Skip to main content
SpringerLink
Log in

Stock Market Reactions to Dividend Announcements: Evidence from Poland

  • Conference paper
  • First Online:
Effective Investments on Capital Markets

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

  • 881 Accesses

Abstract

The paper investigates the market reaction to announcements of dividend changes on the Warsaw Stock Exchange. The research was conducted on a population of non-financial companies paying regular dividends over the period 2014–2016. The sample of dividend announcements (in total 186 observations: 106 dividend increases, 43 dividend decreases and 37 no changes in dividend value) was divided into three subsamples: dividend increases, decreases, and no change. According to the dividend signalling theory, we hypothesize that the market reacts positively to announcements of dividend increases, negatively to dividend decreases, while there is no market reaction to the announcements of stable dividends. Using daily data from the Warsaw Stock Exchange, we implement the event study methodology. As expected, we can observe that the dividend increases are associated with positive abnormal returns and dividend decreases with negative abnormal returns. However, the results are statistically insignificant. Thus, there is no statistically significant relationship between the changes in dividend value and abnormal rates of return on event day and the subsequent days. Therefore, the results of the study do not support the signalling power of dividend changes on the Polish capital market.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 129.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  1. Aharony, J., Swary, I.: Quarterly dividend and earnings announcements and stockholders’ returns: an empirical analysis. J. Financ. 35(1), 1–12 (1980)

    Article  Google Scholar 

  2. Al-Malkawi, H.A.N., Rafferty, M., Pillai, R.: Dividend policy: a review of theories and empirical evidence. Int. Bull. Bus. Adm. 9(1), 171–200 (2010)

    Google Scholar 

  3. Amihud, Y., Murgia, M.: Dividends, taxes, and signaling: evidence from Germany. J. Financ. 52(1), 397–408 (1997)

    Article  Google Scholar 

  4. Andres, C., Betzer, A., Van den Bongard, I., Haesner, C., Theissen, E.: The information content of dividend surprises: evidence from Germany. J. Bus. Financ. Account. 40(5–6), 620–645 (2013)

    Article  Google Scholar 

  5. Asquith, P., Mullins Jr., D.W.: The impact of initiating dividend payments on shareholders’ wealth. J. Bus. 56(1), 77–96 (1983)

    Article  Google Scholar 

  6. Benesh, G.A., Keown, A.J., Pinkerton, J.M.: An examination of market reaction to substantial shifts in dividend policy. J. Financ. Res. 7(2), 131–142 (1984)

    Article  Google Scholar 

  7. Bozos, K., Nikolopoulos, K., Ramgandhi, G.: Dividend signaling under economic adversity: evidence from the London Stock Exchange. Int. Rev. Financ. Anal. 20(5), 364–374 (2011)

    Article  Google Scholar 

  8. Brown, S.J., Warner, J.B.: Using daily stock returns—the case of event studies. J. Financ. Econ. 14(1), 3–31 (1985)

    Article  Google Scholar 

  9. Capstaff, J., Klaeboe, A., Marshall, A.P.: Share price reaction to dividend announcements: empirical evidence on the signaling model from the Oslo stock exchange. Multinatl. Financ. J. 8(1), 115–139 (2004)

    Article  Google Scholar 

  10. Czerwonka, L.: Wpływ zainicjowania wypłaty dywidendy na cenę akcji spółki. Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia 34, 67–85 (2010)

    Google Scholar 

  11. Dhillon, U.S., Johnson, H.: The effect of dividend changes on stock and bond prices. J. Financ. 49(1), 281–289 (1994)

    Article  Google Scholar 

  12. Frasyniuk-Pietrzyk, M., Walczak, M.: Wpływ informacji o wypłacie dywidendy na notowania spółek na GPW w Warszawie w latach 2006–2013. Zeszyty Naukowe Wyższej Szkoły Bankowej we Wrocławiu 7(45), 119–128 (2014)

    Google Scholar 

  13. Gunasekarage, A., Power, D. M.: The post–announcement performance of dividend–changing companies: The dividend–signalling hypothesis revisited. Accounting & Finance. 42(2), 131-151 (2002)

    Google Scholar 

  14. Gunasekarage, A., Power, D.M.: Anomalous evidence in dividend announcement effect. Manag. Financ. 32(3), 209–226 (2006)

    Google Scholar 

  15. Gurgul, H.: Analiza zdarzeń na rynkach akcji. Wpływ informacji na ceny papierów wartościowych. Oficyna a Wolters Kluwer business, Warszawa (2012)

    Google Scholar 

  16. Gurgul, H., Majdosz, P.: Effect of dividend and repurchase announcements on the Polish Stock Market. Oper. Res. Decis. 1, 25–39 (2005)

    Google Scholar 

  17. Gurgul, H., Mestel, R., Schleicher, C.: Stock market reactions to dividend announcements: empirical evidence from the Austrian stock market. Financ. Mark. Portf. Manag. 17(3), 332–350 (2003)

    Article  Google Scholar 

  18. Harada, K., Nguyen, P.: Dividend change context and signaling efficiency in Japan. Pac.-Basin Financ. J. 13(5), 504–522 (2005)

    Article  Google Scholar 

  19. Healy, P.M., Palepu, K.G.: Earnings information conveyed by dividend initiations and omissions. J. Financ. Econ. 21(2), 149–175 (1988)

    Article  Google Scholar 

  20. Kaźmierska-Jóźwiak, B.: Reakcja rynku kapitałowego na inicjowanie dywidend na rynku polskim. Ekonomika i Organizacja Przedsiębiorstwa 6, 109–118 (2017)

    Google Scholar 

  21. Kubiak, J., Czapiewski, L.: Reakcja inwestorów na zapowiedzi wysokości dywidend spółek notowanych na GPW w Warszawie. Finanse, Rynki Finansowe, Ubezpieczenia 86, 47–58 (2017)

    Google Scholar 

  22. Lee, B.S., Mauck, N.: Dividend initiations, increases and idiosyncratic volatility. J. Corp. Financ. 40, 47–60 (2016)

    Article  Google Scholar 

  23. Lippert, R.L., Nixon, T.D., Pilotte, E.A.: Incentive compensation and the stock price response to dividend increase announcements. Financ. Rev. 35(4), 69–94 (2000)

    Article  Google Scholar 

  24. Lonie, A.A., Abeyratna, G., Power, D.M., Sinclair, C.D.: The stock market reaction to dividend announcements: a UK study of complex market signals. J. Econ. Stud. 23(1), 32–52 (1996)

    Article  Google Scholar 

  25. Michaely, R., Thaler, R.H., Womack, K.L.: Price reaction to dividend initiations and omissions overreaction of drift? J. Financ. 50(2), 573–608 (1995)

    Article  Google Scholar 

  26. Miller, M.H., Modigliani, F.: Dividend policy, growth, and the valuation of shares. J. Bus. 34(4), 411–433 (1961)

    Article  Google Scholar 

  27. Mrzygłód, U., Nowak, S.: Market reactions to dividends announcements and payouts. Empirical evidence from the Warsaw Stock Exchange. Contemp. Econ. 11(2), 187–204 (2017). https://ssrn.com/abstract=3176998

    Article  Google Scholar 

  28. Officer, M.S.: Overinvestment, corporate governance, and dividend initiations. J. Corp. Financ. 17(3), 710–724 (2011)

    Article  Google Scholar 

  29. Perepeczo, A.: Reakcja akcjonariuszy na decyzje o wypłacie dywidendy w spółkach publicznych–wyniki badań empirycznych. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu 323, 253–264 (2013)

    Google Scholar 

  30. Pettit, R.R.: Dividend announcements, security performance, and capital market efficiency. J. Financ. 27(5), 993–1007 (1972)

    Article  Google Scholar 

  31. Pieloch-Babiarz, A.: Reakcja rynku kapitałowego na wypłatę dywidendy inicjalnej w świetle cateringowej teorii dywidendy. Studia Ekonomiczne 263, 88–102 (2016)

    Google Scholar 

  32. Słoński, T., Zawadzki, B.: Analiza reakcji inwestorów na zmianę wielkości wypłacanej dywidendy przez spółki notowane na GPW w Warszawie. Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia 46(1), 125–135 (2012)

    Google Scholar 

  33. Słoński, T., Zawadzki, B.: The impact of a surprise dividend increase on a stocks’ performance. The analysis of companies listed on the Warsaw Stock Exchange. Oper. Res. Decis. 22(2), 45–54 (2012)

    Google Scholar 

  34. Travlos, N.G., Trigeorgis, L., Vafeas, N.: Shareholder wealth effects of dividend policy changes in an emerging stock market: the case of cyprus. Multinatl. Financ. J. 5(2), 87–112 (2015). https://ssrn.com/abstract=2627623

    Article  Google Scholar 

  35. Vieira, E.S., Raposo, C.C.: Signalling with dividends? The signalling effects of dividend change announcements: new evidence from Europe (2007). Available at http://dx.doi.org/10.2139/ssrn.955768

  36. Yilmaz, A.K., Gulay, G.: Dividend policies and price-volume reactions to cash dividends on the stock market: evidence from the Istanbul Stock Exchange. Emerg. Mark. Financ. Trade 42(4), 19–49 (2006). https://doi.org/10.2753/REE1540-496X420402

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Finance and Corporate Strategy, Faculty of Management, University of Lodz, Łódź, Poland

    Bogna Kaźmierska-Jóźwiak

Authors
  1. Bogna Kaźmierska-Jóźwiak
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Bogna Kaźmierska-Jóźwiak .

Editor information

Editors and Affiliations

  1. Department of Insurance and Capital Markets, University of Szczecin, Szczecin, Poland

    Waldemar Tarczyński

  2. Institute of IT in Management, University of Szczecin, Szczecin, Poland

    Kesra Nermend

Rights and permissions

Reprints and permissions

Copyright information

© 2019 Springer Nature Switzerland AG

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Kaźmierska-Jóźwiak, B. (2019). Stock Market Reactions to Dividend Announcements: Evidence from Poland. In: Tarczyński, W., Nermend, K. (eds) Effective Investments on Capital Markets. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-21274-2_27

Download citation

Publish with us

Policies and ethics

Search

Navigation