The Russian Market Reaction to Dividend Surprises: An Empirical Study
DOI:
https://doi.org/10.21638/11701/spbu18.2016.202Abstract
The article investigates reaction of the Russian stock market to dividend announcements in the period 2010–2014. In the study the problem is examined from dividend “surprises” perspective. The idea behind this approach is that market participants’ dividend expectations are assumed to be built on the basis of publicly available analysts’ forecasts. As a proxy for dividend surprise the difference between the announced dividends and the consensus analyst forecast is used. No studies with the use of the dividend “surprises” model in the context of Russian market were conducted before, thus, the present research contributes to the testing of the signaling theory of dividends on the Russian stock market. The research was conducted using event study methodology on the sample of 40 Russian public companies, which regularly pay yearly dividends. Obtained results of the study provide grounds to make conclusions about the fact that Russian market on average reacts negatively to both good and bad dividend surprises. The research confirms conclusions, which were drawn in the previous “naïve” studies of the Russian market reaction to dividend announcements. In the research results are discussed from the perspective of market efficiency, investors’ expectations and their corresponding behaviour, as well as from the view of Russian market state in the period of study.
Keywords:
dividend surprise, stock market, Russia, event study
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References
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Translation of references in Russian into English
Berezinets I. V., Bulatova L. A., Ilina Yu. B., Smirnov M. V. 2015. Russian stock market reactions to dividend announcements: Empirical study. Vestnik S.-Peterburgskogo unta. Seriya Menedzhment (1): 44–90.
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Published
2016-06-29
How to Cite
Berezinets, I. V., Bulatova, L. A., Ilina, Y. B., & Smirnov, M. V. (2016). The Russian Market Reaction to Dividend Surprises: An Empirical Study. Russian Management Journal, 14(2), 29–48. https://doi.org/10.21638/11701/spbu18.2016.202
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Theoretical and Empirical Studies
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Articles of the Russian Management Journal are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.
