Analysis of Impacts of Dividend Announcements on Stock Returns

The aim of this study is to examine the impact of dividend announcements on stock returns by using companies’ data registered in BIST. For this purpose, a total of 548 dividend announcements from 136 companies have been used. The impact of those announcements on stock prices has been tested by regression analysis using event date windows created around announcement date. Analyses have been carried out for each cash dividend, stock dividend and hybrid dividend distribution forms. According to results of cash dividend analyses, there is a significant and positive relationship between dividend yield and abnormal returns for the days after and including announcement date. This relationship starts at the day of announcement, reaches its peak during the first two days, and continues at least 15 days. However, significant relationships could not be reached by stock dividend and hybrid dividend analyses. Investors are indifferent to stock dividend and hybrid dividend announcements around announcement date. In all analyses, any significant relationships could not been set up in the days before the announcement date. Hence, it has been concluded that dividend information which is important information that can affect stock price has not been leaked from the company to market prior to announcement date and hence there is no insider trading