Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

The stock market reaction to dividend reductions and omissions in China

The stock market reaction to dividend reductions and omissions in China The purpose of this paper is to investigate Chinese stock market reaction to the announcements of dividend reductions and omissions.Design/methodology/approachThe data sets cover the period from 1990 to 2009. A rolling portfolio approach is performed and the Fama–French three-factor model is used to calculate the post-announcement long-term abnormal returns. The matching method and the sub-sample tests are used to examine the robustness.FindingsAfter controlling for firm size, the unexpected earnings and government ownership, no evidence of the dividend announcement drift is found. The results also show that the government ownership and the large trading play a role in explaining the post-announcement abnormal returns.Originality/valueThis is the first study concerning the Chinese market that examines the Chinese stock market reaction to dividend cut and omission using a long-time period of data. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

The stock market reaction to dividend reductions and omissions in China

Managerial Finance , Volume 45 (3): 18 – Apr 8, 2019

Loading next page...
 
/lp/emerald-publishing/the-stock-market-reaction-to-dividend-reductions-and-omissions-in-HR6rc02mwj

References (32)

Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
0307-4358
DOI
10.1108/mf-03-2018-0134
Publisher site
See Article on Publisher Site

Abstract

The purpose of this paper is to investigate Chinese stock market reaction to the announcements of dividend reductions and omissions.Design/methodology/approachThe data sets cover the period from 1990 to 2009. A rolling portfolio approach is performed and the Fama–French three-factor model is used to calculate the post-announcement long-term abnormal returns. The matching method and the sub-sample tests are used to examine the robustness.FindingsAfter controlling for firm size, the unexpected earnings and government ownership, no evidence of the dividend announcement drift is found. The results also show that the government ownership and the large trading play a role in explaining the post-announcement abnormal returns.Originality/valueThis is the first study concerning the Chinese market that examines the Chinese stock market reaction to dividend cut and omission using a long-time period of data.

Journal

Managerial FinanceEmerald Publishing

Published: Apr 8, 2019

Keywords: Abnormal return; Stock market reaction; Dividend announcement; Dividend omission; Dividend reduction; G14; G35

There are no references for this article.