Price Formation around Cum Date Dividend Announcement

Budi Frensidy, Irene Josephine, Ignatius Roni Setyawan

Research output: Contribution to conferencePaperpeer-review

Abstract

returns around the announcement date of the cum date dividend date and price changes around the announcement date. The population studied is the company announced a dividend for the period 2007 - 2012, consists of 15 companies that successive 3-year reported operating income, cash dividends during the 11 days of observation. Testing of the event study on the information content of the cum date dividend announcement is found that it contains no significant information on cum date dividend announcement, and found no significant negative information content one day after the cum date dividend announcement. Results of this study still found the significant abnormal returns around the dividend announcement. Regression testing ask price, bid price, and the days before and after the dividend announcement to the stock price was found that the price formation is not influenced by the dividend announcement, but they are influenced by the ask and the bid prices, which implies there is an effort of investors to maximize capital gains by making the selling and purchasing of certain stocks.
Original languageEnglish
DOIs
Publication statusPublished - 2017
EventThe 4th International Conference on Business, Economics, and Social Sciences (ICBESS) 2017 - ID, Yogyakarta, Indonesia
Duration: 1 Jan 2017 → …

Conference

ConferenceThe 4th International Conference on Business, Economics, and Social Sciences (ICBESS) 2017
CountryIndonesia
CityYogyakarta
Period1/01/17 → …

Keywords

  • cum date, event study, abnormal return, price, ask price, bid price.

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