0.0094 0.0519 0.5648 1.5723 0.5743 0.1211

23 -0.0034 0.0845 -0.2671 2.3823 0.7903 0.0204 -0.0166 0.0353 -0.9945 1.0692 0.3240 0.2893

24 0.0014 0.0859 0.1115 2.4225 0.9116 0.0185 0.0026 0.0379 0.1581 1.1492 0.8749 0.2551

25 0.0034 0.0893 0.2660 2.5182 0.7912 0.0145 -0.0081 0.0298 -0.4869 0.9028 0.6281 0.3702

26 -0.0069 0.0824 -0.5380 2.3245 0.5926 0.0235 -0.0085 0.0213 -0.5114 0.6440 0.6109 0.5220

27 -0.0049 0.0775 -0.3833 2.1865 0.7029 0.0327 0.0207 0.0420 1.2401 1.2715 0.2197 0.2085

28 0.0035 0.0810 0.2729 2.2848 0.7858 0.0259 -0.0105 0.0315 -0.6283 0.9536 0.5322 0.3441

29 -0.0054 0.0757 -0.4197 2.1337 0.6762 0.0370 0.0017 0.0332 0.1007 1.0045 0.9201 0.3192

30 0.0010 0.0767 0.0808 2.1628 0.9359 0.0346 -0.0058 0.0274 -0.3448 0.8301 0.7315 0.4098

APPENDICES

247


alone based on GARCH Model:

Large Cap. Dividend Increase alone@20% Large Cap. Dividend Decrease alone@20%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0200 -0.0200 -1.5060 -0.4850 0.1373 0.6295 No Event

Is Selected Under This

Category

-29 0.0094 -0.0106 0.7091 -0.2566 0.4810 0.7984

-28 -0.0119 -0.0225 -0.8930 -0.5442 0.3754 0.5883

-27 0.0120 -0.0105 0.9017 -0.2538 0.3708 0.8005

-26 0.0046 -0.0059 0.3426 -0.1435 0.7331 0.8865

-25 0.0038 -0.0021 0.2886 -0.0506 0.7739 0.9599

-24 -0.0050 -0.0070 -0.3727 -0.1706 0.7107 0.8652

-23 0.0011 -0.0059 0.0843 -0.1435 0.9331 0.8865

-22 0.0002 -0.0057 0.0173 -0.1379 0.9863 0.8909

-21 -0.0087 -0.0143 -0.6508 -0.3475 0.5177 0.7295

-20 -0.0030 -0.0174 -0.2262 -0.4203 0.8218 0.6758

-19 -0.0001 -0.0175 -0.0100 -0.4236 0.9921 0.6734

-18 0.0067 -0.0108 0.5044 -0.2611 0.6158 0.7949

-17 0.0010 -0.0098 0.0765 -0.2365 0.9393 0.8139

-16 -0.0011 -0.0109 -0.0825 -0.2631 0.9345 0.7935

-15 -0.0043 -0.0152 -0.3251 -0.3678 0.7463 0.7144

-14 0.0012 -0.0140 0.0926 -0.3379 0.9265 0.7366

-13 0.0116 -0.0024 0.8711 -0.0574 0.3872 0.9545

-12 0.0067 0.0043 0.5007 0.1039 0.6184 0.9176

-11 -0.0044 -0.0001 -0.3314 -0.0029 0.7416 0.9978

-10 0.0105 0.0104 0.7910 0.2519 0.4321 0.8020

-9 0.0026 0.0130 0.1987 0.3159 0.8431 0.7532

-8 -0.0037 0.0093 -0.2776 0.2265 0.7824 0.8216

-7 -0.0030 0.0063 -0.2271 0.1534 0.8212 0.8786

-6 0.0146 0.0209 1.0962 0.5064 0.2774 0.6144

-5 -0.0125 0.0084 -0.9407 0.2034 0.3506 0.8395

APPENDICES

248

-4 -0.0040 0.0044 -0.3039 0.1056 0.7623 0.9163

-3 0.0065 0.0108 0.4878 0.2626 0.6275 0.7937

-2 0.0044 0.0153 0.3341 0.3702 0.7394 0.7125

-1 0.0231 0.0384 1.7379 0.9299 0.0874 0.3562

0 0.0211 0.0595 1.5857 1.4405 0.1181 0.1549

1 0.0089 0.0684 0.6710 1.6566 0.5048 0.1028

2 -0.0131 0.0553 -0.9868 1.3388 0.3278 0.1857

3 0.0041 0.0594 0.3120 1.4393 0.7561 0.1553

4 0.0037 0.0632 0.2817 1.5300 0.7791 0.1313

5 -0.0164 0.0467 -1.2370 1.1317 0.2209 0.2623

6 -0.0005 0.0462 -0.0405 1.1186 0.9678 0.2678

7 0.0086 0.0547 0.6445 1.3262 0.3011 0.1898

8 -0.0139 0.0409 -1.0431 0.9903 0.3011 0.3260

9 0.0003 0.0412 0.0260 0.9987 0.9793 0.3220

10 0.0023 0.0435 0.1734 1.0545 0.8630 0.2959

11 0.0011 0.0447 0.0850 1.0819 0.9325 0.2836

12 0.0122 0.0569 0.9192 1.3779 0.4441 0.1734

13 0.0102 0.0671 0.7703 1.6260 0.4441 0.1092

14 0.0203 0.0874 1.5241 2.1168 0.1327 0.0384

15 0.0024 0.0898 0.1781 2.1741 0.8592 0.0337

16 0.0007 0.0904 0.0496 2.1901 0.9606 0.0324

17 -0.0157 0.0747 -1.1782 1.8107 0.2434 0.0752

18 -0.0057 0.0690 -0.4312 1.6718 0.6679 0.0998

19 0.0378 0.1068 2.8421 2.5871 0.0061 0.0121

20 0.0021 0.1089 0.1605 2.6387 0.8730 0.0106

21 -0.0060 0.1029 -0.4533 2.4928 0.6520 0.0155

22 0.0033 0.1062 0.2448 2.5716 0.8075 0.0126

23 -0.0157 0.0905 -1.1805 2.1914 0.2425 0.0323

24 -0.0032 0.0872 -0.2426 2.1133 0.8091 0.0387

25 0.0134 0.1006 1.0081 2.4379 0.3174 0.0178

26 0.0004 0.1010 0.0280 2.4470 0.9777 0.0174

27 -0.0096 0.0914 -0.7244 2.2137 0.4717 0.0307

28 -0.0620 0.0294 -4.6657 0.7112 0.0000 0.4797

29 0.0051 0.0345 0.3862 0.8355 0.7007 0.4067

30 -0.0143 0.0202 -1.0736 0.4898 0.2873 0.6261

APPENDICES

249


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)


-29 0.0138 -0.0236 0.4732 -0.2390 0.6378 0.8119

-28 0.0006 -0.0230 0.0219 -0.2326 0.9826 0.8169

-27 -0.0068 -0.0298 -0.2355 -0.3018 0.8147 0.7638

-26 0.0055 -0.0243 0.1900 -0.2460 0.8500 0.8066

-25 0.0264 0.0021 0.9091 0.0215 0.3669 0.9829

-24 0.0900 0.0921 3.0937 0.9315 0.0030 0.3553

-23 -0.0076 0.0845 -0.2628 0.8542 0.7936 0.3964

-22 -0.0163 0.0682 -0.5607 0.6893 0.5771 0.4933

-21 -0.0124 0.0558 -0.4255 0.5641 0.6720 0.5748

-20 -0.0003 0.0555 -0.0115 0.5607 0.9909 0.5771

-19 -0.0117 0.0437 -0.4029 0.4422 0.6884 0.6599

-18 0.0117 0.0554 0.4005 0.5600 0.6902 0.5776

-17 -0.0093 0.0461 -0.3183 0.4664 0.7514 0.6426

-16 0.0038 0.0500 0.1319 0.5052 0.8955 0.6153

-15 0.0851 0.1350 2.9237 1.3652 0.0049 0.1773

-14 -0.0033 0.1317 -0.1151 1.3313 0.9087 0.1881

-13 -0.0387 0.0929 -1.3316 0.9397 0.1880 0.3512

-12 0.0220 0.1149 0.7570 1.1623 0.4520 0.2497

-11 0.0235 0.1384 0.8067 1.3996 0.4230 0.1668

-10 -0.0017 0.1367 -0.0596 1.3821 0.9527 0.1721

-9 0.0014 0.1381 0.0496 1.3967 0.9606 0.1677

-8 0.0133 0.1514 0.4576 1.5313 0.6489 0.1310

-7 0.0023 0.1538 0.0802 1.5549 0.9363 0.1252

-6 0.0909 0.2447 3.1246 2.4740 0.0027 0.0162

-5 -0.0411 0.2036 -1.4123 2.0585 0.1630 0.0439

-4 0.0313 0.2348 1.0743 2.3746 0.2870 0.0208

-3 -0.0191 0.2157 -0.6560 2.1816 0.5143 0.0331

-2 0.0433 0.2591 1.4888 2.6195 0.1418 0.0111

-1 0.0462 0.3053 1.5894 3.0870 0.1172 0.0031

0 -0.0066 0.2987 -0.2261 3.0205 0.8219 0.0037

APPENDICES

250

1 -0.0601 0.2386 -2.0656 2.4129 0.0432 0.0189

2 0.0108 0.2495 0.3725 2.5225 0.7109 0.0143

3 0.0199 0.2694 0.6855 2.7241 0.4957 0.0084

4 -0.0128 0.2566 -0.4394 2.5949 0.6619 0.0119

5 -0.0224 0.2342 -0.7703 2.3683 0.4441 0.0211

6 0.0025 0.2367 0.0856 2.3935 0.9321 0.0198

7 -0.0356 0.2011 -1.2243 2.0333 0.2256 0.0465

8 -0.0098 0.1913 -0.3359 1.9345 0.7381 0.0578

9 -0.0030 0.1883 -0.1043 1.9038 0.9172 0.0617

10 -0.0033 0.1850 -0.1142 1.8702 0.9094 0.0663

11 -0.0048 0.1802 -0.1646 1.8218 0.8698 0.0735

12 0.0094 0.1895 0.3225 1.9167 0.7482 0.0600

13 -0.0093 0.1803 -0.3185 1.8230 0.7512 0.0733

14 0.0213 0.2016 0.7311 2.0380 0.4675 0.0460

15 -0.0070 0.1946 -0.2400 1.9674 0.8111 0.0538

16 -0.0062 0.1883 -0.2140 1.9045 0.8313 0.0616

17 0.0677 0.2561 2.3281 2.5893 0.0233 0.0121

18 -0.0097 0.2464 -0.3334 2.4912 0.7400 0.0155

19 0.0053 0.2517 0.1823 2.5449 0.8560 0.0135

20 0.0090 0.2606 0.3081 2.6355 0.7591 0.0107

21 -0.0231 0.2375 -0.7945 2.4018 0.4301 0.0194

22 0.0065 0.2441 0.2251 2.4680 0.8227 0.0165

23 0.0179 0.2620 0.6148 2.6488 0.5410 0.0103

24 0.0287 0.2907 0.9873 2.9393 0.3275 0.0047

25 -0.0201 0.2705 -0.6923 2.7356 0.4914 0.0082

26 0.0173 0.2878 0.5934 2.9102 0.5551 0.0051

27 0.0175 0.3053 0.6012 3.0870 0.5500 0.0031

28 -0.0012 0.3041 -0.0417 3.0747 0.9669 0.0032

29 -0.0278 0.2762 -0.9567 2.7933 0.3426 0.0070

30 -0.0096 0.2666 -0.3308 2.6960 0.7420 0.0091

APPENDICES

251

Appendix 4.9: Calculated AAR, CAAR and corresponding t-values and p- values associated with dividend increase/decrease decisions alone

based on GARCH Model:


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0152 0.0152 1.5687 1.5687 0.1220 0.2390 -0.0037 -0.0037 -0.3929 -0.0923 0.6958 0.9268

-29 0.0106 0.0258 1.0997 1.0997 0.2759 0.0475 -0.0062 -0.0099 -0.6667 -0.2490 0.5075 0.8042

-28 -0.0045 0.0213 -0.4691 0.4691 0.6407 0.1007 0.0066 -0.0033 0.7062 -0.0830 0.4828 0.9341

-27 -0.0095 0.0118 -0.9790 0.9790 0.3315 0.3586 0.0009 -0.0024 0.1003 -0.0594 0.9204 0.9528

-26 0.0144 0.0262 1.4848 1.4848 0.1428 0.0447 -0.0031 -0.0054 -0.3291 -0.1368 0.7432 0.8917

-25 -0.0001 0.0261 -0.0057 0.0057 0.9955 0.0451 0.0064 0.0010 0.6860 0.0244 0.4954 0.9806

-24 0.0003 0.0264 0.0300 0.0300 0.9762 0.0429 0.0090 0.0100 0.9648 0.2511 0.3385 0.8026

-23 -0.0155 0.0109 -1.6062 1.6062 0.1135 0.3979 0.0131 0.0231 1.4024 0.5806 0.1659 0.5637

-22 0.0075 0.0183 0.7728 0.7728 0.4426 0.1558 -0.0011 0.0220 -0.1216 0.5520 0.9036 0.5830

-21 -0.0079 0.0105 -0.8116 0.8116 0.4202 0.4143 0.0083 0.0303 0.8924 0.7617 0.3758 0.4492

-20 0.0024 0.0129 0.2506 0.2506 0.8030 0.3156 0.0113 0.0417 1.2113 1.0463 0.2305 0.2996

-19 0.0159 0.0288 1.6447 1.6447 0.1053 0.0275 -0.0010 0.0407 -0.1017 1.0224 0.9194 0.3107

-18 -0.0041 0.0247 -0.4220 0.4220 0.6746 0.0572 0.0140 0.0547 1.4949 1.3737 0.1402 0.1747

-17 -0.0069 0.0179 -0.7101 0.7101 0.4804 0.1665 0.0031 0.0578 0.3302 1.4513 0.7424 0.1519

-16 0.0093 0.0271 0.9561 0.9561 0.3429 0.0377 0.0180 0.0758 1.9237 1.9033 0.0591 0.0618

-15 0.0010 0.0281 0.0995 0.0995 0.9211 0.0316 0.0068 0.0825 0.7235 2.0732 0.4722 0.0425

-14 -0.0035 0.0246 -0.3584 0.3584 0.7213 0.0585 -0.0090 0.0735 -0.9647 1.8466 0.3386 0.0697

-13 -0.0056 0.0190 -0.5804 0.5804 0.5638 0.1417 0.0097 0.0832 1.0319 2.0890 0.3063 0.0410

-12 -0.0148 0.0042 -1.5339 1.5339 0.1303 0.7453 0.0051 0.0883 0.5505 2.2184 0.5841 0.0303

-11 0.0036 0.0077 0.3679 0.3679 0.7142 0.5473 -0.0116 0.0767 -1.2400 1.9270 0.2198 0.0587

-10 0.0004 0.0082 0.0447 0.0447 0.9645 0.5252 0.0045 0.0812 0.4799 2.0398 0.6331 0.0458

-9 -0.0020 0.0062 -0.2054 0.2054 0.8380 0.6306 -0.0047 0.0765 -0.5073 1.9206 0.6138 0.0595

-8 -0.0085 -0.0024 -0.8818 0.8818 0.3814 0.8538 -0.0008 0.0757 -0.0862 1.9003 0.9316 0.0622

-7 -0.0045 -0.0069 -0.4640 0.4640 0.6443 0.5934 0.0115 0.0871 1.2282 2.1889 0.2242 0.0325

-6 -0.0049 -0.0118 -0.5065 0.5065 0.6144 0.3608 0.0047 0.0918 0.5018 2.3068 0.6176 0.0245

-5 -0.0080 -0.0197 -0.8260 0.8260 0.4121 0.1271 0.0173 0.1091 1.8481 2.7410 0.0695 0.0081

APPENDICES

252

-4 0.0277 0.0079 2.8576 2.8576 0.0059 0.5381 -0.0090 0.1001 -0.9626 2.5149 0.3396 0.0146

-3 0.0194 0.0273 2.0026 2.0026 0.0497 0.0367 0.0042 0.1044 0.4533 2.6214 0.6519 0.0111

-2 0.0080 0.0352 0.8233 0.8233 0.4136 0.0076 0.0003 0.1047 0.0363 2.6299 0.9711 0.0108

-1 0.0073 0.0425 0.7514 0.7514 0.4553 0.0015 -0.0090 0.0957 -0.9659 2.4030 0.3380 0.0194

0 -0.0101 0.0325 -1.0391 1.0391 0.3029 0.0136 -0.0040 0.0917 -0.4262 2.3028 0.6715 0.0248

1 0.0097 0.0421 0.9973 0.9973 0.3226 0.0016 0.0038 0.0954 0.4021 2.3973 0.6891 0.0196

2 -0.0172 0.0249 -1.7780 1.7780 0.0805 0.0557 0.0109 0.1064 1.1689 2.6719 0.2471 0.0097

3 -0.0152 0.0097 -1.5706 1.5706 0.1215 0.4496 -0.0100 0.0964 -1.0652 2.4217 0.2911 0.0185

4 0.0042 0.0139 0.4377 0.4377 0.6632 0.2788 -0.0039 0.0925 -0.4166 2.3238 0.6785 0.0235

5 -0.0041 0.0098 -0.4279 0.4279 0.6702 0.4453 -0.0042 0.0883 -0.4460 2.2190 0.6572 0.0303

6 0.0010 0.0108 0.0986 0.0986 0.9217 0.4025 0.0113 0.0997 1.2124 2.5038 0.2301 0.0150

7 -0.0077 0.0031 -0.7914 0.7914 0.4319 0.8086 0.0013 0.1010 0.1391 2.5365 0.8898 0.0138

8 0.0003 0.0035 0.0359 0.0359 0.9715 0.7877 0.0051 0.1061 0.5416 2.6638 0.5901 0.0099

9 -0.0021 0.0013 -0.2189 0.2189 0.8274 0.9171 -0.0072 0.0989 -0.7700 2.4828 0.4443 0.0158

10 0.0150 0.0164 1.5525 1.5525 0.1258 0.2050 0.0153 0.1142 1.6376 2.8676 0.1067 0.0057

11 0.0105 0.0269 1.0853 1.0853 0.2821 0.0396 0.0014 0.1156 0.1520 2.9033 0.8797 0.0052

12 0.0131 0.0399 1.3515 1.3515 0.1816 0.0027 0.0021 0.1177 0.2283 2.9570 0.8202 0.0044

13 -0.0090 0.0309 -0.9317 0.9317 0.3552 0.0185 -0.0036 0.1141 -0.3863 2.8662 0.7006 0.0057

14 -0.0057 0.0252 -0.5930 0.5930 0.5554 0.0531 -0.0124 0.1017 -1.3274 2.5543 0.1894 0.0132

15 0.0002 0.0254 0.0180 0.0180 0.9857 0.0516 0.0050 0.1067 0.5332 2.6796 0.5958 0.0095

16 0.0022 0.0275 0.2224 0.2224 0.8248 0.0352 -0.0015 0.1052 -0.1574 2.6426 0.8755 0.0105

17 -0.0105 0.0170 -1.0839 1.0839 0.2828 0.1874 0.0157 0.1209 1.6740 3.0359 0.0993 0.0035

18 -0.0021 0.0149 -0.2198 0.2198 0.8267 0.2479 -0.0104 0.1105 -1.1112 2.7748 0.2709 0.0074

19 0.0098 0.0247 1.0146 1.0146 0.3144 0.0576 0.0068 0.1173 0.7289 2.9461 0.4689 0.0046

20 -0.0075 0.0172 -0.7776 0.7776 0.4399 0.1832 -0.0075 0.1098 -0.8028 2.7575 0.4252 0.0077

21 0.0123 0.0295 1.2724 1.2724 0.2081 0.0243 0.0041 0.1139 0.4355 2.8598 0.6648 0.0058

22 -0.0061 0.0234 -0.6335 0.6335 0.5288 0.0721 0.0031 0.1170 0.3309 2.9375 0.7419 0.0047

23 0.0013 0.0247 0.1334 0.1334 0.8943 0.0581 -0.0218 0.0952 -2.3271 2.3908 0.0234 0.0200

24 -0.0179 0.0068 -1.8468 1.8468 0.0697 0.5968 -0.0064 0.0887 -0.6883 2.2290 0.4939 0.0296

25 -0.0051 0.0017 -0.5231 0.5231 0.6028 0.8928 -0.0111 0.0776 -1.1919 1.9490 0.2380 0.0560

26 -0.0009 0.0009 -0.0901 0.0901 0.9285 0.9468 0.0294 0.1070 3.1420 2.6872 0.0026 0.0093

27 0.0034 0.0043 0.3532 0.3532 0.7252 0.7390 0.0106 0.1176 1.1355 2.9540 0.2607 0.0045

28 0.0021 0.0064 0.2208 0.2208 0.8260 0.6174 0.0131 0.1307 1.3968 3.2822 0.1676 0.0017

29 0.0088 0.0152 0.9049 0.9049 0.3692 0.2395 0.0146 0.1453 1.5628 3.6494 0.1234 0.0006

30 0.0118 0.0270 1.2201 1.2201 0.2272 0.0388 0.0047 0.1500 0.5070 3.7685 0.6140 0.0004

APPENDICES

253


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0031 -0.0031 -0.4002 -0.0788 0.6904 0.9374 -0.0080 -0.0080 -1.1473 -0.4260 0.2558 0.6717

-29 0.0026 -0.0005 0.3362 -0.0126 0.7379 0.9900 -0.0055 -0.0136 -0.7880 -0.7185 0.4338 0.4752

-28 0.0062 0.0057 0.8106 0.1471 0.4208 0.8836 0.0149 0.0013 2.1211 0.0690 0.0381 0.9452

-27 0.0093 0.0151 1.2148 0.3864 0.2292 0.7006 -0.0021 -0.0008 -0.2985 -0.0419 0.7663 0.9667

-26 -0.0001 0.0150 -0.0075 0.3849 0.9940 0.7017 -0.0029 -0.0037 -0.4129 -0.1952 0.6812 0.8459

-25 0.0033 0.0183 0.4236 0.4684 0.6734 0.6412 0.0152 0.0115 2.1715 0.6111 0.0339 0.5435

-24 -0.0062 0.0121 -0.8096 0.3089 0.4213 0.7585 0.0030 0.0145 0.4285 0.7702 0.6698 0.4442

-23 0.0065 0.0186 0.8508 0.4765 0.3982 0.6355 -0.0017 0.0129 -0.2366 0.6823 0.8138 0.4977

-22 -0.0072 0.0114 -0.9407 0.2912 0.3506 0.7719 -0.0115 0.0014 -1.6349 0.0753 0.1073 0.9402

-21 0.0000 0.0114 0.0046 0.2921 0.9964 0.7712 0.0149 0.0163 2.1275 0.8652 0.0375 0.3904

-20 -0.0071 0.0043 -0.9170 0.1114 0.3628 0.9117 -0.0131 0.0032 -1.8705 0.1708 0.0663 0.8650

-19 -0.0034 0.0010 -0.4357 0.0256 0.6646 0.9797 0.0029 0.0061 0.4112 0.3234 0.6824 0.7475

-18 -0.0067 -0.0057 -0.8736 -0.1465 0.3858 0.8840 0.0016 0.0077 0.2216 0.4057 0.8254 0.6864

-17 0.0070 0.0013 0.9110 0.0329 0.3659 0.9738 0.0105 0.0181 1.4961 0.9612 0.1399 0.3403

-16 -0.0055 -0.0042 -0.7199 -0.1089 0.4744 0.9137 0.0008 0.0189 0.1094 1.0018 0.9133 0.3205

-15 -0.0069 -0.0112 -0.9021 -0.2866 0.3706 0.7754 0.0046 0.0235 0.6579 1.2461 0.5131 0.2176

-14 0.0108 -0.0004 1.4079 -0.0092 0.1643 0.9927 0.0062 0.0297 0.8835 1.5741 0.3805 0.1207

-13 0.0129 0.0126 1.6802 0.3218 0.0981 0.7487 0.0009 0.0306 0.1334 1.6236 0.8943 0.1097

-12 0.0001 0.0127 0.0167 0.3251 0.9867 0.7463 -0.0014 0.0292 -0.2066 1.5469 0.8370 0.1271

-11 0.0048 0.0175 0.6231 0.4478 0.5356 0.6559 0.0062 0.0354 0.8892 1.8770 0.3775 0.0654

-10 -0.0017 0.0158 -0.2202 0.4045 0.8265 0.6873 -0.0057 0.0298 -0.8065 1.5776 0.4231 0.1199

-9 0.0168 0.0326 2.1809 0.8341 0.0331 0.4075 0.0027 0.0324 0.3788 1.7182 0.7062 0.0909

-8 0.0098 0.0423 1.2720 1.0847 0.2083 0.2824 -0.0061 0.0264 -0.8639 1.3975 0.3911 0.1674

-7 -0.0002 0.0422 -0.0218 1.0804 0.9827 0.2843 -0.0129 0.0135 -1.8380 0.7151 0.0710 0.4773

-6 0.0015 0.0437 0.1974 1.1193 0.8442 0.2675 0.0102 0.0237 1.4516 1.2540 0.1518 0.2147

-5 0.0025 0.0462 0.3298 1.1843 0.7427 0.2410 0.0045 0.0282 0.6424 1.4925 0.5230 0.1408

-4 -0.0045 0.0417 -0.5848 1.0691 0.5609 0.2893 0.0005 0.0286 0.0680 1.5178 0.9460 0.1343

-3 0.0063 0.0480 0.8163 1.2299 0.4175 0.2235 0.0069 0.0355 0.9808 1.8819 0.3306 0.0647

-2 0.0222 0.0702 2.8824 1.7977 0.0055 0.0773 0.0024 0.0379 0.3429 2.0092 0.7329 0.0490

-1 0.0093 0.0795 1.2100 2.0361 0.2310 0.0462 -0.0010 0.0369 -0.1394 1.9575 0.8896 0.0549

APPENDICES

254

0 -0.0012 0.0782 -0.1605 2.0045 0.8730 0.0495 0.0096 0.0465 1.3678 2.4653 0.1765 0.0166

1 -0.0007 0.0776 -0.0862 1.9875 0.9316 0.0514 -0.0042 0.0423 -0.5981 2.2432 0.5520 0.0286

2 0.0030 0.0805 0.3869 2.0637 0.7002 0.0434 -0.0035 0.0388 -0.4993 2.0578 0.6194 0.0440

3 -0.0060 0.0745 -0.7842 1.9092 0.4360 0.0610 -0.0072 0.0317 -1.0206 1.6789 0.3116 0.0984

4 0.0109 0.0854 1.4187 2.1887 0.1612 0.0325 -0.0003 0.0314 -0.0411 1.6637 0.9674 0.1014

5 0.0041 0.0895 0.5326 2.2937 0.5962 0.0253 0.0084 0.0398 1.2027 2.1102 0.2338 0.0390

6 -0.0042 0.0853 -0.5504 2.1852 0.5841 0.0328 0.0056 0.0454 0.7961 2.4057 0.4291 0.0192

7 -0.0152 0.0701 -1.9774 1.7957 0.0526 0.0776 -0.0011 0.0443 -0.1542 2.3485 0.8780 0.0222

8 0.0098 0.0799 1.2797 2.0478 0.2056 0.0450 -0.0003 0.0440 -0.0475 2.3309 0.9623 0.0231

9 -0.0007 0.0793 -0.0847 2.0311 0.9328 0.0467 -0.0013 0.0427 -0.1908 2.2600 0.8493 0.0275

10 0.0105 0.0898 1.3677 2.3005 0.1765 0.0249 0.0110 0.0537 1.5748 2.8447 0.1206 0.0061

11 0.0030 0.0928 0.3912 2.3776 0.6971 0.0206 -0.0018 0.0519 -0.2621 2.7474 0.7942 0.0079

12 -0.0007 0.0921 -0.0864 2.3606 0.9314 0.0215 -0.0055 0.0463 -0.7892 2.4544 0.4331 0.0170

13 0.0154 0.1075 2.0028 2.7551 0.0497 0.0078 0.0145 0.0609 2.0721 3.2237 0.0426 0.0020

14 -0.0024 0.1051 -0.3144 2.6932 0.7543 0.0092 -0.0047 0.0561 -0.6729 2.9739 0.5036 0.0042

15 -0.0035 0.1016 -0.4519 2.6042 0.6530 0.0116 -0.0037 0.0524 -0.5324 2.7762 0.5964 0.0073

16 -0.0120 0.0897 -1.5558 2.2977 0.1250 0.0251 -0.0024 0.0500 -0.3411 2.6496 0.7343 0.0103

17 -0.0173 0.0724 -2.2524 1.8539 0.0280 0.0687 0.0045 0.0545 0.6351 2.8854 0.5278 0.0054

18 0.0062 0.0785 0.8039 2.0123 0.4246 0.0487 0.0073 0.0617 1.0372 3.2705 0.3038 0.0018

19 0.0051 0.0836 0.6615 2.1426 0.5108 0.0362 0.0007 0.0624 0.0977 3.3068 0.9225 0.0016

20 0.0054 0.0890 0.7021 2.2809 0.4853 0.0261 -0.0095 0.0529 -1.3592 2.8022 0.1792 0.0068

21 0.0092 0.0982 1.1914 2.5156 0.2382 0.0146 0.0000 0.0529 -0.0006 2.8019 0.9995 0.0068

22 0.0008 0.0990 0.1083 2.5370 0.9141 0.0138 -0.0001 0.0527 -0.0208 2.7942 0.9834 0.0070

23 -0.0008 0.0982 -0.1066 2.5160 0.9155 0.0146 -0.0013 0.0515 -0.1820 2.7266 0.8562 0.0084

24 -0.0102 0.0880 -1.3276 2.2544 0.1893 0.0278 -0.0018 0.0497 -0.2584 2.6307 0.7970 0.0108

25 0.0118 0.0998 1.5368 2.5572 0.1296 0.0131 -0.0158 0.0339 -2.2528 1.7942 0.0279 0.0778

26 -0.0052 0.0946 -0.6778 2.4236 0.5005 0.0184 0.0033 0.0372 0.4692 1.9684 0.6406 0.0536

27 -0.0002 0.0944 -0.0297 2.4178 0.9764 0.0187 0.0093 0.0465 1.3337 2.4636 0.1873 0.0166

28 0.0021 0.0965 0.2740 2.4718 0.7850 0.0163 -0.0027 0.0438 -0.3857 2.3204 0.7011 0.0237

29 0.0041 0.1005 0.5295 2.5761 0.5984 0.0125 -0.0021 0.0417 -0.3041 2.2075 0.7621 0.0311

30 -0.0050 0.0955 -0.6539 2.4473 0.5156 0.0173 -0.0040 0.0377 -0.5639 1.9982 0.5749 0.0502

APPENDICES

255


decisions alone based on GARCH Model:


Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0072 0.0072 0.8188 0.1899 0.4161 0.8501 Events are insufficient for the study

-29 0.0149 0.0221 1.6986 0.5837 0.0946 0.5616

-28 0.0080 0.0301 0.9073 0.7941 0.3679 0.4303

-27 0.0056 0.0357 0.6390 0.9423 0.5253 0.3498

-26 0.0024 0.0381 0.2747 1.0060 0.7845 0.3185

-25 -0.0065 0.0316 -0.7420 0.8339 0.4610 0.4076

-24 -0.0094 0.0222 -1.0688 0.5861 0.2894 0.5600

-23 0.0042 0.0264 0.4827 0.6980 0.6311 0.4879

-22 -0.0074 0.0191 -0.8391 0.5034 0.4048 0.6165

-21 -0.0045 0.0145 -0.5141 0.3843 0.6091 0.7021

-20 -0.0070 0.0075 -0.7971 0.1994 0.4285 0.8426

-19 0.0081 0.0156 0.9198 0.4127 0.3613 0.6813

-18 -0.0012 0.0144 -0.1339 0.3817 0.8939 0.7041

-17 0.0064 0.0208 0.7283 0.5505 0.4693 0.5840

-16 0.0081 0.0290 0.9272 0.7655 0.3575 0.4470

-15 0.0054 0.0343 0.6103 0.9070 0.5440 0.3680

-14 0.0110 0.0454 1.2568 1.1985 0.2137 0.2354

-13 -0.0014 0.0440 -0.1546 1.1626 0.8777 0.2496

-12 -0.0114 0.0326 -1.2999 0.8612 0.1986 0.3926

-11 0.0040 0.0366 0.4595 0.9678 0.6475 0.3371

-10 0.0029 0.0396 0.3330 1.0450 0.7403 0.3002

-9 0.0031 0.0426 0.3496 1.1261 0.7278 0.2646

-8 0.0037 0.0463 0.4244 1.2245 0.6728 0.2256

-7 0.0002 0.0465 0.0204 1.2292 0.9838 0.2238

-6 0.0013 0.0479 0.1533 1.2647 0.8787 0.2109

APPENDICES

256

-5 0.0081 0.0560 0.9265 1.4795 0.3579 0.1442

-4 -0.0059 0.0501 -0.6774 1.3225 0.5008 0.1910

-3 0.0049 0.0550 0.5586 1.4520 0.5785 0.1517

-2 0.0016 0.0566 0.1819 1.4942 0.8563 0.1404

-1 0.0109 0.0675 1.2441 1.7827 0.2183 0.0797

0 0.0024 0.0699 0.2755 1.8466 0.7839 0.0697

1 -0.0021 0.0678 -0.2405 1.7908 0.8108 0.0784

2 -0.0055 0.0623 -0.6213 1.6467 0.5367 0.1048

3 -0.0085 0.0539 -0.9649 1.4230 0.3385 0.1599

4 0.0308 0.0847 3.5128 2.2375 0.0008 0.0290

5 -0.0016 0.0831 -0.1768 2.1965 0.8603 0.0319

6 -0.0051 0.0780 -0.5810 2.0618 0.5634 0.0436

7 0.0034 0.0815 0.3887 2.1519 0.6989 0.0354

8 -0.0001 0.0814 -0.0076 2.1502 0.9939 0.0356

9 0.0072 0.0886 0.8204 2.3404 0.4152 0.0226

10 0.0165 0.1050 1.8752 2.7752 0.0656 0.0073

11 0.0121 0.1172 1.3820 3.0956 0.1721 0.0030

12 0.0153 0.1324 1.7391 3.4989 0.0872 0.0009

13 -0.0012 0.1313 -0.1341 3.4678 0.8938 0.0010

14 -0.0069 0.1243 -0.7901 3.2846 0.4326 0.0017

15 -0.0220 0.1023 -2.5093 2.7028 0.0148 0.0089

16 -0.0034 0.0989 -0.3899 2.6123 0.6980 0.0113

17 0.0045 0.1034 0.5115 2.7310 0.6109 0.0083

18 -0.0022 0.1012 -0.2486 2.6733 0.8046 0.0097

19 0.0023 0.1034 0.2567 2.7328 0.7983 0.0082

20 0.0110 0.1145 1.2572 3.0244 0.2135 0.0037

21 0.0137 0.1282 1.5600 3.3861 0.1240 0.0013

22 -0.0058 0.1223 -0.6641 3.2321 0.5092 0.0020

23 -0.0196 0.1027 -2.2357 2.7137 0.0291 0.0087

24 0.0072 0.1099 0.8152 2.9027 0.4182 0.0052

25 0.0082 0.1180 0.9306 3.1185 0.3558 0.0028

26 -0.0112 0.1068 -1.2779 2.8222 0.2062 0.0065

27 0.0040 0.1108 0.4593 2.9287 0.6477 0.0048

28 0.0030 0.1139 0.3444 3.0085 0.7318 0.0038

29 -0.0060 0.1079 -0.6787 2.8512 0.4999 0.0060

APPENDICES

257

30 0.0003 0.1082 0.0368 2.8597 0.9708 0.0058

Mid. Cap. Dividend Increase alone@50% Mid. Cap. Dividend Decrease alone@50%

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0112 -0.0112 -0.4930 -0.2808 0.6238 0.7798 No event found for final study

-29 -0.0204 -0.0316 -0.8932 -0.7896 0.3753 0.4329

-28 -0.0180 -0.0496 -0.7899 -1.2395 0.4327 0.2200

-27 -0.0104 -0.0600 -0.4558 -1.4991 0.6502 0.1391

-26 -0.0400 -0.1000 -1.7559 -2.4992 0.0842 0.0152

-25 -0.0002 -0.1002 -0.0080 -2.5038 0.9936 0.0150

-24 0.0601 -0.0402 2.6343 -1.0034 0.0107 0.3197

-23 -0.0078 -0.0480 -0.3426 -1.1985 0.7331 0.2354

-22 -0.0085 -0.0565 -0.3744 -1.4118 0.7094 0.1632

-21 -0.0018 -0.0583 -0.0798 -1.4572 0.9367 0.1503

-20 -0.0076 -0.0659 -0.3323 -1.6465 0.7408 0.1049

-19 0.0235 -0.0424 1.0295 -1.0601 0.3074 0.2933

-18 -0.0025 -0.0449 -0.1102 -1.1229 0.9126 0.2660

-17 -0.0084 -0.0533 -0.3679 -1.3324 0.7142 0.1878

-16 -0.0345 -0.0879 -1.5151 -2.1954 0.1350 0.0320

-15 -0.0103 -0.0981 -0.4501 -2.4518 0.6542 0.0171

-14 0.0012 -0.0969 0.0535 -2.4213 0.9575 0.0185

-13 -0.0147 -0.1116 -0.6447 -2.7885 0.5216 0.0071

-12 0.0002 -0.1114 0.0083 -2.7838 0.9934 0.0072

-11 0.0103 -0.1011 0.4522 -2.5262 0.6527 0.0142

-10 -0.0025 -0.1037 -0.1109 -2.5894 0.9120 0.0120

-9 -0.0027 -0.1064 -0.1195 -2.6574 0.9053 0.0101

-8 0.0240 -0.0824 1.0534 -2.0574 0.2964 0.0440

-7 0.0053 -0.0770 0.2341 -1.9241 0.8157 0.0591

-6 -0.0010 -0.0780 -0.0440 -1.9492 0.9650 0.0560

-5 -0.0006 -0.0786 -0.0266 -1.9643 0.9789 0.0541

-4 -0.0164 -0.0951 -0.7210 -2.3750 0.4737 0.0208

-3 -0.0209 -0.1159 -0.9154 -2.8964 0.3637 0.0053

-2 -0.0010 -0.1170 -0.0458 -2.9225 0.9636 0.0049

APPENDICES

258

-1 -0.0014 -0.1184 -0.0599 -2.9566 0.9524 0.0044

0 -0.0075 -0.1259 -0.3299 -3.1445 0.7426 0.0026

1 -0.0113 -0.1372 -0.4957 -3.4268 0.6219 0.0011

2 0.0283 -0.1089 1.2394 -2.7208 0.2200 0.0085

3 0.0182 -0.0907 0.7983 -2.2662 0.4279 0.0271

4 0.0375 -0.0532 1.6463 -1.3284 0.1049 0.1891

5 -0.0181 -0.0713 -0.7947 -1.7811 0.4299 0.0800

6 0.0267 -0.0446 1.1711 -1.1140 0.2462 0.2697

7 0.0248 -0.0197 1.0898 -0.4933 0.2802 0.6236

8 0.0125 -0.0072 0.5495 -0.1803 0.5847 0.8576

9 -0.0097 -0.0170 -0.4272 -0.4236 0.6708 0.6734

10 -0.0085 -0.0254 -0.3722 -0.6356 0.7110 0.5275

11 -0.0140 -0.0394 -0.6119 -0.9841 0.5429 0.3290

12 0.0075 -0.0319 0.3304 -0.7959 0.7422 0.4292

13 0.0296 -0.0023 1.2977 -0.0568 0.1994 0.9549

14 -0.0182 -0.0205 -0.7978 -0.5112 0.4281 0.6111

15 0.0029 -0.0175 0.1288 -0.4378 0.8979 0.6631

16 -0.0071 -0.0246 -0.3101 -0.6144 0.7576 0.5412

17 -0.0197 -0.0443 -0.8627 -1.1058 0.3918 0.2732

18 -0.0090 -0.0533 -0.3948 -1.3307 0.6944 0.1883

19 0.0097 -0.0435 0.4266 -1.0877 0.6712 0.2811

20 0.0027 -0.0409 0.1175 -1.0208 0.9069 0.3114

21 -0.0438 -0.0846 -1.9197 -2.1143 0.0597 0.0387

22 -0.0408 -0.1254 -1.7890 -3.1333 0.0787 0.0027

23 0.0129 -0.1125 0.5652 -2.8113 0.5740 0.0067

24 -0.0078 -0.1203 -0.3418 -3.0060 0.7337 0.0039

25 0.0052 -0.1152 0.2262 -2.8772 0.8218 0.0055

26 0.0750 -0.0402 3.2877 -1.0045 0.0017 0.3192

27 0.0001 -0.0401 0.0065 -1.0008 0.9948 0.3209

28 0.0454 0.0054 1.9920 0.1338 0.0509 0.8940

29 -0.0182 -0.0128 -0.7966 -0.3199 0.4288 0.7501

30 0.0512 0.0384 2.2455 0.9591 0.0284 0.3414


APPENDICES

259

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 0.0126 0.0126 1.9964 0.7671 0.0504 0.4460 -0.0042 -0.0042 -0.2791 -0.0563 0.7812 0.9553

-29 -0.0051 0.0076 -0.8019 0.4590 0.4258 0.6479 -0.0124 -0.0166 -0.8253 -0.2227 0.4125 0.8245

-28 0.0001 0.0076 0.0145 0.4645 0.9885 0.6440 -0.0143 -0.0308 -0.9510 -0.4144 0.3454 0.6800

-27 0.0104 0.0181 1.6480 1.0978 0.1046 0.2767 -0.0014 -0.0323 -0.0966 -0.4339 0.9233 0.6659

-26 -0.0026 0.0154 -0.4174 0.9374 0.6779 0.3523 0.0221 -0.0102 1.4703 -0.1375 0.1467 0.8911

-25 -0.0034 0.0121 -0.5300 0.7337 0.5980 0.4660 0.0033 -0.0070 0.2182 -0.0935 0.8280 0.9259

-24 0.0019 0.0140 0.3052 0.8510 0.7613 0.3982 -0.0064 -0.0133 -0.4256 -0.1793 0.6719 0.8583

-23 -0.0005 0.0135 -0.0768 0.8215 0.9391 0.4146 0.0027 -0.0106 0.1811 -0.1428 0.8569 0.8870

-22 -0.0073 0.0062 -1.1616 0.3751 0.2500 0.7089 -0.0161 -0.0267 -1.0739 -0.3593 0.2872 0.7206

-21 -0.0042 0.0019 -0.6688 0.1182 0.5062 0.9063 0.0111 -0.0157 0.7375 -0.2106 0.4637 0.8339

-20 0.0041 0.0060 0.6470 0.3668 0.5201 0.7151 0.0074 -0.0083 0.4902 -0.1118 0.6258 0.9114

-19 0.0065 0.0126 1.0293 0.7623 0.3075 0.4489 0.0000 -0.0083 0.0032 -0.1111 0.9975 0.9119

-18 -0.0065 0.0061 -1.0195 0.3705 0.3120 0.7123 -0.0085 -0.0168 -0.5668 -0.2254 0.5730 0.8224

-17 -0.0023 0.0038 -0.3608 0.2319 0.7195 0.8174 0.0008 -0.0159 0.0565 -0.2140 0.9551 0.8313

-16 0.0033 0.0071 0.5258 0.4339 0.6009 0.6659 0.0002 -0.0157 0.0130 -0.2114 0.9897 0.8333

-15 0.0042 0.0113 0.6619 0.6883 0.5106 0.4939 0.0097 -0.0060 0.6459 -0.0811 0.5208 0.9356

-14 -0.0077 0.0036 -1.2155 0.2212 0.2289 0.8257 0.0087 0.0026 0.5767 0.0351 0.5663 0.9721

-13 -0.0062 -0.0026 -0.9840 -0.1569 0.3291 0.8759 -0.0085 -0.0058 -0.5639 -0.0786 0.5749 0.9376

-12 0.0082 0.0056 1.3007 0.3429 0.1983 0.7329 -0.0149 -0.0208 -0.9950 -0.2792 0.3237 0.7810

-11 -0.0072 -0.0016 -1.1433 -0.0964 0.2575 0.9235 -0.0085 -0.0293 -0.5665 -0.3934 0.5732 0.6954

-10 -0.0069 -0.0085 -1.0899 -0.5152 0.2801 0.6083 -0.0019 -0.0312 -0.1287 -0.4194 0.8980 0.6764

-9 -0.0003 -0.0088 -0.0518 -0.5351 0.9589 0.5946 -0.0063 -0.0375 -0.4184 -0.5038 0.6772 0.6163

-8 0.0012 -0.0076 0.1840 -0.4644 0.8546 0.6441 0.0068 -0.0306 0.4565 -0.4117 0.6497 0.6820

-7 -0.0031 -0.0108 -0.4949 -0.6545 0.6225 0.5153 -0.0060 -0.0366 -0.3973 -0.4918 0.6926 0.6246

-6 0.0093 -0.0015 1.4685 -0.0903 0.1472 0.9284 -0.0094 -0.0460 -0.6276 -0.6184 0.5326 0.5387

-5 -0.0008 -0.0023 -0.1249 -0.1383 0.9010 0.8905 0.0101 -0.0359 0.6739 -0.4825 0.5029 0.6312

-4 -0.0046 -0.0069 -0.7232 -0.4162 0.4724 0.6788 0.0112 -0.0247 0.7464 -0.3320 0.4583 0.7411

-3 -0.0065 -0.0133 -1.0227 -0.8091 0.3106 0.4216 -0.0124 -0.0371 -0.8277 -0.4989 0.4111 0.6197

-2 -0.0009 -0.0142 -0.1403 -0.8630 0.8889 0.3916 0.0064 -0.0307 0.4269 -0.4128 0.6710 0.6812

-1 0.0099 -0.0043 1.5669 -0.2609 0.1224 0.7951 -0.0155 -0.0462 -1.0353 -0.6215 0.3047 0.5366

0 0.0049 0.0006 0.7771 0.0377 0.4401 0.9701 0.0120 -0.0342 0.8004 -0.4601 0.4267 0.6471

1 0.0060 0.0066 0.9493 0.4025 0.3463 0.6888 -0.0031 -0.0373 -0.2046 -0.5014 0.8386 0.6179

APPENDICES

260

2 0.0142 0.0209 2.2482 1.2663 0.0282 0.2103 -0.0096 -0.0469 -0.6387 -0.6302 0.5254 0.5310

3 -0.0060 0.0149 -0.9434 0.9038 0.3493 0.3697 0.0064 -0.0405 0.4274 -0.5440 0.6706 0.5885

4 -0.0013 0.0136 -0.2027 0.8259 0.8400 0.4121 0.0090 -0.0315 0.5979 -0.4234 0.5522 0.6735

5 -0.0072 0.0064 -1.1332 0.3905 0.2616 0.6975 0.0414 0.0099 2.7610 0.1333 0.0076 0.8944

6 -0.0071 -0.0006 -1.1173 -0.0388 0.2683 0.9692 0.0525 0.0624 3.4978 0.8386 0.0009 0.4050

7 -0.0056 -0.0062 -0.8838 -0.3784 0.3803 0.7064 0.0427 0.1050 2.8433 1.4119 0.0061 0.1631

8 0.0032 -0.0030 0.5130 -0.1813 0.6098 0.8568 0.0051 0.1101 0.3393 1.4803 0.7356 0.1440

9 -0.0034 -0.0064 -0.5429 -0.3899 0.5892 0.6980 -0.0064 0.1037 -0.4293 1.3938 0.6693 0.1685

10 -0.0062 -0.0126 -0.9787 -0.7660 0.3317 0.4467 0.0174 0.1211 1.1584 1.6273 0.2513 0.1089

11 -0.0058 -0.0184 -0.9098 -1.1155 0.3666 0.2691 0.0094 0.1305 0.6287 1.7541 0.5319 0.0845

12 -0.0014 -0.0198 -0.2248 -1.2019 0.8229 0.2341 0.0343 0.1648 2.2841 2.2147 0.0259 0.0306

13 -0.0027 -0.0225 -0.4226 -1.3643 0.6741 0.1776 0.0121 0.1768 0.8051 2.3770 0.4240 0.0207

14 -0.0059 -0.0283 -0.9250 -1.7197 0.3587 0.0906 -0.0117 0.1651 -0.7804 2.2197 0.4382 0.0302

15 -0.0112 -0.0395 -1.7748 -2.4017 0.0810 0.0194 -0.0109 0.1542 -0.7253 2.0734 0.4711 0.0424

16 0.0082 -0.0313 1.2955 -1.9039 0.2001 0.0617 -0.0260 0.1282 -1.7335 1.7239 0.0881 0.0899

17 0.0036 -0.0277 0.5709 -1.6845 0.5702 0.0973 -0.0037 0.1245 -0.2474 1.6740 0.8054 0.0993

18 0.0021 -0.0256 0.3341 -1.5561 0.7394 0.1249 -0.0108 0.1137 -0.7202 1.5287 0.4742 0.1316

19 0.0012 -0.0244 0.1959 -1.4808 0.8453 0.1439 0.0153 0.1290 1.0195 1.7343 0.3120 0.0880

20 0.0030 -0.0213 0.4798 -1.2964 0.6331 0.1998 -0.0044 0.1246 -0.2921 1.6754 0.7712 0.0991

21 -0.0144 -0.0357 -2.2750 -2.1706 0.0265 0.0339 -0.0175 0.1071 -1.1697 1.4396 0.2468 0.1552

22 0.0044 -0.0313 0.6997 -1.9017 0.4868 0.0620 0.0075 0.1146 0.5008 1.5406 0.6183 0.1287

23 0.0084 -0.0229 1.3258 -1.3923 0.1899 0.1690 0.0028 0.1174 0.1876 1.5784 0.8518 0.1197

24 0.0047 -0.0182 0.7479 -1.1049 0.4574 0.2736 0.0006 0.1180 0.0401 1.5865 0.9681 0.1179

25 0.0036 -0.0146 0.5748 -0.8840 0.5675 0.3802 -0.0007 0.1173 -0.0480 1.5768 0.9618 0.1201

26 -0.0123 -0.0269 -1.9443 -1.6311 0.0566 0.1081 0.0101 0.1274 0.6725 1.7124 0.5039 0.0920

27 -0.0059 -0.0328 -0.9366 -1.9910 0.3527 0.0510 -0.0134 0.1139 -0.8963 1.5317 0.3737 0.1309

28 -0.0005 -0.0333 -0.0761 -2.0202 0.9396 0.0478 -0.0021 0.1118 -0.1411 1.5032 0.8883 0.1380

29 -0.0052 -0.0385 -0.8288 -2.3387 0.4105 0.0227 0.0044 0.1162 0.2931 1.5623 0.7704 0.1235

30 0.0126 0.0126 1.9964 0.7671 0.0504 0.4460 -0.0196 0.0966 -1.3050 1.2992 0.1969 0.1988

APPENDICES

261

Appendix 4.11: Calculated AAR, CAAR and corresponding t-values and p- values associated with the events such as, dividend initiation,

omission, based on GARCH Model:

Large Cap. Initiation Large Cap. Omission

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0086 -0.0086 -1.2890 -0.5796 0.2024 0.5644 -0.0007 -0.0007 -0.1004 -0.0163 0.9203 0.9871

-29 -0.0070 -0.0156 -1.0588 -1.0557 0.2939 0.2953 -0.0040 -0.0047 -0.5681 -0.1083 0.5721 0.9141

-28 -0.0087 -0.0243 -1.3064 -1.6432 0.1964 0.1056 0.0030 -0.0017 0.4237 -0.0396 0.6733 0.9685

-27 0.0076 -0.0167 1.1487 -1.1266 0.2552 0.2644 -0.0001 -0.0019 -0.0197 -0.0428 0.9843 0.9660

-26 -0.0014 -0.0181 -0.2079 -1.2201 0.8360 0.2272 0.0087 0.0068 1.2183 0.1544 0.2279 0.8778

-25 -0.0045 -0.0225 -0.6729 -1.5227 0.5036 0.1331 0.0062 0.0130 0.8759 0.2963 0.3846 0.7680

-24 0.0106 -0.0119 1.5934 -0.8062 0.1163 0.4233 -0.0046 0.0084 -0.6479 0.1914 0.5195 0.8489

-23 0.0032 -0.0087 0.4881 -0.5867 0.6273 0.5596 -0.0012 0.0072 -0.1731 0.1633 0.8632 0.8708

-22 0.0021 -0.0065 0.3205 -0.4426 0.7497 0.6597 0.0012 0.0083 0.1665 0.1903 0.8684 0.8497

-21 -0.0068 -0.0134 -1.0283 -0.9050 0.3080 0.3691 -0.0026 0.0058 -0.3621 0.1317 0.7185 0.8957

-20 0.0030 -0.0104 0.4501 -0.7026 0.6543 0.4850 -0.0022 0.0036 -0.3114 0.0812 0.7565 0.9355

-19 0.0018 -0.0086 0.2666 -0.5827 0.7907 0.5623 0.0007 0.0043 0.1029 0.0979 0.9184 0.9223

-18 -0.0010 -0.0096 -0.1522 -0.6512 0.8795 0.5174 0.0162 0.0205 2.2853 0.4680 0.0258 0.6415

-17 0.0048 -0.0048 0.7217 -0.3266 0.4733 0.7451 -0.0031 0.0174 -0.4378 0.3971 0.6631 0.6927

-16 -0.0014 -0.0062 -0.2106 -0.4214 0.8339 0.6750 -0.0022 0.0152 -0.3075 0.3473 0.7596 0.7296

-15 -0.0020 -0.0083 -0.3079 -0.5598 0.7592 0.5777 -0.0011 0.0142 -0.1510 0.3228 0.8805 0.7479

-14 0.0083 0.0000 1.2480 0.0014 0.2169 0.9989 0.0106 0.0247 1.4874 0.5637 0.1422 0.5751

-13 -0.0063 -0.0063 -0.9497 -0.4257 0.3461 0.6719 -0.0060 0.0188 -0.8377 0.4280 0.4055 0.6702

-12 -0.0004 -0.0067 -0.0670 -0.4558 0.9468 0.6502 -0.0079 0.0108 -1.1169 0.2472 0.2685 0.8056

-11 -0.0007 -0.0074 -0.0985 -0.5001 0.9219 0.6188 0.0050 0.0158 0.7009 0.3607 0.4861 0.7196

-10 0.0010 -0.0064 0.1461 -0.4344 0.8843 0.6656 -0.0067 0.0091 -0.9418 0.2082 0.3501 0.8358

-9 0.0117 0.0053 1.7605 0.3573 0.0834 0.7221 0.0068 0.0159 0.9546 0.3627 0.3436 0.7181

-8 -0.0011 0.0042 -0.1701 0.2808 0.8655 0.7799 -0.0049 0.0110 -0.6914 0.2508 0.4920 0.8028

-7 0.0010 0.0052 0.1509 0.3486 0.8806 0.7286 -0.0109 0.0001 -1.5277 0.0034 0.1318 0.9973

-6 0.0057 0.0109 0.8625 0.7365 0.3918 0.4643 0.0008 0.0010 0.1181 0.0225 0.9064 0.9821

-5 0.0086 0.0195 1.2867 1.3150 0.2032 0.1935 0.0023 0.0033 0.3237 0.0749 0.7473 0.9405

-4 0.0072 0.0267 1.0852 1.8030 0.2822 0.0764 0.0012 0.0045 0.1650 0.1017 0.8695 0.9194

APPENDICES

262

-3 0.0044 0.0311 0.6658 2.1024 0.5081 0.0397 0.0035 0.0079 0.4911 0.1812 0.6251 0.8568

-2 0.0089 0.0400 1.3305 2.7007 0.1884 0.0090 -0.0007 0.0072 -0.1012 0.1648 0.9198 0.8697

-1 -0.0085 0.0315 -1.2747 2.1275 0.2073 0.0375 -0.0013 0.0059 -0.1875 0.1344 0.8519 0.8935

0 -0.0001 0.0314 -0.0170 2.1199 0.9865 0.0382 0.0109 0.0168 1.5282 0.3819 0.1317 0.7039

1 -0.0066 0.0247 -0.9984 1.6710 0.3221 0.0999 0.0190 0.0357 2.6712 0.8145 0.0097 0.4186

2 -0.0005 0.0242 -0.0812 1.6345 0.9356 0.1074 0.0200 0.0557 2.8105 1.2696 0.0067 0.2091

3 -0.0229 0.0013 -3.4351 0.0898 0.0011 0.9287 0.0098 0.0655 1.3806 1.4931 0.1725 0.1406

4 0.0010 0.0023 0.1511 0.1578 0.8804 0.8752 0.0101 0.0756 1.4285 1.7244 0.1583 0.0898

5 0.0015 0.0038 0.2243 0.2587 0.8233 0.7968 0.0058 0.0815 0.8221 1.8576 0.4143 0.0681

6 -0.0013 0.0025 -0.2006 0.1684 0.8417 0.8668 0.0006 0.0821 0.0811 1.8707 0.9356 0.0663

7 -0.0036 -0.0011 -0.5365 -0.0728 0.5936 0.9422 0.0028 0.0849 0.3985 1.9353 0.6916 0.0577

8 -0.0018 -0.0029 -0.2695 -0.1940 0.7884 0.8468 0.0045 0.0894 0.6400 2.0389 0.5246 0.0459

9 0.0037 0.0008 0.5547 0.0554 0.5812 0.9560 -0.0027 0.0867 -0.3860 1.9764 0.7009 0.0527

10 0.0026 0.0034 0.3880 0.2299 0.6994 0.8190 -0.0025 0.0842 -0.3530 1.9192 0.7253 0.0597

11 -0.0056 -0.0022 -0.8421 -0.1488 0.4031 0.8822 -0.0003 0.0839 -0.0393 1.9129 0.9688 0.0605

12 0.0023 0.0001 0.3419 0.0050 0.7336 0.9960 0.0114 0.0954 1.6115 2.1738 0.1123 0.0337

13 0.0070 0.0070 1.0449 0.4748 0.3003 0.6366 0.0001 0.0955 0.0132 2.1760 0.9895 0.0335

14 0.0137 0.0207 2.0542 1.3985 0.0443 0.1671 -0.0009 0.0946 -0.1219 2.1562 0.9034 0.0351

15 -0.0011 0.0196 -0.1608 1.3262 0.8728 0.1898 -0.0069 0.0876 -0.9773 1.9980 0.3323 0.0503

16 0.0056 0.0252 0.8391 1.7036 0.4047 0.0936 0.0018 0.0894 0.2503 2.0385 0.8032 0.0459

17 -0.0097 0.0155 -1.4566 1.0486 0.1504 0.2986 0.0073 0.0968 1.0333 2.2058 0.3056 0.0312

18 -0.0124 0.0031 -1.8608 0.2119 0.0677 0.8329 -0.0073 0.0894 -1.0318 2.0387 0.3063 0.0459

19 0.0032 0.0063 0.4771 0.4264 0.6350 0.6713 -0.0008 0.0886 -0.1174 2.0197 0.9069 0.0479

20 0.0009 0.0072 0.1313 0.4854 0.8960 0.6291 0.0162 0.1048 2.2794 2.3888 0.0262 0.0201

21 0.0089 0.0161 1.3339 1.0852 0.1873 0.2822 -0.0066 0.0982 -0.9286 2.2384 0.3568 0.0289

22 -0.0024 0.0137 -0.3621 0.9224 0.7186 0.3600 -0.0007 0.0975 -0.0949 2.2231 0.9247 0.0300

23 0.0037 0.0174 0.5559 1.1724 0.5804 0.2457 0.0088 0.1063 1.2420 2.4242 0.2191 0.0184

24 -0.0065 0.0108 -0.9827 0.7305 0.3297 0.4679 0.0041 0.1104 0.5777 2.5177 0.5656 0.0145

25 -0.0134 -0.0026 -2.0097 -0.1732 0.0490 0.8631 0.0016 0.1121 0.2322 2.5554 0.8171 0.0132

26 -0.0046 -0.0072 -0.6978 -0.4870 0.4880 0.6280 0.0095 0.1216 1.3351 2.7715 0.1869 0.0074

27 0.0024 -0.0048 0.3616 -0.3244 0.7189 0.7468 -0.0022 0.1194 -0.3065 2.7219 0.7603 0.0085

28 -0.0080 -0.0128 -1.2078 -0.8675 0.2319 0.3891 -0.0071 0.1123 -0.9942 2.5609 0.3241 0.0130

29 -0.0019 -0.0147 -0.2857 -0.9960 0.7761 0.3233 -0.0063 0.1060 -0.8861 2.4174 0.3791 0.0187

30 0.0003 -0.0144 0.0443 -0.9760 0.9648 0.3330 -0.0138 0.0922 -1.9469 2.1022 0.0562 0.0397

Mid Cap. Dividend Initiation Mid Cap. Dividend Omission

APPENDICES

263

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)


-29 -0.0109 0.0131 -0.7686 0.4305 0.4451 0.6684

-28 -0.0019 0.0060 -0.1362 0.1972 0.8921 0.8444

-27 -0.0090 -0.0235 -0.6316 -0.7707 0.5301 0.4439

-26 -0.0223 -0.0428 -1.5743 -1.4033 0.1207 0.1657

-25 -0.0008 -0.0459 -0.0593 -1.5059 0.9529 0.1373

-24 0.0483 -0.0516 3.4049 -1.6930 0.0012 0.0956

-23 0.0005 -0.0466 0.0354 -1.5282 0.9719 0.1317

-22 -0.0011 -0.0443 -0.0748 -1.4543 0.9406 0.1511

-21 0.0041 -0.0113 0.2924 -0.3705 0.7710 0.7124

-20 0.0099 -0.0029 0.6974 -0.0946 0.4882 0.9250

-19 -0.0028 -0.0127 -0.2000 -0.4176 0.8421 0.6778

-18 0.0030 -0.0263 0.2085 -0.8615 0.8355 0.3924

-17 -0.0048 -0.0228 -0.3393 -0.7489 0.7356 0.4569

-16 -0.0069 -0.0326 -0.4867 -1.0704 0.6283 0.2887

-15 0.0163 -0.0118 1.1484 -0.3863 0.2554 0.7006

-14 -0.0127 -0.0157 -0.8943 -0.5146 0.3747 0.6087

-13 0.0050 0.0121 0.3547 0.3969 0.7241 0.6928

-12 -0.0007 0.0151 -0.0466 0.4961 0.9630 0.6216

-11 -0.0116 0.0039 -0.8179 0.1281 0.4167 0.8985

-10 -0.0204 -0.0210 -1.4373 -0.6900 0.1558 0.4928

-9 0.0034 -0.0128 0.2379 -0.4206 0.8127 0.6756

-8 -0.0197 -0.0249 -1.3901 -0.8156 0.1696 0.4179

-7 -0.0098 -0.0298 -0.6894 -0.9760 0.4932 0.3330

-6 -0.0093 -0.0473 -0.6580 -1.5501 0.5130 0.1264

-5 -0.0250 -0.0611 -1.7669 -2.0043 0.0823 0.0496

-4 -0.0154 -0.0766 -1.0896 -2.5142 0.2802 0.0146

-3 -0.0096 -0.0842 -0.6754 -2.7625 0.5020 0.0076

-2 0.0011 -0.0837 0.0757 -2.7449 0.9399 0.0080

-1 -0.0129 -0.0854 -0.9137 -2.8015 0.3646 0.0068

0 0.0072 -0.0704 0.5081 -2.3085 0.6133 0.0244

1 -0.0040 -0.0586 -0.2834 -1.9212 0.7778 0.0595

APPENDICES

264

2 -0.0019 -0.0578 -0.1350 -1.8961 0.8931 0.0628

3 0.0172 -0.0213 1.2113 -0.6980 0.2305 0.4878

4 -0.0055 -0.0184 -0.3875 -0.6039 0.6997 0.5482

5 -0.0181 -0.0181 -1.2749 -0.5949 0.2073 0.5542

6 -0.0098 -0.0120 -0.6906 -0.3924 0.4925 0.6962

7 0.0055 -0.0121 0.3879 -0.3977 0.6995 0.6922

8 0.0189 0.0075 1.3362 0.2454 0.1865 0.8070

9 0.0126 0.0321 0.8883 1.0527 0.3779 0.2967

10 -0.0072 0.0140 -0.5049 0.4597 0.6155 0.6474

11 -0.0118 -0.0030 -0.8304 -0.1000 0.4096 0.9206

12 -0.0099 -0.0199 -0.6973 -0.6532 0.4883 0.5161

13 -0.0248 -0.0370 -1.7519 -1.2122 0.0849 0.2302

14 -0.0033 -0.0373 -0.2319 -1.2228 0.8174 0.2262

15 -0.0172 -0.0554 -1.2134 -1.8184 0.2298 0.0740

16 -0.0240 -0.0654 -1.6920 -2.1442 0.0958 0.0361

17 -0.0238 -0.0734 -1.6804 -2.4084 0.0981 0.0191

18 -0.0016 -0.0832 -0.1130 -2.7306 0.9104 0.0083

19 -0.0029 -0.0783 -0.2072 -2.5672 0.8365 0.0128

20 0.0070 -0.0456 0.4912 -1.4957 0.6251 0.1400

21 -0.0036 -0.0646 -0.2518 -2.1201 0.8020 0.0381

22 -0.0017 -0.0611 -0.1221 -2.0042 0.9032 0.0496

23 -0.0195 -0.0789 -1.3741 -2.5884 0.1745 0.0121

24 0.0013 -0.0549 0.0946 -1.8023 0.9249 0.0765

25 -0.0137 -0.0640 -0.9668 -2.0982 0.3375 0.0401

26 0.0032 -0.0543 0.2242 -1.7825 0.8234 0.0797

27 0.0073 -0.0591 0.5143 -1.9403 0.6089 0.0571

28 -0.0014 -0.0674 -0.0962 -2.2113 0.9237 0.0308

29 0.0458 -0.0648 3.2293 -2.1259 0.0020 0.0376

30 -0.0181 -0.0719 -1.2769 -2.3584 0.2065 0.0216

Small Cap. Dividend Initiation Small Cap. Dividend Omission

Days AAR CAAR

t-stat.

(AAR)

t-stat.

(CAAR) p-stat

(AAR)

p-stat

(CAAR) AAR CAAR

t-stat.

(AAR) t-stat

(CAAR)

p-stat

(AAR)

p-stat

(CAAR)

-30 -0.0025 -0.0025 -0.3897 -0.0499 0.6981 0.9603 -0.0080 -0.0080 -0.8723 -0.2099 0.3865 0.8344

-29 0.0015 -0.0009 0.2429 -0.0188 0.8089 0.9851 0.0059 -0.0021 0.6414 -0.0556 0.5237 0.9559

APPENDICES

265

-28 -0.0005 -0.0015 -0.0862 -0.0298 0.9316 0.9763 -0.0061 -0.0083 -0.6658 -0.2158 0.5081 0.8299

-27 0.0144 0.0129 2.2679 0.2607 0.0270 0.7952 -0.0027 -0.0110 -0.2978 -0.2875 0.7669 0.7747

-26 0.0044 0.0173 0.6922 0.3493 0.4915 0.7280 0.0048 -0.0062 0.5256 -0.1610 0.6011 0.8726

-25 -0.0043 0.0130 -0.6765 0.2627 0.5013 0.7937 -0.0090 -0.0152 -0.9758 -0.3959 0.3331 0.6936

-24 -0.0071 0.0059 -1.1148 0.1199 0.2694 0.9050 -0.0116 -0.0268 -1.2576 -0.6985 0.2134 0.4875

-23 0.0050 0.0110 0.7880 0.2208 0.4338 0.8260 -0.0010 -0.0278 -0.1075 -0.7244 0.9148 0.4716

-22 0.0146 0.0255 2.2958 0.5149 0.0252 0.6085 -0.0058 -0.0336 -0.6339 -0.8770 0.5286 0.3840

-21 0.0094 0.0350 1.4860 0.7053 0.1425 0.4834 -0.0018 -0.0354 -0.1916 -0.9231 0.8487 0.3597

-20 0.0046 0.0396 0.7212 0.7977 0.4736 0.4282 0.0120 -0.0234 1.3033 -0.6094 0.1974 0.5446

-19 -0.0017 0.0379 -0.2659 0.7636 0.7912 0.4481 0.0024 -0.0210 0.2553 -0.5479 0.7994 0.5858

-18 -0.0003 0.0376 -0.0502 0.7572 0.9601 0.4519 -0.0056 -0.0266 -0.6095 -0.6946 0.5445 0.4900

-17 -0.0056 0.0320 -0.8741 0.6452 0.3855 0.5213 0.0045 -0.0221 0.4884 -0.5771 0.6270 0.5660

-16 0.0029 0.0349 0.4551 0.7035 0.6507 0.4845 0.0041 -0.0180 0.4459 -0.4698 0.6573 0.6402

-15 0.0033 0.0381 0.5125 0.7691 0.6102 0.4448 -0.0028 -0.0208 -0.3073 -0.5437 0.7597 0.5886

-14 -0.0035 0.0347 -0.5464 0.6991 0.5868 0.4872 0.0175 -0.0033 1.8980 -0.0870 0.0625 0.9310

-13 0.0009 0.0356 0.1451 0.7177 0.8851 0.4757 -0.0059 -0.0092 -0.6358 -0.2400 0.5274 0.8112

-12 0.0084 0.0440 1.3229 0.8872 0.1909 0.3785 -0.0090 -0.0182 -0.9782 -0.4754 0.3319 0.6362

-11 -0.0027 0.0413 -0.4210 0.8333 0.6753 0.4080 0.0050 -0.0132 0.5418 -0.3450 0.5900 0.7313

-10 0.0099 0.0512 1.5539 1.0323 0.1255 0.3061 0.0072 -0.0060 0.7850 -0.1561 0.4356 0.8765

-9 0.0030 0.0542 0.4793 1.0937 0.6334 0.2784 0.0052 -0.0007 0.5678 -0.0194 0.5723 0.9846

-8 0.0008 0.0550 0.1243 1.1096 0.9015 0.2716 0.0003 -0.0005 0.0288 -0.0125 0.9771 0.9901

-7 0.0029 0.0579 0.4551 1.1679 0.6507 0.2475 0.0081 0.0077 0.8822 0.1998 0.3812 0.8423

-6 0.0015 0.0594 0.2320 1.1977 0.8174 0.2358 0.0037 0.0114 0.4059 0.2975 0.6862 0.7671

-5 0.0053 0.0647 0.8352 1.3046 0.4069 0.1970 -0.0084 0.0030 -0.9083 0.0789 0.3673 0.9373

-4 0.0012 0.0659 0.1895 1.3289 0.8503 0.1889 0.0114 0.0144 1.2379 0.3769 0.2206 0.7076

-3 0.0152 0.0811 2.3926 1.6354 0.0199 0.1072 0.0068 0.0212 0.7356 0.5539 0.4648 0.5817

-2 0.0146 0.0957 2.2937 1.9292 0.0253 0.0584 0.0230 0.0442 2.4940 1.1541 0.0154 0.2530

-1 0.0126 0.1083 1.9801 2.1829 0.0523 0.0330 0.0205 0.0647 2.2173 1.6878 0.0304 0.0966

0 0.0045 0.1128 0.7131 2.2743 0.4785 0.0265 0.0075 0.0722 0.8154 1.8840 0.4181 0.0644

1 -0.0120 0.1008 -1.8904 2.0321 0.0635 0.0466 -0.0170 0.0552 -1.8460 1.4397 0.0698 0.1551

2 -0.0033 0.0975 -0.5121 1.9665 0.6105 0.0539 -0.0153 0.0399 -1.6534 1.0418 0.1035 0.3017

3 -0.0010 0.0965 -0.1632 1.9456 0.8709 0.0564 -0.0084 0.0316 -0.9055 0.8239 0.3688 0.4133

4 0.0049 0.1014 0.7725 2.0445 0.4428 0.0453 0.0111 0.0427 1.1997 1.1126 0.2350 0.2703

5 0.0059 0.1073 0.9330 2.1641 0.3545 0.0344 0.0028 0.0455 0.3088 1.1869 0.7585 0.2399

APPENDICES

266

6 0.0047 0.1120 0.7399 2.2589 0.4622 0.0275 0.0043 0.0498 0.4661 1.2991 0.6428 0.1989

7 -0.0036 0.1084 -0.5661 2.1863 0.5734 0.0327 -0.0072 0.0426 -0.7830 1.1107 0.4367 0.2711

8 0.0034 0.1119 0.5401 2.2555 0.5911 0.0278 -0.0057 0.0368 -0.6210 0.9612 0.5370 0.3403

9 0.0000 0.1119 -0.0017 2.2553 0.9987 0.0278 -0.0016 0.0353 -0.1685 0.9207 0.8667 0.3609

10 0.0044 0.1162 0.6897 2.3437 0.4930 0.0224 0.0047 0.0400 0.5137 1.0443 0.6094 0.3005

11 0.0000 0.1162 -0.0016 2.3435 0.9987 0.0224 0.0006 0.0406 0.0658 1.0601 0.9478 0.2933

12 0.0058 0.1220 0.9138 2.4605 0.3645 0.0168 0.0048 0.0455 0.5248 1.1864 0.6017 0.2401

13 0.0117 0.1338 1.8478 2.6972 0.0696 0.0091 -0.0004 0.0451 -0.0404 1.1767 0.9679 0.2440

14 -0.0064 0.1274 -0.9995 2.5692 0.3215 0.0127 0.0253 0.0704 2.7381 1.8357 0.0081 0.0714

15 0.0143 0.1417 2.2555 2.8581 0.0278 0.0059 -0.0073 0.0631 -0.7881 1.6460 0.4337 0.1050

16 -0.0003 0.1414 -0.0524 2.8514 0.9584 0.0060 -0.0050 0.0581 -0.5380 1.5165 0.5926 0.1346

17 -0.0024 0.1390 -0.3750 2.8034 0.7090 0.0068 -0.0030 0.0551 -0.3292 1.4373 0.7432 0.1558

18 -0.0028 0.1362 -0.4416 2.7468 0.6604 0.0079 -0.0095 0.0456 -1.0307 1.1892 0.3068 0.2390

19 0.0033 0.1395 0.5179 2.8131 0.6064 0.0066 0.0070 0.0526 0.7559 1.3712 0.4526 0.1754

20 0.0012 0.1408 0.1966 2.8383 0.8448 0.0062 0.0111 0.0637 1.2036 1.6608 0.2335 0.1020

21 0.0063 0.1471 0.9994 2.9664 0.3216 0.0043 0.0046 0.0682 0.4940 1.7797 0.6231 0.0802

22 -0.0043 0.1428 -0.6824 2.8789 0.4976 0.0055 -0.0005 0.0677 -0.0580 1.7658 0.9540 0.0825

23 -0.0076 0.1352 -1.1992 2.7253 0.2351 0.0084 0.0111 0.0788 1.2042 2.0556 0.2333 0.0442

24 0.0037 0.1388 0.5790 2.7995 0.5648 0.0069 -0.0005 0.0783 -0.0579 2.0416 0.9540 0.0456

25 0.0041 0.1429 0.6390 2.8813 0.5253 0.0055 -0.0036 0.0747 -0.3853 1.9489 0.7014 0.0560

26 0.0098 0.1527 1.5375 3.0783 0.1294 0.0031 -0.0046 0.0701 -0.4947 1.8298 0.6226 0.0722

27 -0.0024 0.1503 -0.3755 3.0302 0.7086 0.0036 0.0029 0.0730 0.3125 1.9051 0.7557 0.0616

28 -0.0029 0.1474 -0.4587 2.9714 0.6481 0.0043 0.0078 0.0808 0.8446 2.1083 0.4017 0.0392

29 -0.0084 0.1390 -1.3168 2.8027 0.1929 0.0068 0.0039 0.0848 0.4270 2.2111 0.6709 0.0309

30 -0.0091 0.1299 -1.4256 2.6201 0.1592 0.0111 0.0260 0.1107 2.8141 2.8884 0.0066 0.0054

APPENDICES

267

Appendix 4.12 A: 10- days mean CAARa, variance and standard deviation pre and post event Period during event

window of 61 days based on GARCH Model:

Event

categorization

on the basis of

% change

dividend

Pre event period Post event period

Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Dividend

increase

along with

financial

results

(Large

Cap.)

@10%

Mean 0.007781 -0.00905 -0.00286 -0.01981 -0.03479 -0.04092

Var. 0.0001 5.35E-05 1.51E-05 2.73E-05 3.4E-05 5.22E-05

SD 0.010007 0.007312 0.003885 0.005228 0.005833 0.007226

@15%

Mean -0.00746 -0.00756 -0.0042 -0.03801 -0.04621 -0.04869

Var. 1.84E-05 1.01E-05 3.8E-05 1.82E-05 1.08E-05 1.94E-05

SD 0.004291 0.00318 0.006167 0.00427 0.00329 0.004404

@20%

Mean -0.01315 -0.00681 0.011445 0.008525 0.025189 0.077048

Var. 7.58E-05 0.000317 0.0001 0.000123 0.000495 0.000166

SD 0.008707 0.017811 0.010016 0.01109 0.022247 0.012877

@25% Mean 0.00329 0.019642 0.010082 0.004272 0.002859 -0.00561

APPENDICES

268

Var. 6.81E-05 5.88E-06 1.92E-05 6.13E-05 2.34E-05 6.29E-05

SD 0.00825 0.002424 0.004377 0.007828 0.004841 0.00793

@50%

Mean

0.002258 0.022492 0.008158 0.011653 0.022997 0.03297

Var.

2.14E-05 1.67E-05 4.96E-05 8.57E-06 5.82E-05 2.87E-05

SD 0.004623 0.00409 0.007041 0.002928 0.007628 0.00536

Dividend

decrease

along with

financial

results

(Large

Cap.)

10%

Mean

0.024568 0.042481 0.037661 0.043253 0.064271 0.093095

Var.

0.000178 0.000193 0.000134 6.78E-05 0.000141 6.44E-05

SD 0.013343 0.01391 0.011588 0.008236 0.011892 0.008023

15%

Mean

-0.00082 0.003948 0.017537 0.031451 -8.2E-05 0.057943

Var.

7.48E-05 0.000112 0.000238 4.27E-05 0.000346 5.43E-05

SD 0.008647 0.010575 0.015433 0.006538 0.018611 0.007367

20%

Mean

-0.00755 0.073268 0.064606 0.077838 0.086877 0.090564

Var.

0.000784 0.000756 0.000237 8.02E-05 0.000102 5.45E-05

SD 0.028001 0.027494 0.015383 0.008953 0.010095 0.007384

25% Mean

0.010832 0.004665 -0.0031 -0.00425 0.024155 0.058808

Var.

4.03E-05 7.05E-05 4.72E-05 0.000103 3.8E-05 2.8E-05

APPENDICES

269

SD 0.006346 0.008395 0.00687 0.010127 0.006163 0.005291

50%

Mean

-0.0107 -0.01445 -0.03825 -0.01716 -0.0209 -0.02601

Var.

7.18E-05 7.23E-05 4.71E-05 0.000197 1.75E-05 6.17E-05

SD 0.008476 0.008505 0.006866 0.014038 0.004187 0.007858

APPENDICES

270

Appendix 12 B: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based

on GARCH Model:

Event

categorization

on the basis of

% change

dividend


Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Dividend

increase

Along with

financial

results

(Mid Cap)

@10%

Mean -0.00225 -0.01957 -0.02078 -0.01744 -0.02251 -0.02935

Var. 8.62E-05 5.97E-05 0.000162 0.000238 0.000309 0.000176

SD 0.009286 0.007725 0.012741 0.015433 0.01759 0.013248

@15%

Mean -0.00333 0.016482 0.039755 0.010624 0.009835 -0.00017

Var. 0.000168 0.000111 0.000394 0.000156 0.000286 0.000207

SD 0.012956 0.010535 0.01986 0.012493 0.016899 0.014385

@20%

Mean 0.035412 0.074769 0.093043 0.093996 0.009005 0.004558

Var. 0.000402 0.000138 0.000135 0.000772 0.000275 9.22E-05

SD 0.020062 0.011747 0.011631 0.027783 0.01658 0.0096

@25%

Mean 0.026139 0.07657 0.146015 0.156711 0.158707 0.180501

Var. 0.000238 0.000831 0.000536 2.42E-05 9.64E-05 2.16E-05

SD 0.015425 0.028827 0.023156 0.004914 0.009818 0.004648

APPENDICES

271

@50%

Mean

0.018204 0.037394 0.060962 0.056663 0.007721 -0.00449

Var.

0.000261 7.32E-05 4.89E-05 0.001609 0.000248 1.69E-05

SD 0.016168 0.008554 0.006996 0.040107 0.015762 0.004108

Dividend

decrease

along with

financial

results

(Mid Cap.)

10%

Mean Events are not sufficient for final study

Var.

SD

15%

Mean


Var.

SD

20%

Mean


Var.

SD

25%

Mean

0.052405 0.103275 0.132527 0.185046 0.219319 0.24348

Var.

0.0012 0.000317 0.000903 0.000182 0.00053 0.000629

SD 0.034636 0.017815 0.030057 0.013486 0.02302 0.025085

50%

Mean

0.150745 0.21836 0.166796 0.069157 0.046739 0.037496

Var.

0.003537 0.003077 0.000653 0.000626 0.000161 6.78E-05

SD 0.05947 0.055468 0.025544 0.02501 0.012697 0.008233

APPENDICES

272

Appendix 12 C: 10- days mean CAAR

a, variance and standard deviation pre and post event Period during event window of 61 days

Based on GARCH Model:

Event

categorizat

ion on the

basis of %

change

dividend


Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Dividend

increase

Along with

financial

results

(Small

Cap.)

@10%

Mean 0.010597 0.029619 0.055483 0.0483 0.041559 0.031655

Var. 7.25E-05 6.44E-05 1.34E-05 8.68E-05 3.77E-05 0.00013

SD 0.008517 0.008026 0.00366 0.009314 0.006139 0.011387

@15%

Mean -0.02354 -0.02744 -0.02322 -0.0126 -0.03827 -0.03196

Var. 0.000348 0.00022 9.65E-05 3.36E-05 6.37E-05 2.6E-05

SD 0.018651 0.014832 0.009822 0.005794 0.00798 0.005098

@20%

Mean -0.01549 -0.01079 0.011112 0.074936 0.04577 0.046934

Var. 4.75E-05 0.000144 5.77E-05 6.07E-05 0.000646 1.55E-05

SD 0.006893 0.01199 0.007597 0.00779 0.025422 0.003936

@25% Mean 0.002521 0.000918 0.021769 0.055209 0.055637 0.06361

APPENDICES

273

Var. 5.88E-05 2.16E-05 0.000239 5.32E-05 9.96E-06 2.07E-05

SD 0.007669 0.004643 0.015472 0.007295 0.003157 0.004555

@50%

Mean

0.002598 0.02189 0.039404 0.054838 0.047977 0.042441

Var.

1.29E-05 4.14E-05 0.000101 2.81E-05 1.84E-05 1.33E-05

SD 0.003589 0.006437 0.010034 0.005297 0.004288 0.00365

Dividend

decrease

along with

financial

results

(Small

Cap.)

10%

Mean

0.02278 0.037427 0.213194 0.334803 0.394442 0.484694

Var.

0.002723 0.001012 0.003584 0.00177 0.002378 0.000518

SD 0.052183 0.031808 0.059868 0.042077 0.048764 0.022768

15%

Mean

-0.00539 -0.02072 0.007398 -0.05693 -0.11208 -0.11947

Var.

0.000279 0.000237 0.000139 0.000292 2.92E-05 0.000231

SD 0.016716 0.01539 0.011798 0.017095 0.005407 0.015185

20%

Mean

0.00566 0.029242 0.054547 0.104327 0.144213 0.169874

Var.

0.000105 0.000269 0.000105 0.000746 0.000152 0.000413

SD 0.01024 0.016409 0.010244 0.027318 0.012339 0.02033

25% Mean

0.024221 0.025992 0.044411 0.048459 0.029844 0.012423

Var.

8.2E-05 0.000134 1.05E-05 5.74E-05 0.000277 2.01E-05

APPENDICES

274

SD 0.009054 0.011577 0.003238 0.007573 0.016641 0.004489

50%

Mean

0.009309 0.00812 0.016744 0.052338 0.058245 0.044715

Var.

6.5E-05 5.47E-05 0.000117 1.06E-05 2.36E-05 9.49E-06

SD 0.008064 0.007397 0.010838 0.00325 0.004856 0.003081

APPENDICES

275

Appendix 4.13A: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based

on GARCH Model: Event

categorizat

ion on the

basis of %

change

dividend


Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Dividend

increase

alone

(Large

Cap.)

@10%

Mean

Events are insufficient for final study

Var.

SD

@15%

Mean


Var.

SD

@20%

Mean -0.01046 -0.00936 0.013729 0.051952 0.079571 0.076389

Var. 4.4E-05 5.66E-05 9.69E-05 9.33E-05 0.000434 0.001161

SD 0.006636 0.007526 0.009843 0.009658 0.02084 0.03407

@25%

Mean 0.01925 0.019511 0.008657 0.013551 0.024957 0.013971

Var. 4.59E-05 7.7E-05 0.000421 0.00015 5.5E-05 0.000127

SD 0.006778 0.008774 0.020529 0.012247 0.007416 0.011249

@50% Mean

0.024684 0.028035 0.050795 0.078629 0.112881 0.11288

Var.

9.25E-05 0.000167 6.62E-05 0.000207 0.000166 6.11E-05

APPENDICES

276

SD 0.009619 0.012913 0.008139 0.014401 0.012894 0.007817

Dividend

decrease

alone

(Large

Cap.)

10%

Mean


Var.

SD

15%

Mean Events are not sufficient to be included in final study

Var.

SD

20%

Mean

Events are not sufficient to be included in final study Var.

SD

25%

Mean

0.006168 0.067489 0.092633 0.099886 0.1119 0.114296

Var.

0.000202 0.000304 0.000148 5.62E-05 3.83E-05 0.000549

SD 0.014203 0.017447 0.012164 0.007497 0.006188 0.023437

50%

Mean


Var.

SD

APPENDICES

277

Appendix 4.13B: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based

on GARCH Model:

Event

categorizat

ion on the

basis of %

change

dividend


Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Dividend

alone

increase

(Mid Cap)

@10%

Mean


Var.

SD

@15%

Mean -0.01846 -0.03533 -0.00614 -0.09317 -0.08048 -0.02058

Var. 0.000134 0.00033 0.001253 0.000232 0.00117 0.000252

SD 0.011574 0.018162 0.035402 0.015228 0.034207 0.015879

@20%

Mean

Event are not sufficient for final study

Var.

SD

@25%

Mean


Var.

SD

APPENDICES

278

@50%

Mean

-0.05557 -0.08138 -0.09724 -0.05752 -0.0318 -0.06074

Var.

0.000763 0.000738 0.000296 0.001899 0.000239 0.003477

SD 0.027629 0.027166 0.017193 0.043583 0.015456 0.058967

Dividend

decrease

alone (Mid

Cap.)

10%

Mean


Var.

SD

15%

Mean


Var.

SD

20%

Mean


Var.

SD

25%

Mean


Var.

SD

50%

Mean


Var.

SD

APPENDICES

279

Appendix 4.13 C: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based

on GARCH Model:

Event

categorizat

ion on the

basis of %

change

dividend


Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Dividend

alone

increase

(Small

Cap.)

@10%

Mean -0.00325 -0.01389 0.031334 0.082058 0.103866 0.113145

Var. 0.000488 0.000273 0.00024 0.000266 0.000641 0.000221

SD 0.022085 0.016516 0.015482 0.016314 0.025316 0.014851

@15%

Mean 0.013673 0.004172 0.034651 0.082936 0.084369 0.082277

Var. 0.000183 0.000101 0.000173 8.21E-05 8.26E-05 2.2E-05

SD 0.013534 0.010055 0.013163 0.009059 0.009091 0.004688

@20%

Mean 0.016446 0.086362 0.204318 0.225065 0.214922 0.27448

Var. 0.002739 0.001629 0.003354 0.00096 0.001164 0.000532

SD 0.052334 0.040367 0.057917 0.030977 0.034113 0.023075

@25%

Mean 0.010397 0.002785 0.046211 0.081193 0.091243 0.096468

Var. 5.55E-05 8.27E-05 0.000317 4.05E-05 0.000128 1.34E-05

APPENDICES

280

SD 0.007448 0.009094 0.017805 0.006366 0.011316 0.003665

@50%

Mean

0.010908 0.00521 -0.00782 0.00335 -0.02589 -0.02539

Var.

2.41E-05 2.31E-05 1.84E-05 0.000118 3.93E-05 0.000141

SD 0.004913 0.004809 0.004288 0.010866 0.006272 0.011864

Dividend

decrease

alone

(Small

Cap.)

10%

Mean


Var.

SD

15%

Mean

0.017783 0.091715 0.086621 0.032427 0.051294 0.035261

Var.

0.000888 0.000275 0.000115 0.000431 0.000308 7.64E-05

SD 0.029804 0.016569 0.010701 0.020762 0.017543 0.008738

20%

Mean


Var.

SD

25%

Mean

0.003193 0.020255 0.029298 0.04142 0.05491 0.044746

Var.

0.000105 0.00013 5.26E-05 4.31E-05 2.86E-05 4.87E-05

SD 0.010228 0.011419 0.007252 0.006568 0.005346 0.006979

APPENDICES

281

50%

Mean

-0.01674 -0.01243 -0.03565 0.035605 0.14116 0.114047

Var.

9.84E-05 8.22E-05 4.61E-05 0.005122 0.000478 6.41E-05

SD 0.009921 0.009066 0.006791 0.071568 0.021871 0.008005

APPENDICES

282

Appendix 4.14: 10- days mean CAARa, variance and standard deviation pre and post event period during event window of 61 days based on

GARCH Model

Event

categorization

on the basis of

% change

dividend


Event

-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30

Mean

-0.01547 -0.01004 0.015267 0.001337 0.010527 0.009713

Events

Dividend

Initiation/

Omission

Dividend

initiation Var.

3.26E-05 3.07E-05 0.000106 0.00011 8.61E-05 0.00011

(Large Cap) SD 0.005711 0.005542 0.010273 0.01048 0.009277 0.010493

Dividend

Omission

(Large Cap)

Mean

0.009857 0.017521 0.012672 0.081505 0.101829 0.113037

Var.

0.000135 3.3E-05 2.68E-05 0.000315 4.46E-05 7.04E-05

SD 0.011623 0.005742 0.005174 0.017752 0.006679 0.008389

Dividend

initiation

(Mid Cap)

Mean

0.006695 0.035658 -0.04154 -0.04557 -0.023 -0.00931

Var.

0.000236 0.001774 0.000235 6.8E-05 6.7E-05 6.76E-05

SD 0.015365 0.042118 0.01532 0.008245 0.008184 0.008222

Dividend

Omission

(Mid Cap)

Mean

Var

SD

APPENDICES

283

Dividend

initiation

(Small Cap)

Mean

0.006902 0.041287 0.085099 0.134079 0.160448 0.165305

Var. 0.000141 2.24E-05 0.000486 4.44E-05 7.77E-05 5.08E-05

SD 0.011873 0.004735 0.022044 0.006664 0.008817 0.007126

Dividend

Omission

(Small Cap)

Mean

-0.02313 -0.02333 0.005317 0.02694 0.04641 0.063079

Var.

0.00018 5.08E-05 0.000335 2.94E-05 6.28E-05 9.86E-05

SD 0.013422 0.007129 0.018315 0.005424 0.007926 0.00993

APPENDICES

284

Appendix 6.1: Major scams in Indian Capital/Stock Market

Sr.

No.

Discovered

in Year

Estimated

Size

(In crore

Rs.)

Central Figure/

scam

Modus Operandi

1 1992*** 4,000 Harshad Mehta

Scam

Used money from banks to make personal gains via investment in shares.

2 1993*** 5,000 ……… Preferential share issue scam by transnational companies (at discounted

prices to controlling groups)

3 1993-94*** 25,000 3911 companies

disappeared

Disappearance of newly listed companies after IPO.

4 1995-96*** 50,000 Plantation companies scam by fly by night operators which raised large

amounts of money from the investors by claiming huge return to them.

5 1995-97*** More

than

50,000

Non-banking Financial companies scam taken money from investors for

providing high return to them and vanished from the market.

6 1996* 1,200 CRB Scam Raised public money through FDs, MFs and debentures via non-existent

firms and invested them in stocks for personal gains

8 1999-

2000***

1000 IT Companies

Scam

Companies changing their names to include ‘infotec’ in their names.

9 2001* 800 Ketan Parekh

Scam

Circular trading in selected stocks via borrowed money from banks to

manipulate share prices

10 2009* 14, 162 Satyam Scam The top management of the software company cooked up accounts to show

inflated sales, profits and margins from 2003 to 2008.

11 2010* 24,029 Sahara Housing

Bonds

Bonds issued to 29.6 million investors without following SEBI regulations

and investor protection measures mentioned therein

12 2012* 2,200 Speak Asia Investors were asked to subscribe to an e-magazine for a certain sum, after

APPENDICES

285

which they became eligible to answer surveys and got paid for each survey.

13 2013* 10,000 Saradha Scam Ran multiple investment

schemes collecting money from nearly 1.4 million investors in West Bengal

and Odisha

14 2013*

5,600 NSEL Scam Investors were wooed by offering fixed returns on paired contracts with agri

and industrial commodities. The underlying stocks were missing and money

was allegedly siphoned by so-called borrowers

15 Feb 21,

2015**

Large cap companies such as RIL, ESSAR, CAIRNS, JUBILANT, ADAG

in question for espionage practices of stealing information from Petroleum

Ministry and Ministry of Finance related budget 2015.

Source: *Business Standard, **Times of India, * **Business Ethics and Corporate Governance By Fernando A.C., Published by Dorling Kindersley (India) Pvt. Ltd. First Edition

(2009)

APPENDICES

286

Appendix 6.2: Initiative towards Corporate Governance in India

Sr. No. Year Initiatives

1 1992 Creation of Securities and Exchanges Board of India replacing Controller of capital issues (CCI).

2 1996 1996- Depositories Act

3 1996 Arbitration and Conciliation Act

4 1997 Confederation of Indian Industry (CII) code of conduct.

5 1999 Kumara Mangalam Birla Committee appointed by SEBI to promote and raise the standards of good

corporate governance.

6 2000 Introduction of the Clause 49 of the Listing Agreement, requiring companies of a certain size listed on

stock exchanges to comply with these norms.

7 2002 2002 – Naresh Chandra Committee to recommend statutory relationship between auditors and

companies and set the highest standards for the role of audit committees.

8 2003 Narayan Murthy Committee related to raising the bar on internal controls and risk management

systems in companies.

9 2003*** Ministry of Corporate Affairs, Government of India, set up National Foundation for Corporate

Governance (NFCG) in partnership with Confederation of Indian Industry (CII), Institute of Company

Secretaries of India (ICSI) and Institute of Chartered Accountants of India (ICAI). In the year 2010,

stakeholders in NFCG have been expanded with the inclusion of The Institute of Cost Accountants of

India (ICAI) and National Stock Exchange (NSE).

The Vision of the foundation is:

Be A Catalyst In Making India The Best In Corporate Governance Practices

Mission of the foundation are:

To foster a culture for promoting good governance, voluntary compliance and facilitate

effective participation of different stakeholders;

To create a framework of best practices, structure, processes and ethics;

To make significant difference to Indian Corporate Sector by raising the standard of corporate

APPENDICES

287

governance in India towards achieving stability and growth.

2003** Shortening of settlement cycles to T+2 days helped in reducing risks associated with unsettled trades

due to market fluctuations

10 2005* JJ Irani Committee on Company Law appointed by Ministry of Company. Committee had covered the

following topics:

Classification and registration of companies,

Measures to make companies more accountable and transparent,

Measures in respect of proper disclosure of related party transactions and minority interests,

A comprehensive range of issues necessary for enabling protection of small investors,

Changes desirable governing access to capital,

Maintenance of accounts and conduct of audit of companies,

Ways and means of making the process of mergers and acquisitions more transparent.

Effective investigation and prosecution for defaulting company

Offences with proper focus on officers in default.

Balanced approach to addressing corporate insolvency.

13 2013* The Companies Act 2013 to brings several changes in corporate governance practices specifically to

appointment and qualification of directors in chapter 11, meetings of board and its power in chapter 12

and appointment and remuneration of managerial persons in chapter 13 towards transparency and

efficiency of the market as under:

Section 149 – Company to have Board of directors

Every company to have a board of directors consisting of individual director minimum of 3 in public

limited companies and 2 in private limited companies. Maximum directors will be 15 and in which at

least one will be woman.

Section 150 – Manner of selection of independent directors and maintenance of data bank of

independent directors One third directors must be of independent. The independent director must be of person of integrity

and have adequate qualifications to understand responsibilities assigned. A person appointed as

independent director is not eligible after two consecutive terms for reappointment, while after expiry of

APPENDICES

288

3 years from ceasing of directors again may be appointed as independent director.

Section 151 – Appointment of directors elected by small shareholders

‘A listed company may suo motu or upon the notice of not less than 500 or one-tenth of the total

number of small shareholders, whichever is lower, elect a small shareholders’ director from amongst

the small shareholders’.

Section 152 - Appointment of Directors

First director is the person who is in article of association and subscriber of the memorandum of the

company. Subsequent directors are appointed in general meetins. The persons who are appointed as

directors must have director identification number issued by the Ministry of Corporate Affairs.

Section 162 - Appointment of Directors to be voted individually For the appointment of a director a separate resolution is required for the appointment of every

director.

Section 165 - Number of Directorships

A person may become director in 20 companies in same time in case of privte limited company and in

10 in case of public limited company.

Section 173 - Meetings of Board

First Board meeting within 30 days of incorporation of company and the frequency to meet within 120

days, at least 4 times in a year.

The quorum of board meeting shall be one-third or two directors, whichever is higher.

Section 177- Audit Committee

Every listed company must constitute an Audit Committee.

Section 178 - Nomination and Remuneration Committee and Stakeholders Relationship Committee

Company should constitute the Nomination and Remuneration committee constituting 3 or more

nonexecutive directors of which at least half should be independent directors.

Section 179 - Powers of Board

The Board of Directors have to exercise powers subject to memorandum and article of the company.

Section 184 - Disclosure of Interest by Directors

Every director should disclose their concern or interest in any company or bodies corporate or firms

APPENDICES

289

or other associations.

Section 196 - Appointment of MD, Whole Time Director or manager

A person of more than 21 years and below 70 years.

Section 203 - Appointment of Key Managerial Personnel

Every company must appoint Managing Director or Chief Executive Officer and in their absence Whole

Time Director, Company Secretary and Chief Financial Officer in the company.

Section 197 – Maximum Managerial Remuneration and remuneration in case of absence or

inadequacy of profits

Maximum remuneration to the directors including managing directors and whole time directors will be

11% of the net profit computed as laid down in section 198 shall not be deducted from the gross profits,

for that financial year can be given by public company.

14 2014** SEBI circular on Corporate Governance in listed entities - Amendments to Clauses 35B and 49 of the

Equity Listing Agreement providing for :

The provisions regarding appointment of woman director as provided in Clause 49

"The maximum tenure of Independent Directors shall be in accordance with the

Companies Act, 2013.

The terms and conditions of appointment shall be disclosed on the website of the company.

Effectively implement the process of e- voting, to the shareholders.

The Rights of Shareholders

a. Shareholders should have the right to participate in, and to be sufficiently informed on, decisions

concerning fundamental corporate changes.

b. Shareholders should have the opportunity to participate effectively and vote in general shareholder

meetings.

c. Shareholders should be informed of the rules, including voting procedures that govern general

shareholder meetings.

APPENDICES

290

d. Shareholders should have the opportunity to ask questions to the board, to place items on the agenda

of general meetings, and to propose resolutions, subject to reasonable limitations.

e. Effective shareholder participation in key Corporate Governance decisions, such as the nomination

and election of board members, should be facilitated.

f. The exercise of ownership rights by all shareholders, including institutional investors, should be

facilitated.

g. The Company should have an adequate mechanism to address the grievances of the shareholders.

h. Minority shareholders should be protected from abusive actions by, or in the interest of, controlling

shareholders acting either directly or indirectly, and should have effective means of redress.

The company should provide adequate and timely information to shareholders.

a. Shareholders should be furnished with sufficient and timely information concerning the date,

location and agenda of general meetings, as well as full and timely information regarding the issues to

be discussed at the meeting.

b. Capital structures and arrangements that enable certain shareholders to obtain a degree of control

disproportionate to their equity ownership should be disclosed.

c. All investors should be able to obtain information about the rights attached to all series and classes

of shares before they purchase.

The company should ensure equitable treatment of all shareholders, including minority and foreign

shareholders.

a. All shareholders of the same series of a class should be treated equally.

b. Effective shareholder participation in key Corporate Governance decisions, such as the nomination

and election of board members, should be facilitated.

APPENDICES

291

c. Exercise of voting rights by foreign shareholders should be facilitated.

d. The company should devise a framework to avoid Insider trading and abusive self-dealing.

e. Processes and procedures for general shareholder meetings should allow for equitable treatment of

all shareholders.

f. Company procedures should not make it unduly difficult or expensive to cast votes.

Disclosure and transparency a. Information should be prepared and disclosed in accordance with the prescribed standards of

accounting, financial and non-financial disclosure.

b. Channels for disseminating information should provide for equal, timely and cost efficient access to

relevant information by users.

c. The company should maintain minutes of the meeting explicitly recording dissenting opinions, if any.

d. The company should implement the prescribed accounting standards in letter and spirit in the

preparation of financial statements taking into consideration the interest of all stakeholders and

should also ensure that the annual audit is conducted by an independent, competent and qualified

auditor

Source: *Government of India, Ministry of Corporate Affairs and Ministry of Law and Justice (Legislative Department), The Gazette of India, ** Securities Exchange Board

of India, *** http://www.nfcgindia.org/ and

http://www.nfcgindia.org/

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