Stock Dividend Announcement Effect: Evidence from the Stock Exchange of Thailand
Article Sidebar
Main Article Content
Abstract
The purpose of this research was to study stock dividend announcement effect to stock price of SET100 companies listed on The Stock Exchange of Thailand during the period 2014 to 2018. The sample consisted of 35 observations. Event Study Methodology (ESM) was applied to examine the market reaction to dividend announcement on the stock price surrounding forty-one days of announcement. The market model was used to generate the expected returns. Furthermore, the one sample t-test was employed to examine the significance of abnormal returns and cumulative abnormal returns. The findings from the stock dividend release sample indicated that there was a significant positive abnormal returns on the announcement dates. The cumulative abnormal returns existed 2.19% at a significant level of .05 besides, it found that there was an overreaction straight after the announcement day, then a correcting attempt in the post event and then it goes back to normal. It implies that stock prices do not drop shortly after the dividend announcement, which would specify that The Stock Exchange of Thailand is not exhibit semi-strong market efficiency according to Efficient Market Hypothesis (EMH).
Article Details
References
พรรณเพ็ญ สิทธิพัฒนา. (2562). ปัจจัยเชิงสาเหตุที่ส่งผลต่อคุณภาพของรายงานทางการเงินและประสิทธิภาพการตัดสินใจของบริษัทจดทะเบียนในตลาดหลักทรัพย์ทางเลือกเพื่อการลงทุน(เอ็ม เอ ไอ). วารสารมนุษยศาสตร์และสังคมศาสตร์ มหาวิทยาลัยราชพฤกษ์, 4(3): 59 - 74. ตุลาคม 2561 – มกราคม 2562 ค้นเมื่อ 20 กุมภาพันธ์ 2562, จาก https://www.tci-thaijo.org/index.php/rpu/article/view/168280
Aditya, R. K. & Ashok, K. M. (2017). Stock price reactions to stock dividend announcements, A case from a sluggish economic period. North American Journal of Economics and Finance. 42 November 2017: 338 - 345.
DeAngelo, H. & DeAngelo, L. & Stulz, R.M. (2006). Dividend Policy and the Earned/Contributed Capital Mix: A Test of the Life-Cycle Theory. Journal of Financial Economics. 81(2) August 2006: 227 - 254.
Fama, E. & French, K. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?. Journal of Financial Economics, 60(1) April 2001: 3 - 43.
Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of finance. 25(2) May 1970: 383 – 417.
Fama, E. et al. (1969). The Adjustment of Stock Prices to New Information. International Economic Review. 10(1) February 1969: 1 - 21.
Gordon, M. J. (1963). Optimal Investment and Financing Policy. Journal of Finance. 18 May 1963: 264 - 272.
Jensen, M. and Meckling, W. (1976). Theory Managerial Behaviors, Agency Cost and Ownership Structure. Journal of Financial Economics. 3(4) October 1976: 305 – 306.
Lintner, J. (1962). Dividends, Earnings, Leverage, Stock Prices and Supply of Capital to Corporations. The Review of Economics and Statistics. 44(3) August 1662: 243 - 269.
Litzenberger, R. H. and Ramaswamy, K. (1982). The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?. Journal of Finance. 37(2) May 1982: 429 - 443.
Miller, H. M. and Modigliani, F. (1961). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business. 34(4) October 1961: 411 - 433.
Modigliani, F and Miller, M. H. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review. 48(3) June 1958: 261 - 297.
Sittipatna, P. (2019). Causal Factors Affecting the Quality of Financial Reporting and Efficiency of Decision Making of Listed Company in the Market for Alternative Investment (MAI). Journal of Humanities and Social Sciences. Rajapruk University. 4(3) October 2018 - January 2019: 59 - 74. Retrieved on 20th February 2019 from, https://www.tci-thaijo.org/index.php/rpu/article/view/168280. (in Thai)
Stock Exchange of Thailand. (2019). Market Statistical Summary. Retrieved on 25th February 2019, from https://www.set.or.th. (in Thai)
Suwanna, T. (2012). Impacts of Dividend Announcement on Stock Return. Procedia - Social and Behavioral Sciences. 40(2012): 721 - 725.
Thanatawee, Y. (2011). Life-Cycle Theory and Free Cash Flow Hypothesis: Evidence from Dividend Policy in Thailand. International Journal of Financial Research. 2(2) June 2011: 120 - 128.