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Effect of dividend and repurchase announcements on the polish stock market

Author

Listed:
  • Henryk Gurgul

    () (Department of Applied Mathematics, University of Science and Technology, Poland)

  • Pawel Majdosz

    (Department of Quantitative Methods, School of Economics and Computer Science, Poland)

Abstract

The main aim of this paper is to explore the information content of dividend and buy back announcements. Using daily data from the Warsaw Stock Exchange, we investigate the reaction of stock prices of the announcing firms as well as the industry rivals to the announcement issue. The regression analysis is carried out to explain the differences in magnitude of valuation effects across rivals.

Suggested Citation

  • Henryk Gurgul & Pawel Majdosz, 2005. "Effect of dividend and repurchase announcements on the polish stock market," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 25-41.
  • Handle: RePEc:wut:journl:v:1:y:2005:p:25-41
    as

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    File URL: http://www.ioz.pwr.wroc.pl/boid/artykuly/1-2005/art-2-gurgul.pdf
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    References listed on IDEAS

    as
    1. Lakonishok, Josef & Vermaelen, Theo, 1990. " Anomalous Price Behavior around Repurchase Tender Offers," Journal of Finance, American Finance Association, vol. 45(2), pages 455-477, June.
    2. Gustavo Grullon & Roni Michaely, 2002. "Dividends, Share Repurchases, and the Substitution Hypothesis," Journal of Finance, American Finance Association, vol. 57(4), pages 1649-1684, August.
    3. Aharony, Joseph & Swary, Itzhak, 1980. " Qtrly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 35(1), pages 1-12, March.
    4. Jensen, Michael C, 1986. "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers," American Economic Review, American Economic Association, vol. 76(2), pages 323-329, May.
    5. Denis, David J, 1990. " Defensive Changes in Corporate Payout Policy: Share Repurchases and Special Dividends," Journal of Finance, American Finance Association, vol. 45(5), pages 1433-1456, December.
    6. Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August.
    7. 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.
    8. Franklin Allen & Antonio E. Bernardo & Ivo Welch, 2000. "A Theory of Dividends Based on Tax Clienteles," Journal of Finance, American Finance Association, vol. 55(6), pages 2499-2536, December.
    9. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    10. Miller, Merton H & Rock, Kevin, 1985. " Dividend Policy under Asymmetric Information," Journal of Finance, American Finance Association, vol. 40(4), pages 1031-1051, September.
    11. Dann, Larry Y. & Masulis, Ronald W. & Mayers, David, 1991. "Repurchase tender offers and earnings information," Journal of Accounting and Economics, Elsevier, vol. 14(3), pages 217-251, September.
    12. B. Douglas Berhheim, 1991. "Tax Policy and the Dividend Puzzle," RAND Journal of Economics, The RAND Corporation, vol. 22(4), pages 455-476, Winter.
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    Citations

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    Cited by:

    1. Bogna Ka?mierska-Jó?wiak & Elzbieta Wro?ska-Bukalska, 2017. "Effect Of Repurchase Announcement On The Polish Alternative Stock Market," Proceedings of Economics and Finance Conferences 4807891, International Institute of Social and Economic Sciences.
    2. Szomko Natalia, 2015. "Investor Reaction to Information on Final Dividend Payouts on the Warsaw Stock Exchange – an Event Study Analysis," International Journal of Management and Economics, De Gruyter Open, vol. 45(1), pages 127-146, March.

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