The Impact of Dividend Events on Stock Returns: Findings on Companies Listed on the Bucharest Stock Exchange
The Impact of Dividend Events on Stock Returns: Findings on Companies Listed on the Bucharest Stock Exchange

Summary/Abstract: This study investigates market reactions to different dividend events by analyzing abnormal returns. Based on a database of 45 companies listed on Bucharest Stock Exchange, for the period of 2011-2016, we found that the Declaration Date, Ex-Dividend Date and Record Date could have significant influence on stock returns in Romania. Using an event window of 41 days around the dividend announcement, we find evidence that shareholders react as a response to new information regarding dividend policy. However, further research should be performed in order to see the exact market reaction when the company decides to increase, decrease or keep the same level of dividends. Using the event study methodology, we find evidence that dividend events influence significantly the returns after the event, and only for some cases, they affect the returns before the event.

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