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Speed of Adjustment of Stock Returns Around Dividend Announcements in Pakistan

Author

Listed:
  • Zubair Tanveer

    (Punjab Economic Research Institute, Lahore, Pakistan)

Abstract

This study investigates the behavior of stock prices to identify the speed of adjustment of stock returns in response to dividend declarations in the 10 most lucrative sectors of the Pakistan stock market. The event methodology results show that the Pakistan stock market is a semi-strong efficient market since share prices do not adjust rapidly in response to new information.

Suggested Citation

  • Zubair Tanveer, 2021. "Speed of Adjustment of Stock Returns Around Dividend Announcements in Pakistan," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-5.
    • Handle: RePEc:ayb:jrnael:45
    DOI: 2021/10/06
    as

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    References listed on IDEAS

    as
    1. Waël Louhichi, 2008. "Adjustment of stock prices to earnings announcements: evidence from Euronext Paris," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 7(1), pages 102-115, February.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    3. Ghulam Mujtaba Chaudhary & Shujahat Haider Hashmi & Aqeel Younis, 2016. "Does Dividend Announcement Generate Market Signal? Evidence from Pakistan," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 65-72.
    4. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stock price adjustment; dividend announcement; event study methodology;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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