Share Price Reaction to Dividend Announcements and the Interaction with Earnings Announcements in the Malaysian Stock Market

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Peng-Poi Yip Mansor Isa George W. Kester Siew-Peng Lee

Abstract

This study examines the market reactions to dividend announcements and
the interaction with earnings announcements in the Malaysian stock market.
Data was obtained for a sample of one thousand and eighty eight (1088)
dividend announcements from firms whose shares were traded on the
Malaysian stock exchange from 2004 to 2008. Abnormal returns were
calculated using the market model. The results are partially consistent
with the dividend information signalling hypothesis. There are positive
abnormal returns related to dividend increase and dividend unchanged
announcements, but insignificant for dividend decrease announcements.
Combining dividend announcements with earnings announcements that
take place well before dividend announcements, we find that both earnings
and dividends exert their influence independently on share prices.

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How to Cite
YIP, Peng-Poi et al. Share Price Reaction to Dividend Announcements and the Interaction with Earnings Announcements in the Malaysian Stock Market. AJBA, [S.l.], v. 3, n. 2, p. 101-120, june 2010. ISSN 2180-3137. Available at: <https://ajba.um.edu.my/article/view/2619>. Date accessed: 23 july 2019.
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