THE EFFECTS OF DIVIDEND ANNOUNCEMENT ON STOCK RETURNS – A STUDY IN HOSE

Abstract

The relationship between dividend policy and stock returns has attracted many dícussions for several decades. This study investigates whether there is a link between them. The empirical results show that there is an increase in excess return after the dividend announcement. Further analyses combined with the two factors including dividend type and capitalization can better explain that significant increase. Cash dividend and small stocks are found to have higher returns, which confirms a difference in the dividend announcement effect among groups