Author(s):
Rajesh Khurana, D. P. Warne
Email(s):
rajeshkhurana147@gmail.com , dpwarne9@gmail.com
DOI:
10.5958/2321-5763.2018.00102.6 
Address:
Rajesh Khurana, D. P. Warne
1Doctoral Research Scholar, Chaudhary Devi Lal University, Sirsa, Haryana
2Chairperson, Department of Commerce, Chaudhary Devi Lal University, Sirsa, Haryana
*Corresponding Author
Published In:
Volume - 9,
Issue - 1,
Year - 2018
ABSTRACT:
This study tests the semi-strong form of market efficiency by investigating the reaction of stock prices to dividend announcements. This study belongs to event study methodology. The focus of present study lies in the sample period from 2006 to 2015 for finding out significant changes in the abnormal stock returns pre and post dividend announcement by 245 sample events from 14 different sectors which are listed at NSE 100. The results indicate that there are insignificant positive abnormal returns can be observed from the day five (t+5) of dividend announcement in line with evidence of developed stock market. On the announcement day there is negative AAR of -0.28% which is very low and insignificant (z value = 0.007). None of the sector observed significant positive abnormal returns (AARs) out of 14 sectors. The results provide stronger evidence of semi-strong efficiency of the Indian stock market.
Cite this article:
Rajesh Khurana, D. P. Warne. Stock Price Adjustments to Selected Corporate Announcements: A Study of Dividend Announcements. Asian Journal of Management. 2018; 9(1):649-659. doi: 10.5958/2321-5763.2018.00102.6
Cite(Electronic):
Rajesh Khurana, D. P. Warne. Stock Price Adjustments to Selected Corporate Announcements: A Study of Dividend Announcements. Asian Journal of Management. 2018; 9(1):649-659. doi: 10.5958/2321-5763.2018.00102.6 Available on: https://ajmjournal.com/AbstractView.aspx?PID=2018-9-1-102