The Effect of Dividend Distribution Announcements on Stock Prices: Evidence from Borsa Istanbul

Authors : Mehmet YOLCU, Feride ÖZTÜRK

Pages : 185-197

View : 19 | Download : 10

Publication Date : 2022-12-30

Article Type : Research Paper

Abstract :This paper investigates firstly whether cash dividend distribution announcements in Turkish stock market have any effect on the stock returns or not. Data set is determined as companies listed in the Borsa İstanbul 100 Index between 2010 and 2019. To reveal the announcement effect, event study analysis is applied. Event study analysis shows that increasing dividend announcements have a significant positive impact on abnormal returns while decreasing and constant dividend announcements have a significant negative impact. Secondly, if the announcements of cash dividend distributions result in abnormal returns on the stock prices, the variables driving the abnormal returns are examined using cross-sectional regression analysis. Percentage change in dividend payment, dividend yield at the time of dividend change announcement, market value to book value ratio, company size, and return on asset ratio variables are tested whether they have explanatory power on abnormal returns or not. The results indicate that price to book ratio and return on asset ratio variables affect abnormal returns for cash dividend decrease announcements while dividend change, dividend yield, size and return on asset variables affect abnormal returns for cash dividend increase announcements. In all cash dividend announcements where cash dividend decrease, increase and no change announcements are considered, dividend yield and return on asset variables have an effect on abnormal returns.
Keywords : Borsa İstanbul, Kâr Payı Dağıtımı, Duyuru Etkisi, Etkin Piyasalar Hipotezi, Normalüstü Getiriler