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Market Reactions to dividends, Effects of market when dividends are announced, Effects of Announcement dates and effective dates on stock market.
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Market Reactions to Dividends
Prepared By: Shyam MistryRoll No: 20
Guided BY: Prof. Neeraj K. Yajnik Sir
IntroductionIt is widely accepted in financial theory that a company’s dividend policy has a non-trivial impact on the wealth of its shareholders. Empirical evidence indicates that corporate announcements of dividend pay-outs are typically associated with significant price effects.
If investors prefer capital gains to dividend pay-outs (e.g. due to tax reasons), higher dividends will cause a decrease in demand for equity, leading stock prices to fall. Alternatively, investors will seek to buy stocks that pay low dividends, inducing stock prices to rise.
Meanings
Stock means:
Market means:
What is Stock Market?
What is Dividend?
What is Ex-Dividend?
Declaration Date:
Effective Date:
What is Dividend Policy?
Reviewing empirical literatureDividend as the main method of distributing cash to shareholders has received considerable prior attention in the finance literature. Lintner (1956) suggests that firms prefer to smooth their dividend and reluctant to change their pay-out policy. The management is reluctant to cut dividend because it might send negative signal to investor and reluctant to increase pay-out for fear that it might not sustainable in the future.
Docking and Koch (2005) find that stock market reaction to dividend announcement is sensitive to the direction or volatility of the stock market.
Asquith and Mullins (1983) (dividend initiations), Healy and Palepu (1988), and Michaely, Thaler, and Womack (1995) (dividend omissions)—showed that the market reacts dramatically to such announcements.
Research methodologyRational of the StudyStock Markets are very sensitive. When we talk about Indian Stock Market, it is clear that Indian Stock Market is more volatile than other stock markets. Indian Markets like NSE and BSE reacts to much information which in market day to day. Information like Dividend Announcement dates, Stock splits, Government Policies, Companies’ Quarterly Results etc. Dividends are most attractive part for investors.It is widely known that when divided announces stock prices are tend to down. So here in this research I want to see that what the reactions of markets are when dividend announces, what are the reactions when dividends come in effect.
ObjectivesTo investigate market reactions to announced changes in dividend policies.
To investigate whether the market treats announcements of dividend initiations (good news) and omissions (bad news) symmetrically or whether price reactions to omissions are greater than for initiations.
Research designUniverse: Stock listed in Bombay Stock Exchange (BSE).
Sampling Unit: BSE A group Companies
Sampling period: Year 2009 to 2011 Daily price
Sample size: 20 Companies (Three consecutive years)
Sampling Method: Random Sampling Method
Sources of data:Primary Data:Research does not contain any primary survey.Secondary Data: Data available on http://www.moneycontrol.com/stocksmarketsindia/, http://beta.bseindia.com/.
Research Analysis ToolsResearch tool is Market Model Approach i.e. (MM).
ai = ẏ-(ß*ẍ)
ßi = (x-ẍ) × (y-ẏ) / (x-ẍ)2
Stock and Index return = (P1 – P0/P0)* 100
Abnormal Return = Stock Return – Market Model Return
Data Analysis
ABB Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
23-02-2011 -0.203596387 0.164831923 0.026817286
Between Announcement & Effective Date
-0.015355551 0.255271269 0.45510002
After Effective Date 02-05-2011 -0.192056239 0.265098482 0.349484456
2010 Before Announcement Date
26-02-2010 0.00122615 0.400432107 0.089162624
Between Announcement & Effective Date
0.154111363 0.115380755 -0.311119162
After Effective Date 03-05-2010 -0.091028229 0.014812382 0.828923563
2009 Before Announcement Date
20-02-2009 0.0710812 0.4379933 -0.42989703
Between Announcement & Effective Date
0.5255089 0.2651362 -0.327997367
After Effective Date 11-05-2009 0.0146856 0.5692809 1.481797228
21/Jan/0
9
16/Feb/0
9
14/Mar/
09
09/Apr/0
9
05/May
/09
31/May
/09
26/Jun/0
9
22/Jul/0
9
17/Aug/0
9
12/Sep/0
9
08/Oct/
09
03/Nov/0
9
29/Nov/0
9
25/Dec/
09
20/Jan/1
0
15/Feb/1
0
13/Mar/
10
08/Apr/1
0
04/May
/10
30/May
/10
25/Jun/1
0
21/Jul/1
0
16/Aug/1
0
11/Sep/1
0
07/Oct/
10
02/Nov/1
0
28/Nov/1
0
24/Dec/
10
19/Jan/1
1
14/Feb/1
1
12/Mar/
11
07/Apr/1
1
03/May
/11
29/May
/11
-20
-10
0
10
20
30
40
50
Cumulative Abnormal Return
Cumulative Abnormal Return
ACC Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
03-02-2011 -0.4304758 0.15034639 0.146401802
Between Announcement & Effective Date
3.551E-05 0.67500986 0.08562241
After Effective Date 29-03-2011 -0.14624 0.4891623 0.459285118
2010 Before Announcement Date
04-02-2010 -0.2653909 0.31747427 0.101868912
Between Announcement & Effective Date
0.1182541 0.31749113 0.165908832
After Effective Date 23-03-2010 0.0953772 0.08163334 -0.387826326
2009 Before Announcement Date
05-02-2009 -0.6088603 0.23397694 1.014574168
Between Announcement & Effective Date
0.0817116 0.59365856 -0.045063691
After Effective Date 24-03-2009 0.6508619 0.27688611 0.235272945
06/Jan/0
9
02/Feb/0
9
01/Mar/
09
28/Mar/
09
24/Apr/0
9
21/May
/09
17/Jun/0
9
14/Jul/0
9
10/Aug/0
9
06/Sep/0
9
03/Oct/
09
30/Oct/
09
26/Nov/0
9
23/Dec/
09
19/Jan/1
0
15/Feb/1
0
14/Mar/
10
10/Apr/1
0
07/May
/10
03/Jun/1
0
30/Jun/1
0
27/Jul/1
0
23/Aug/1
0
19/Sep/1
0
16/Oct/
10
12/Nov/1
0
09/Dec/
10
05/Jan/1
1
01/Feb/1
1
28/Feb/1
1
27/Mar/
11
23/Apr/1
1
-10
0
10
20
30
40
50
60
Cumulative Abnormal Return
Cumulative Abnormal Return
Bajaj Hold. & Inv.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
18-05-2011 -0.2525255 0.2263128 0.311121855
Between Announcement & Effective Date
0.138684 0.2487166 -0.261855918
After Effective Date 29-06-2011 -0.1493804 0.12757 0.411648766
2010 Before Announcement Date
12-05-2010 -0.2311853 0.265105 0.497408115
Between Announcement & Effective Date
0.0548015 0.083399 0.138536805
After Effective Date 08-07-2010 0.1457487 -0.097288 0.004516511
2009 Before Announcement Date
21-05-2009 0.6039763 0.4992593 0.073034213
Between Announcement & Effective Date
0.190554 0.1858962 -0.010430453
After Effective Date 02-07-2009 0.0486405 0.4814357 0.39872414
22/Apr/0
9
18/May
/09
13/Jun/0
9
09/Jul/0
9
04/Aug/0
9
30/Aug/0
9
25/Sep/0
9
21/Oct/
09
16/Nov/0
9
12/Dec/
09
07/Jan/1
0
02/Feb/1
0
28/Feb/1
0
26/Mar/
10
21/Apr/1
0
17/May
/10
12/Jun/1
0
08/Jul/1
0
03/Aug/1
0
29/Aug/1
0
24/Sep/1
0
20/Oct/
10
15/Nov/1
0
11/Dec/
10
06/Jan/1
1
01/Feb/1
1
27/Feb/1
1
25/Mar/
11
20/Apr/1
1
16/May
/11
11/Jun/1
1
07/Jul/1
1
-10
0
10
20
30
40
50
60
Cumulative Abnormal Return
Cumulative Abnormal Return
Britannia Ind.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
27-05-2011 -0.286833 0.07070304 0.415021515
Between Announcement & Effective Date
-0.010707 0.11647719 0.621346633
After Effective Date 19-07-2011 -0.577167 0.2606799 0.470131889
2010 Before Announcement Date
28-05-2010 -0.252877 0.80340887 0.511766967
Between Announcement & Effective Date
0.15972 0.07300848 0.183074682
After Effective Date 23-07-2010 0.0721481 0.00843457 0.20045566
2009 Before Announcement Date
27-05-2009 0.3418886 1.36323116 -1.374331004
Between Announcement & Effective Date
0.4268136 -0.4336988 -0.920680698
After Effective Date 09-06-2009 -0.403887 0.09728615 0.373576755
28/Apr/0
9
24/May
/09
19/Jun/0
9
15/Jul/0
9
10/Aug/0
9
05/Sep/0
9
01/Oct/
09
27/Oct/
09
22/Nov/0
9
18/Dec/
09
13/Jan/1
0
08/Feb/1
0
06/Mar/
10
01/Apr/1
0
27/Apr/1
0
23/May
/10
18/Jun/1
0
14/Jul/1
0
09/Aug/1
0
04/Sep/1
0
30/Sep/1
0
26/Oct/
10
21/Nov/1
0
17/Dec/
10
12/Jan/1
1
07/Feb/1
1
05/Mar/
11
31/Mar/
11
26/Apr/1
1
22/May
/11
17/Jun/1
1
13/Jul/1
1
08/Aug/1
1
-10
0
10
20
30
40
50
60
70
80
90
Cumulative Abnormal Return
Cumulative Abnormal Return
Chambal Fertil.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
11-05-2011 -0.133562393 0.20472193 -0.062928442
Between Announcement & Effective Date
-0.244781791 0.20025916 0.638907599
After Effective Date 22-08-2011 -0.059505692 0.31504164 0.305304266
2010 Before Announcement Date
10-05-2010 -0.077689405 0.23914417 -0.189582755
Between Announcement & Effective Date
0.020844098 0.17724465 0.175906306
After Effective Date 30-07-2010 0.040268692 0.16370882 -0.015130935
2009 Before Announcement Date
15-05-2009 0.393679481 0.40917363 -0.522689862
Between Announcement & Effective Date
0.339347472 0.39303988 -0.121250118
After Effective Date 31-07-2009 0.104296865 0.34664127 -0.369603127
16/Apr/0
9
14/May
/09
11/Jun/0
9
09/Jul/0
9
06/Aug/0
9
03/Sep/0
9
01/Oct/
09
29/Oct/
09
26/Nov/0
9
24/Dec/
09
21/Jan/1
0
18/Feb/1
0
18/Mar/
10
15/Apr/1
0
13/May
/10
10/Jun/1
0
08/Jul/1
0
05/Aug/1
0
02/Sep/1
0
30/Sep/1
0
28/Oct/
10
25/Nov/1
0
23/Dec/
10
20/Jan/1
1
17/Feb/1
1
17/Mar/
11
14/Apr/1
1
12/May
/11
09/Jun/1
1
07/Jul/1
1
04/Aug/1
1
01/Sep/1
1
-20
0
20
40
60
80
100
120
Cumulative Abnormal Return
Cumulative Abnormal Return
Colgate Palm.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
28-02-2011 -0.0897038 0.3966014 0.017319942
Between Announcement & Effective Date
0.391096 0.5802192 -0.624528584
After Effective Date 30-03-2011 -0.2038634 0.314159 0.74637381
2010 Before Announcement Date
12-03-2010 0.353534 0.182156 -0.271674424
Between Announcement & Effective Date
0.1866136 -0.0035459 -0.434807281
After Effective Date 08-04-2010 -0.322451 0.187161 0.649660682
2009 Before Announcement Date
05-11-2009 -0.3588097 0.3031181 0.878088304
Between Announcement & Effective Date
0.2863221 0.1059293 -0.398867732
After Effective Date 10-12-2009 0.1086828 0.1755104 -0.082578329
06/Oct/
09
24/Oct/
09
11/Nov/0
9
29/Nov/0
9
17/Dec/
09
04/Jan/1
0
22/Jan/1
0
09/Feb/1
0
27/Feb/1
0
17/Mar/
10
04/Apr/1
0
22/Apr/1
0
10/May
/10
28/May
/10
15/Jun/1
0
03/Jul/1
0
21/Jul/1
0
08/Aug/1
0
26/Aug/1
0
13/Sep/1
0
01/Oct/
10
19/Oct/
10
06/Nov/1
0
24/Nov/1
0
12/Dec/
10
30/Dec/
10
17/Jan/1
1
04/Feb/1
1
22/Feb/1
1
12/Mar/
11
30/Mar/
11
17/Apr/1
1
-20
-10
0
10
20
30
40
Cumulative Abnormal Return
Cumulative Abnormal Return
Dabur India
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
27-04-2011 0.13929649 0.0199098 0.087447673
Between Announcement & Effective Date
-0.101516 0.0588309 0.428175518
After Effective Date 29-06-2011 0.03926023 0.3783828 -0.409861451
2010 Before Announcement Date
18-06-2010 0.20053937 0.4796145 -0.320748123
Between Announcement & Effective Date
0.07117918 0.155819 0.086084449
After Effective Date 03-08-2010 -0.0196562 0.1392694 0.354836278
2009 Before Announcement Date
29-04-2009 0.91285993 0.1624618 -0.540408984
Between Announcement & Effective Date
0.27379448 0.9412768 -0.481414999
After Effective Date 29-06-2009 0.12880184 0.029279 0.326366971
31/Mar/
09
27/Apr/0
9
24/May
/09
20/Jun/0
9
17/Jul/0
9
13/Aug/0
9
09/Sep/0
9
06/Oct/
09
02/Nov/0
9
29/Nov/0
9
26/Dec/
09
22/Jan/1
0
18/Feb/1
0
17/Mar/
10
13/Apr/1
0
10/May
/10
06/Jun/1
0
03/Jul/1
0
30/Jul/1
0
26/Aug/1
0
22/Sep/1
0
19/Oct/
10
15/Nov/1
0
12/Dec/
10
08/Jan/1
1
04/Feb/1
1
03/Mar/
11
30/Mar/
11
26/Apr/1
1
23/May
/11
19/Jun/1
1
16/Jul/1
1
-15
-10
-5
0
5
10
15
20
25
30
Cumulative Abnormal Return
Cumulative Abnormal Return
Grasim Ind.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
11-05-2011 -0.0669515 0.32714389 -0.223520484
Between Announcement & Effective Date
-0.0708648 0.4075699 0.012789226
After Effective Date 06-09-2011 -0.506736 0.54427863 1.051842707
2010 Before Announcement Date
20-05-2010 -0.0147284 0.46367152 -0.36671859
Between Announcement & Effective Date
0.16557507 -0.0192491 -0.591090212
After Effective Date 10-08-2010 0.06673493 0.13687021 0.48651714
2009 Before Announcement Date
19-05-2009 0.03985455 0.73060735 0.857606542
Between Announcement & Effective Date
-0.0123489 0.37039405 0.447371768
After Effective Date 24-07-2009 0.31311246 0.5878563 -0.742792821
21/Apr/0
9
18/May
/09
14/Jun/0
9
11/Jul/0
9
07/Aug/0
9
03/Sep/0
9
30/Sep/0
9
27/Oct/
09
23/Nov/0
9
20/Dec/
09
16/Jan/1
0
12/Feb/1
0
11/Mar/
10
07/Apr/1
0
04/May
/10
31/May
/10
27/Jun/1
0
24/Jul/1
0
20/Aug/1
0
16/Sep/1
0
13/Oct/
10
09/Nov/1
0
06/Dec/
10
02/Jan/1
1
29/Jan/1
1
25/Feb/1
1
24/Mar/
11
20/Apr/1
1
17/May
/11
13/Jun/1
1
10/Jul/1
1
06/Aug/1
1
02/Sep/1
1
29/Sep/1
1
-30
-20
-10
0
10
20
30
40
50
Cumulative Abnormal Return
Cumulative Abnormal Return
Hindalco Ind.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
30-05-2011 -0.038673 0.33581552 -0.440635309
Between Announcement & Effective Date
0.0090027 0.33732472 -0.326325791
After Effective Date 14-09-2011 0.3722306 0.48117364 -0.952835165
2010 Before Announcement Date
04-06-2010 0.1561584 0.40396936 -0.529264933
Between Announcement & Effective Date
0.0453006 0.30317459 0.168749528
After Effective Date 24-08-2010 0.2290048 0.31554374 0.230749646
2009 Before Announcement Date
30-06-2009 -0.100818 0.27307249 0.138388157
Between Announcement & Effective Date
-0.020709 0.38862753 0.584239233
After Effective Date 10-09-2009 0.0630609 0.15246272 0.472439536
02/Jun/0
9
29/Jun/0
9
26/Jul/0
9
22/Aug/0
9
18/Sep/0
9
15/Oct/
09
11/Nov/0
9
08/Dec/
09
04/Jan/1
0
31/Jan/1
0
27/Feb/1
0
26/Mar/
10
22/Apr/1
0
19/May
/10
15/Jun/1
0
12/Jul/1
0
08/Aug/1
0
04/Sep/1
0
01/Oct/
10
28/Oct/
10
24/Nov/1
0
21/Dec/
10
17/Jan/1
1
13/Feb/1
1
12/Mar/
11
08/Apr/1
1
05/May
/11
01/Jun/1
1
28/Jun/1
1
25/Jul/1
1
21/Aug/1
1
17/Sep/1
1
14/Oct/
11
-140
-120
-100
-80
-60
-40
-20
0
20
Cumulative Abnormal Return
Cumulative Abnormal Return
Jindal Stl. & Power
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
21-04-2011 0.32532968 0.5714352 -0.357496245
Between Announcement & Effective Date
-0.054160032 0.4168271 -0.150903967
After Effective Date 12-09-2011 0.127879171 0.4187233 -0.146102501
2010 Before Announcement Date
04-05-2010 -0.236870446 0.4032278 0.3586504
Between Announcement & Effective Date
0.122460786 0.3725594 -0.155094795
After Effective Date 13-09-2010 0.333089319 0.36001 -0.432572489
2009 Before Announcement Date
27-05-2009 0.723513023 0.351461 0.202651312
Between Announcement & Effective Date
0.210421403 0.0411481 -0.605124544
After Effective Date 14-09-2009 0.189117728 0.1780427 0.61904524
28/Apr/0
9
26/May
/09
23/Jun/0
9
21/Jul/0
9
18/Aug/0
9
15/Sep/0
9
13/Oct/
09
10/Nov/0
9
08/Dec/
09
05/Jan/1
0
02/Feb/1
0
02/Mar/
10
30/Mar/
10
27/Apr/1
0
25/May
/10
22/Jun/1
0
20/Jul/1
0
17/Aug/1
0
14/Sep/1
0
12/Oct/
10
09/Nov/1
0
07/Dec/
10
04/Jan/1
1
01/Feb/1
1
01/Mar/
11
29/Mar/
11
26/Apr/1
1
24/May
/11
21/Jun/1
1
19/Jul/1
1
16/Aug/1
1
13/Sep/1
1
11/Oct/
11
-180
-160
-140
-120
-100
-80
-60
-40
-20
0
Cumulative Abnormal Return
Cumulative Abnormal Return
LIC Hou. Fin.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
28-04-2011 0.06564631 0.271874697 0.021251163
Between Announcement & Effective Date
-0.10502652 0.341946091 0.287830079
After Effective Date 04-07-2011 -0.11763284 0.207557278 -0.523703611
2010 Before Announcement Date
28-04-2010 -0.11975004 0.26830935 0.251382093
Between Announcement & Effective Date
-0.07664377 0.414737861 0.318587036
After Effective Date 29-06-2010 0.12845806 -0.01587279 0.46281933
2009 Before Announcement Date
23-04-2009 0.51865985 0.193001915 1.309257899
Between Announcement & Effective Date
-0.00392179 0.416041212 1.369322786
After Effective Date 29-06-2009 0.24993254 0.520525548 -0.530849068
24/Mar/
09
19/Apr/0
9
15/May
/09
10/Jun/0
9
06/Jul/0
9
01/Aug/0
9
27/Aug/0
9
22/Sep/0
9
18/Oct/
09
13/Nov/0
9
09/Dec/
09
04/Jan/1
0
30/Jan/1
0
25/Feb/1
0
23/Mar/
10
18/Apr/1
0
14/May
/10
09/Jun/1
0
05/Jul/1
0
31/Jul/1
0
26/Aug/1
0
21/Sep/1
0
17/Oct/
10
12/Nov/1
0
08/Dec/
10
03/Jan/1
1
29/Jan/1
1
24/Feb/1
1
22/Mar/
11
17/Apr/1
1
13/May
/11
08/Jun/1
1
04/Jul/1
1
30/Jul/1
1
-20
0
20
40
60
80
100
120
140
160
180
Cumulative Abnormal Return
Cumulative Abnormal Return
Shree RenukSugars
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
27-09-2011 -0.01754829 0.412207065 0.156456378
Between Announcement & Effective Date
-0.30864134 0.203026033 -1.690170558
After Effective Date 05-10-2011 0.25829605 0.461091546 0.107060801
2010 Before Announcement Date
22-09-2010 0.24374276 0.203471025 0.372411267
Between Announcement & Effective Date
0.13724668 0.169418572 0.541962281
After Effective Date 05-10-2010 -0.03041433 0.291753779 0.54640922
2009 Before Announcement Date
23-09-2009 0.33292595 -0.02596738 -0.051720317
Between Announcement & Effective Date
0.36164834 0.429904364 -0.80923904
After Effective Date 06-10-2009 -0.38698496 0.275786266 1.053753794
25/Aug/0
9
19/Sep/0
9
14/Oct/
09
08/Nov/0
9
03/Dec/
09
28/Dec/
09
22/Jan/1
0
16/Feb/1
0
13/Mar/
10
07/Apr/1
0
02/May
/10
27/May
/10
21/Jun/1
0
16/Jul/1
0
10/Aug/1
0
04/Sep/1
0
29/Sep/1
0
24/Oct/
10
18/Nov/1
0
13/Dec/
10
07/Jan/1
1
01/Feb/1
1
26/Feb/1
1
23/Mar/
11
17/Apr/1
1
12/May
/11
06/Jun/1
1
01/Jul/1
1
26/Jul/1
1
20/Aug/1
1
14/Sep/1
1
09/Oct/
11
03/Nov/1
1
-20
-10
0
10
20
30
40
50
60
70
80
Cumulative Abnormal Return
Cumulative Abnormal Return
Zee Entrt. Enter.
Time Line Date α of Stock βof Stock Average Abnormal Return
2011 Before Announcement Date
23-06-2011 -0.0819195 0.16630904 0.215440676
Between Announcement & Effective Date
0.112421 0.17436564 -0.126497188
After Effective Date 28-07-2011 -0.4745074 0.26630463 -0.134490444
2010 Before Announcement Date
23-09-2010 0.3344446 0.18696198 -0.321044832
Between Announcement & Effective Date
0.2718675 0.10044447 -0.714429559
After Effective Date 07-10-2010 0.1525947 0.348822 -0.174538442
2009 Before Announcement Date
29-06-2009 -0.0283284 0.20880691 0.481421847
Between Announcement & Effective Date
0.1489693 0.16671908 0.086711612
After Effective Date 06-08-2009 -0.0824857 0.32853582 0.51670745
01/Jun/0
9
26/Jun/0
9
21/Jul/0
9
15/Aug/0
9
09/Sep/0
9
04/Oct/
09
29/Oct/
09
23/Nov/0
9
18/Dec/
09
12/Jan/1
0
06/Feb/1
0
03/Mar/
10
28/Mar/
10
22/Apr/1
0
17/May
/10
11/Jun/1
0
06/Jul/1
0
31/Jul/1
0
25/Aug/1
0
19/Sep/1
0
14/Oct/
10
08/Nov/1
0
03/Dec/
10
28/Dec/
10
22/Jan/1
1
16/Feb/1
1
13/Mar/
11
07/Apr/1
1
02/May
/11
27/May
/11
21/Jun/1
1
16/Jul/1
1
10/Aug/1
1
-30
-25
-20
-15
-10
-5
0
5
10
15
20
Cumulative Abnormal Return
Cumulative Abnormal Return
Major Findings: After analyzing all tables and graphs I found that:
Market reacts to the Dividend information and Dividend policy.
Market reactions are different for different stock or scripts.
When Dividends are announced, on that particular date market returns are positive or market will move at its pace, market will not react much.
When dividends are actually given i.e. on effective date market reacts strongly, market gives negative returns.
Market returns are positive between Announcement date and Effective date in most of the stocks. (Here 20 stocks are considered)
Market treats Announcement date of dividends as a Good News while Effective date as a Bad News.
Thank You...