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The Analysis of Dividend Announcement Impact on Stock Prices of Baltic Companies

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  • Renata Legenzova
  • Otilija Jurakovaite
  • Agne Galinskaite

Abstract

The paper is aimed to analyze and evaluate the dividend announcement impact on stock prices of companies listed on the NASDAQ OMX Baltic market during 2010-2015. The analysis was performed using the market model event study analysis and calculating AARs based on 3 strategies, which assume that investors buy shares 30 days prior to the dividend announcement and sell them either 1, 3 or 7 days after the dividend announcement. During the research period, dividends were paid by 40 out of 72 companies listed on the NASDAQ OMX Baltic. A total of 168 dividend announcements have been made and analyzed in this paper. The results of the research revealed that within the analyzed event windows, positive AARs exist; however, they are not statistically significant. Positive AARs obtained 3 or 7 days after the dividend announcement imply that stock prices do not drop shortly after the dividend announcement, which would indicate weak NASDAQ OMX Baltic market efficiency.

Suggested Citation

  • Renata Legenzova & Otilija Jurakovaite & Agne Galinskaite, 2017. "The Analysis of Dividend Announcement Impact on Stock Prices of Baltic Companies," Central European Business Review, Prague University of Economics and Business, vol. 2017(1), pages 61-76.
    • Handle: RePEc:prg:jnlcbr:v:2017:y:2017:i:1:id:173:p:61-75
    DOI: 10.18267/j.cebr.173
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    More about this item

    Keywords

    stock prices; dividend announcements; market efficiency; the Baltic States;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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