The Russian Market Reaction to Dividend Surprises: An Empirical Study

Authors

DOI:

https://doi.org/10.21638/11701/spbu18.2016.202

Abstract

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

Downloads

Download data is not yet available.
 

References

ЛИТЕРАТУРА НА РУССКОМ ЯЗЫКЕ

Березинец И. В., Булатова Л. А., Ильина Ю. Б., Смирнов М. В. 2015. Реакция российского рынка на объявления о выплате дивидендов: эмпирическое исследование. Вестник С.-Петербургского ун-та. Серия Менеджмент (1): 44–90.

Рогова Е. М., Бердникова Г. О. 2014. Ценовая реакция российского фондового рынка на объявления компаний о дивидендных выплатах. Российский журнал менеджмента 12 (4): 3–28.

Теплова Т. В. 2008. Влияние дивидендных выплат на рыночную оценку российских компаний: эмпирическое исследование методом событийного анализа на российских и зарубежных торговых площадках. Аудит и финансовый анализ (2): 1–15.

Теплова Т. В. 2011. Реакция цен акций на объявления денежных дивидендов: сигнализирование на российском рынке до и после кризиса. Финансовый менеджмент (1): 13–25.


REFERENCES IN LATIN ALPHABET

Aharony J., Swary I. 1980. Quarterly dividend and earnings announcements and stockholders returns: An empirical analysis. Journal of Finance 35 (1): 1–12.

Akbar M., Baig H. H. 2010. Reaction of stock prices to dividend announcements and market efficiency in Pakistan. Lahore Journal of Economics 15 (1): 103–125.

Akben-Selcuk E., Altiok-Yilmaz A. 2010. Information content of dividends: Evidence from Istanbul stock exchange. International Business Research 3 (3): 126–132.

Ambarish R., John K., Williams L. 1987. Efficient signaling with dividends and investments. Journal of Finance 42 (2): 321−343.

Amihud Y., Murgia M. 1997. Dividends, taxes, and signaling: Evidence from Germany. Journal of Finance 52 (1): 397–408.

Amin A. S., Dutta S., Saadi S., Vora P. P. 2015. Institutional shareholding and information content of dividend surprises: Reexamining the dynamics in dividend-reappearance era. Journal of Corporate Finance 31: 152–170.

Andres Ch., Betzer A. А., van den Bongard I., Haesner Ch., Theissen E. 2013. The information content of dividend surprises: Evidence from Germany. Journal of Business Finance & Accounting 40 (5–6): 620–645.

Bar-Yosef S., Sarig O. H. 1992. Dividend surprises inferred from option and stock prices. Journal of Finance 47 (4): 1623–1640.

Bhattacharya S. 1979. Imperfect information, dividend policy, and “the bird in the hand” fallacy. Bell Journal of Economics 10 (1): 259–270.

Brown Ph., How J. C. Y., Verhoeven P. 2008. The accuracy of analysts dividend forecasts around the world. Pacific-Basin Finance Journal 16 (4): 411–435.

Conroy R. M., Eades K. M., Harris R. S. 2000. A test of the relative pricing effects of dividends and earnings: Evidence from simultaneous announcements in Japan. Journal of Finance 55 (3): 1199–1227.

Eades K. M. 1982. Empirical evidence on dividends as a signal of firm value. Journal of Financial and Quantitative Analysis 17 (4): 471−500.

Easterbrook F. H. 1984. Two agency-cost explanations of dividends. American Economic Review 74 (4): 650−659.

Fama E. F. 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25 (2): 383–417.

Fama E., Fisher L., Jensen M., Roll R. 1969. The adjustment of stock prices to new information. International Economic Review 10 (1): 1−21.

Fuller K. P. 2003. The impact of informed trading on dividend signaling: A theoretical and empirical examination. Journal of Corporate Finance 9 (4): 385−407.

Grullon G., Michaely R., Swaminathan B. 2002. Are dividend changes a sign of firm maturity? Journal of Business 75 (3): 387−424.

Healy K., Palepu P. 1988. Earning information conveyed by dividend initiations and omissions. Journal of Financial Economics 21 (2): 149−176.

Hull T. 2013. Does the timing of dividend reductions signal value? Empirical evidence. Journal of Corporate Finance 22: 193−208.

Irum M., Rafique M., Hassan A. 2012. Effect of dividend announcement on share prices of petroleum industry of Pakistan. Journal of Basic and Applied Scientific Research 2 (7): 6503−6511.

Jensen M. C. 1986. Agency cost of free cash flow, corporate finance, and takeovers. American Economic Review 76 (2): 323–329.

John K., Kalay A. 1985. Informational content of optimal debt contracts. In: Altman E., Subrahmanyam M. (eds). Recent Advances in Corporate Finance. Irwin: Homewood, Il; 133–161.

Joshipura M. 2009. Price and liquidity effects of bonus announcements: Empirical evidence from Indian stock market. The IUP Journal of Applied Finance 15 (11): 5−23.

Kwan C. C. Y. 1981. Efficient market tests of the informational content of dividends announcements. Journal of Financial and Quantitative Analysis 16 (2): 193−205.

Lintner J. 1956. Distribution of incomes of corporations among dividends, retained earnings, and taxes. American Economic Review 46 (2): 97−113.

Liu Ch., Chen An-Sing. 2015. Do firms use dividend changes to signal future profitability? A simultaneous equation analysis. International Review of Financial Analysis 37: 194−207.

Miller M. H., Rock K. 1985. Dividend policy under asymmetric information. Journal of Finance 40 (4): 1031–1051.

Modigliani F., Miller M. 1961. Dividend policy, growth and the valuation of shares. Journal of Business 34 (4): 411–433.

Myers S. C. 1977. Determinants of corporate borrowing. Journal of Financial Economics 5 (2): 147–175.

Myers S. C. 1984. Capital structure puzzle. Journal of Finance 39 (3): 575–592.

Olsen R. A. 1998. Behavioral finance and ts implications for stock — price volatility. Financial Analysts Journal 54 (2): 10–18.

Oprean C., Tanasescu C. 2014. Effects of behavioural finance on emerging capital markets. Procedia Economics And Finance 15: 1710–1716.

Peterson P. 1989. Event studies: A review of issues of methodology. Quarterly Journal of Business and Economics 28 (3): 36–66.

Taneem S., Yuce A. 2011. Information content of dividend announcements: An investigation of the Indian stock market. International Business & Economics Research Journal 10 (5): 49–57.

Wooldridge J. R. 1982. The information content of dividend changes. Journal of Financial Research 5 (3): 237–247.

Wooldridge J. R. 1983. Dividend changes and security prices. Journal of Finance 38 (5): 1607–1615.

Wooldridge J. R., Ghosh C. 1985. Dividend cuts: Do they always signal bad news? Corporate Finance Journal 3 (2): 20–32.


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.

Rogova E. M., Berdnikova G. O. 2014. Russian stock market reaction to dividend announcements. Rossiiskii zhurnal menedzhmenta 12 (4): 3–28.

Teplova T. V. 2008. Impact of cash dividend payments on Russian companies’ market capitalization: Event study testing for Russian and world stock exchanges. Audit i finansovyj analiz (2): 1–15.

Teplova T. V. 2011. The reaction of share prices on cash dividend announcements: Signaling on the Russian market before and after the crisis. Finansovyj menedzhment (1): 13–25.

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

Issue

Section

Theoretical and Empirical Studies

Most read articles by the same author(s)

1 2 > >>