Stock Market Reaction to Dividend Announcements: Evidence from the Greek Stock Market

38 Pages Posted: 25 Apr 2007

Date Written: April 6, 2009

Abstract

This study investigates the stock market reaction of the Athens Stock Exchange (ASE) to cash dividend announcements for the period 2000-2004. In particular, the paper examines both the stock price and trading volume response to company announcements about dividend distributions. The dividend distribution in Greece features remarkable differences from those of US, UK and other developed markets. First, dividends in Greece are paid on a yearly basis. Second, the corporate law designates with high accuracy the minimum amount for distribution from the net earnings. Third, neither tax on dividends nor on capital gains is imposed in Greece. Despite this restrictive informational environment, we document significant market reaction on dividend announcement dates. Similar market reaction is observed to dividend change announcements, lending support to the "information content of dividends hypothesis" which predicts market reaction on the direction of that of dividend change.

Keywords: Dividends, signaling effects, stock prices, trading volume, Athens Stock Exchange

JEL Classification: G12, G35

Suggested Citation

Dasilas, Apostolos, Stock Market Reaction to Dividend Announcements: Evidence from the Greek Stock Market (April 6, 2009). Available at SSRN: https://ssrn.com/abstract=981885 or http://dx.doi.org/10.2139/ssrn.981885

Apostolos Dasilas (Contact Author)

University of Macedonia ( email )

156 Egnatia St.
P.O. 1591
Thessaloniki, 54006
Greece

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