Reakcja inwestorów na zapowiedzi wysokości dywidend spółek notowanych na GPW w Warszawie
Investors’ Reaction to Dividend Announcement of Companies Listed on the Warsaw Stock Exchange

Summary/Abstract: Purpose – The main aim of this paper is to present the results of empirical studies concerning the impact of changes in the value of dividends on the amount of abnormal returns of companies with different capitalization whose shares were listed on the Warsaw Stock Exchange between 1996 and 2014. Design/Methodology/approach – The article uses the methodology of event analysis with the accumulated surplus rate of return as a measure of investors’ reaction to the change in the value of dividends. As a benchmark we used 3 models: the index, the market and the CAPM models. Findings – The results are ambiguous, however, it is noted that the shares of companies which increase the value of dividends, allow to obtain positive cumulative abnormal returns in the event window. Originality/Value – The research study includes data on all dividend payments of companies listed on the Warsaw Stock Exchange in the period 1996–2014. The paper should inspire further study on dividend policy of Polish firms.

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