Ekonomski pregled, Vol. 72 No. 5, 2021.
Prethodno priopćenje
https://doi.org/10.32910/ep.72.5.2
STOCK DIVIDEND EX-DAY ABNORMAL RETURN: EVIDENCE FROM TURKISH STOCK MARKET
Eyup Kadioglu
Ayhan Kirbas
Sažetak
This study examines the impact of the ex-day of stock dividend on stock return and volume on Borsa Istanbul stock exchange. The data covers 1,220 stock dividends associated with 305 companies over the period 1997-2018. A positive abnormal return and volume is seen around the ex-day of stock dividend. The cumulative average excess return over market return starts to significantly rise ten days before ex-day and reaches its highest level on the ex-day before falling back in the days following. Our findings show that abnormal return around ex-day is strongly associated with stock dividend pay-out ratio, asset size and a company’s market value. The share of listed companies with higher stock dividend pay-out ratio or lower asset size or lower market capitalization, can generate respectively 5.97%, 6.08% and 5.88% abnormal return over market index return.
Ključne riječi
stock dividend; ex-day effect; market anomaly; market microstructure; investment strategy
Hrčak ID:
262982
URI
Datum izdavanja:
30.9.2021.
Posjeta: 1.196 *