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A Further Examination Of The Price And Volatility Impact Of Stock Dividends At Ex-Dates




We examine the price and volatility reaction around stock dividend ex-dates for an Australian sample, over the period January 1992 to December 2000. We find that price reaction around stock dividend ex-dates provides positive abnormal returns both prior, and subsequent, to the abolishment of par value of shares in July 1998. When we partitioned the sample into financial, industrial non-financial and mining firms, the price reaction is found to be positive and significant only for industrial non-financial companies. Volatility of daily returns for periods subsequent to ex-dates is significantly greater than corresponding periods prior to announcement dates, while cumulative raw returns subsequent to ex-dates are significantly lower than periods prior to announcement dates for industrial non-financial companies. The magnitude of the price reaction is statistically significantly related to an increase in the volatility of daily returns and to a reduction in cumulative raw returns subsequent to the ex-dates, for industrial non-financial companies. These findings support buying pressure hypothesis suggested by Dhatt et al. (1994, 1996 ). Copyright Blackwell Publishing Ltd/University of Adelaide and Flinders University 2005..

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  • Balasingham Balachandran & Robert Faff & Sally Tanner, 2005. "A Further Examination Of The Price And Volatility Impact Of Stock Dividends At Ex-Dates ," Australian Economic Papers, Wiley Blackwell, vol. 44(3), pages 248-268, September.
  • Handle: RePEc:bla:ausecp:v:44:y:2005:i:3:p:248-268

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