The Announcement Effect of Cash Dividend Changes on Share Prices: Evidence from Dhaka Stock Exchange

摘要

This paper investigates the announcement effect of cash dividend changes on share prices listed on the Dhaka Stock Exchange (DSE). Standard event study methodology is used to investigate the effect of an event window of -3 to +3 days relative to dividend announcement date. Cumulative abnormal returns (CAR) have also been measured for a 41-day window around announcement date. This study finds that shareholders earn only normal return on the announcement of dividend increases and no changes. However, a significant positive abnormal return (AR) is observed in the preannouncement period for a dividend increase which indicates some kind of information leakage before the announcement is actually made. The announcement of dividend decrease results in a significant negative AR on the announcement day and persists even 20 days after the announcement. Significant ARs following dividend decrease announcement reveal DSE is not a semi-strong form of efficient market.