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SIGNALING EFFECT OF DIVIDEND DECISION ON THE
MARKET PRICE OF SELECT LISTED COMPANIES
THESIS
SUBMITTED TO THE
UNIVERSITY OF LUCKNOW
FOR THE AWARD OF THE DEGREE OF
DOCTOR OF PHILOSOPHY
IN
BUSINESS ADMINISTRATION
SUBMITTED BY:
VIJAY SHANKAR PANDEY
Under the Supervision of
Prof. J. K. SHARMA
DEPARTMENT OF BUSINESS ADMINISTRATION
UNIVERSITY OF LUCKNOW
LUCKNOW
2015
i
DEPARTMENT OF BUSINESS ADMINISTRATION
UNIVERSITY OF LUCKNOW
Declaration
I declare that this thesis titled “Signaling Effect of Dividend Decision on the
Market Price of Select listed Companies” is my genuine and original work.
It is being submitted in fulfilment for the award of Doctor of Philosophy in
Business Administration, University of Lucknow. It is further declared that this
thesis has not been submitted earlier for the award of any degree of diploma in
this or any other university or any other institute. All the sources referred to in
this dissertation have been duly cited. However, in pursuance of this research,
two papers namely “Dividend Signalling And Market Efficiency In Emerging
Economy: A Study of Indian Stock Market” published in International Journal
of Finance & Accounting Studies ISSN 2203-4706 and “Effect of Dividend
Initiation and Omission on Share Prices in Indian Stock Market” presented and
published in Advances in Economics and Business management (AEBM) print
ISSN:2394-1545; Online ISSN: 2394-1553 are associated with the topic of this
Ph.D. thesis.
Vijay Shankar Pandey
Research Scholar
Dated: Feb, 2015
Lucknow
Countersigned
This is to certify that the above declaration by the candidate is true to the best
of my knowledge.
Prof. J. K. Sharma
Dated: (Supervisor)
Lucknow
ii
Certificate
This is to certify that thesis entitled “Signaling Effect of Dividend Decision
on the Market Price of Select listed Companies” being submitted by Vijay
Shankar Pandey for the award of degree of Doctor of Philosophy is a record of
bonafide research carried out by him. He has worked under my guidance and
supervision for submission of this thesis, which to my knowledge has reached
the requisite standard. To the best of my knowledge, this thesis or any part
thereof has not been submitted to any other university or Institution for the
award of any degree.
Date
Place: Lucknow Prof. (Dr.) J. K. Sharma
Department of Business Administration
University of Lucknow, Lucknow
iii
Acknowledgement
This work is the outcome of constant thoughts and discussions with my
research supervisor Professor J. K Sharma Sir, who evoked positivity and
inspired me to work in the right direction to complete this work. It is privilege
for me to be a student supervised by him. I am highly obliged and thankful for
his contribution of time, ideas and dedication, to make my Ph. D experience
stimulating and productive. The joy and enthusiasm endeavoured in me by his
working style, made the long association with him a short journey. I am always
indebted not only for his supervision of thesis work but also for taking care of
me as his own son.
I am also grateful to Professor Poonam Sharma Ma’am, (Mathematics
Department, University of Lucknow, Lucknow) who is a constant inspirational
source for me by her dedication, humbleness, nurturing behaviour and
continuous guidance to me. Her careful act towards me is not anything less
than that of my own mother.
This study would not have taken its present form without the support of
teachers in the Faculty of Commerce particularly the teachers of the
Department of Business Administration. I am very gratitude to Prof. Arvind
Kumar (Dean, Faculty of Commerce), Mr. Sanjay Medhavi (Head, Department
of Business Administration) Dr. Ritu Narang, Dr. Ajay Prakash, Mr. Rajeev
Saxena, Dr. S. K. Kaushal, Dr. Mohd. Aneesh Dr. Nishant Kumar and Dr. Anu
Kohli for their support and guidance to complete this thesis. I also grateful to
all the staff members of the Faculty of Commerce especially staff members of
Department of Business Administration for their support in completing this
work.
I am highly obliged to all the library and computer laboratory staff of IIM
Lucknow, for their support in the collection of data through CMIE data base
Prowess and literature. I am also very thankful to all my cliques, seniors and
juniors who supported me to complete this work.
I am also expressing a very humble gratitude to my late grandparents, parents,
brothers and sisters and all my relatives for their continuous inspiration and
encouragement in the direction of completing this thesis.I show my gratitude to
all other peoples who I could not mentioned personally for helping me directly
or indirectly in the completion of this thesis work.
Last but not the least I bow my head to the ALL MIGHTY who has shown
me the path, built patience in me and encouraged me when I was nervous in
the my journey to reach this place.
Vijay Shankar Pandey
iv
CONTENTS
Chapter
No.
Particulars Page
No.
1 INTRODUCTION 1-6
1.1 Introduction and Genesis of the Research Idea 1
1.2 Aim and Objectives 2
1.3 Research Methodology 2
1.3.1 Procedure for Sample Selection 2
1.3.2 Categorization of Events 3
1.3.3 Hypothesis 4
1.3.4 Data Collection 4
1.3.5 Analytical tools For Event Study : GARCH Model 5
1.4 Organization of the Study 5
2 LITERATURE REVIEW 7-44
2.1 Introduction 7
2.2 Dividend Signaling Theories 9
2.2.1
Bhattacharya’s View on Dividend Signaling
(1979)
10
2.2.2
Miller and Rock’s View on Dividend Signaling
(1985)
11
2.2.2 John and William’s View on Dividend Signaling
(1985)
12
2.3 Recent Researches on Informational Content of
Dividend Decision
13
2.3.1 Information Asymmetry and Dividend Policy 14
2.3.2 Dividend Announcement and Future earnings 16
2.3.3 Dividend Announcement and Share Price 19
2.3.4 Dividend and Stock Price in Emerging Markets 28
2.4 Conclusion 43
3 RESEARCH METHDOLOGY 45-68
3.1 Aims and Objective of Research 45
3.2 Sample Selection 46
3.2.1 Events Selection 53
3.2.1.1 Event Window Selection 54
3.3 Formulation of Hypothesis 65
3.3.1 Event : Dividend Decision along with declaration
of financial results
65
3.3.2 Event : Standalone dividend alone announcement 65
3.3.3 Event : Dividend initiation 65
3.3.4 Event : Dividend Omission 65
v
3.4 Data Collection 66
3.5 Analytical tools For Event Study: GARCH Model 66
3.5.1 Hypothesis Testing Tools 68
4 EVENT STUDY ANALYSIS OF
DIVIDEND DECISIONS
69-136
4.1 Event Dividend Increase/Decrease announcements
along with financial Results
70
4.1.1 Event: Dividend Increase/Decrease Announcement
of 10 per cent along with Financial Results
70
4.1.2 Event: Dividend Increase/Decrease Announcement
of 15 per cent along with Financial Results
75
4.1.3 Event: Dividend Increase/Decrease Announcement
of 20 per cent along with Financial Results
80
4.1.4 Event: Dividend Increase/Decrease Announcement
of 25 per cent along with Financial Results
85
4.1.5
Event: Dividend Increase/Decrease Announcement
of 50 per cent or more along with Financial
Results
91
4.2 Event: Dividend Increase/Decrease announcement 96
4.2.1 Event: Dividend Increase/Decrease announcement
of 10 per cent
96
4.2.2 Event: Dividend Increase/Decrease announcement
of 15 per cent
99
4.2.3 Event: Dividend Increase/Decrease announcement
of 20 per cent
102
4.2.4 Event: Dividend Increase/Decrease announcement
of 25 per cent
106
4.2.5 Event: Dividend Increase/Decrease announcement
of 50 per cent or more
110
4.3 Event: Dividend Initiation/Omission
Announcement
114
4.4 Analysis of 10-day Mean CAAR values for
dividend related events
119
4.4.1
10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 10 per cent along with
Financial Results
119
4.4.2
10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 15 per cent along with
Financial Results
121
4.4.3
10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 20 per cent along with
Financial Results
123
4.4.4 10-Days Mean CAAR Values for Event Dividend 125
vi
Increase / Decrease
of 25 per cent along with Financial Results
4.4.5
10- Days Mean CAAR Values for Event Dividend
Increase / Decrease of 50 per cent or more along
with Financial Results
127
4.5 Analysis of 10-day Mean CAAR for dividend
increase /decrease
129
4.5.1 10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 10 per cent
129
4.5.2 10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 15 per cent
129
4.5.3 10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 20 per cent
131
4.5.4 10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 25 per cent
131
4.5.5 10-Days Mean CAAR Values for Event Dividend
Increase / Decrease of 50 per cent or more
133
4.6 10-Days Mean CAAR Values for Event Dividend
Initiation/Omission Announcement
134
5 FINDINGS AND DISCUSSIONS 137-150
5.1 Findings 137
5.1.1
Event dividend Increase/decrease along with
announcement of
financial results
137
5.1.1.1 Dividend increase event along with announcement
of financial results
140
5.1.1.2 Dividend decrease event along with announcement
of financial results
142
5.1.2 Event Dividend Increase/Decrease announcement 144
5.1.2.1 Event Dividend Increase Announcement 147
5.1.2.1 Dividend Decrease Announcement Events 148
5.1.3 Event Dividend Initiation/Omission
Announcement
149
6
CONCLUSIONS, POLICY
IMPLICATIONS AND FUTURE
RESEARCH DIRECTIONS
151-163
6.1 Conclusions 151
6.1.1 Signaling effect 153
6.1.2
Pronounced period of CAAR reflecting
inefficiency in the Indian
Stock market
155
6.1.3 Empirical support to findings from other studies 157
6.1.4 Level of Corporate Governance and market 158
vii
efficiency in
emerging economies
6.2 Policy implications 160
6.2.1 Implications for corporates 160
6.2.2 Regulatory Bodies 161
6.2.3 Investors 162
6.3 Limitations and directions for future research 162
REFERENCES 164-176
APPENDICES 177-292
viii
LIST OF TABLES
Sr.
No.
Table
No. Title of the Table
Page
No.
1 2.1 Summarization of Literature Review: 33
2 3.1 Existing Stock Exchanges in India 47
3 3.2 Summarizes stepwise sample selection procedure
of companies
48
4 3.3 Category wise- break-up of Selected Companies
based on respective market capitalization 50
5 3.4
Industry wise Classification of the selected
companies and proportionate representation of
industry to overall selected companies
51
6 3.5 Total Events in the Period of 1 April 2001 to 31
March 2011 and the final event selected for the
study;
56
7 3.6 Shows the number of different types of dividend
related events for the selected 103 companies. 62
8 3.7 Number of isolated dividend events in the window
period of 61 days.
62
9 3.8 Capitalization based percentage changes in
dividends 64
10 3.9 Summarization of Proposed Hypotheses 65
11 4.1 Details of dividend events analysed 69
12 4.2 Test of hypotheses at 5 % level of significance for
10% dividend change announcement along with
financial results
72
13 4.3
Positive and Pronounced periods of significant
CAAR values at 5% level of significance during
sixty- one day event period for the event 10 per
cent change in dividend along with financial
results
73
14 4.4 Test of hypotheses at 5 % significance level for
15% dividend change announcement along with
financial results
77
15 4.5 Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day 79
ix
event period for the event 15 per cent change in
dividend along with financial results.
16 4.6 Test of hypotheses at 5 % significance level for
20% dividend change announcement along with
financial results
82
17 4.7
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 20 per cent change in
dividend along with financial results
84
18 4.8 Test of hypotheses at 5 % significance level for
25% dividend change announcement along with
financial results
87
19 4.8
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 25 per cent change in
dividend along with financial results
89
20 4.10 Test of hypotheses at 5 % significance level for
50% dividend change announcement along with
financial results:
92
21 4.11
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 50 per cent change in
dividend along with financial results
94
22 4.12 Test of hypotheses at 5 % significance level for
10% dividend change announcement 97
23 4.13
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 10 per cent change in
dividend
98
24 4.14 Test of hypotheses at 5 % significance level for
15% dividend alone change announcement: 100
25 4.15
Pronounced periods of significant CAAR values at
5% level of significant during sixty- one day event
period for the event 15 per cent change in
dividend alone
101
26 4.16 Test of hypotheses at 5 % significance level for
20% dividend alone change announcement: 103
27 4.17
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 20 per cent change in
dividend alone
105
x
28 4.18 Test of hypotheses at 5 % significance level for
25% dividend alone change announcement 107
29 4.19
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 25 per cent change in
dividend alone
109
30 4.20 Test of hypotheses at 5 % significance level for
50% dividend change announcement 111
31 4.21
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event 50 per cent change in
dividend
113
32 4.22 Test of hypotheses at 5 % significance level for
event dividend initiation/omission announcement
116
33 4.23
Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day
event period for the event dividend initiation/
omission
117
34 5.1
The analysis of different rates of dividend
changes made simultaneously with declaration of
financial results by large –cap, mid-cap and
small cap companies respectively in the sample
based on daily ARR and CAAR movements as
well as 10- day mean CAAR trends
138
35 5.2
The analysis of different rates of dividend
changes made by large –cap, mid-cap and small
cap companies in the sample based on daily ARR
and CAAR movements as well as 10 day mean
CAAR trends
145
36 5.3
The analysis of different rates of initiation and
omission made by large –cap, mid-cap and small
cap companies in the sample based on daily ARR
and CAAR movements as well as 10 day mean
CAAR trends
149
xi
LIST OF FIGURES
Sr.
No.
Figure
No. Title of the Figure
Page
No.
1 3.1 Event Window and Duration of Event
55
2 3.2 Number of Different type of Dividend Related
Events: 63
3 3.3 Number of Isolated Dividend Events in the
Window Period of 61 Days 63
4 Panel
4.1
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 10 per cent along with financial
results.
71
5 Panel
4.2
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 15 per cent along with financial
results
76
6 Panel
4.3
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 20 per cent along with financial
results.
81
7 Panel
4.4
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 25 per cent along with financial
results
86
8 Panel
4.5
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 50 per cent along with financial
results
91
9 Panel
4.6
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 10 per cent.
96
10 Panel
4.7
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 15 per cent alone
99
xii
11 Panel
4.8
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 20 per cent.
103
12 Panel
4.9
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 25 per cent alone
106
13 Panel
4.10
Figure of calculated AAR and CAAR values for
the event dividend increase/decrease
announcement of 50 per cent or more
111
14 Panel
4.11
Figure of calculated AAR and CAAR values for
the events dividend Initiation and Omission
announcement
115
15 Panel
4.12
Figure of calculated 10 days mean CAAR values
for the event dividend increase/decrease
announcement of 10 per cent along with financial
120
16 Panel
4.13
Figure of calculated 10 days mean CAAR values
for the event dividend increase/decrease
announcement of 15 per cent along with financial
results.
122
17 Panel
4.14
Figure of calculated 10 days mean CAAR values
for the event dividend increase/decrease
announcement of 20 per cent along with financial
results.
124
18 Panel
4.15
Figure of calculated 10 days mean CAAR values
for the event dividend increase/decrease
announcement of 25 per cent along with financial
results.
126
19 Panel
4.16
Figure of calculated 10-days mean CAAR values
for the event dividend increase/decrease
announcement of 50 per cent or more along with
financial results.
128
20 Panel
4.17
Figure of calculated 10-days mean CAAR values
for the event dividend increase/decrease
announcement of 10 per cent alone.
129
21 Panel
4.18
Figure of calculated 10-days mean CAAR for the
event dividend increase/decrease announcement
of 15 per cent.
130
xiii
22 Panel
4.19
Figure of calculated 10-days mean CAAR values
for the event dividend increase/decrease
announcement of 20 per cent
131
23 Panel
4.20
Figure of calculated 10-days mean CAAR values
for the event dividend increase/decrease
announcement of 25 per cent.
132
24 Panel
4.21
Figure of calculated 10-days mean CAAR values
for the event dividend increase/decrease
announcement of 50 per cent or more.
134
25 Panel
4.22
Figure of calculated 10-days mean CAAR values
for the events dividend Initiation and Omission
announcement
136
xiv
LIST OF APPENDICES
Sr.
No.
Appendix
No. Title of the Appendices
Page
No.
1 3.1 The category wise break-up into Large Cap,
Mid cap and small cap of these 627
companies
177
2 3.2 Lists of the break –up of the 103 selected
companies into respective market cap
category along with Industry representation
197
3 3.3 Category wise changes in dividends for all the
selected companies in Large cap 202
4 3.4 Category wise changes in dividends for all the
selected companies in Mid cap 204
5 3.5 Category wise changes in dividends for all the
selected companies in Small cap 206
6 4.1
Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 10 per cent along with
financial results
209
7 4.2
Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 15 per cent along with
financial results
215
8 4.3
Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 20 per cent along with
financial results
221
9 4.4
Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 25 per cent along with
financial results
227
10 4.5
Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 50 per cent along with
financial results
233
11 4.6 Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 10 per cent
240
12 4.7 Calculated AAR and CAAR values for the
event dividend increase/decrease 243
xv
announcement of 15 per cent alone
13 4.8 Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 20 per cent
247
14 4.9 Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 25 per cent alone
251
15 4.10 Calculated AAR and CAAR values for the
event dividend increase/decrease
announcement of 50 per cent or more
255
16 4.11 Calculated AAR and CAAR values for the
events dividend Initiation and Omission
announcement
161
17 4.12 A, B,
C
10-Days Mean CAAR Values for Event
Dividend Increase / Decrease along with
Financial Results for Large cap, Mid cap and
Small cap companies
267
18 4.13 A, B,
C
10-Days Mean CAAR Values for Event
Dividend Increase / Decrease for Large cap,
Mid cap and Small cap companies
275
19 4.14 10-Days Mean CAAR Values for Event
Dividend Initiation / Omission for Large cap,
Mid cap and Small cap companies
282
20 6.1 Major scams in Indian Capital/Stock Market 284
21 6.2 Initiative towards Corporate Governance in
Indian 286
INTRODUCTION
1
CHAPTER 1
INTRODUCTION
1.1 Introduction and Genesis of The Research Idea
Corporate finance focuses on decisions aimed at maximization of shareholders
wealth. In the long term perspective, the decisions related to investment, financing
as well as dividends are expected to create value. One of the measures of value
being market capitalization is influenced by share price value attached by the
market. The performance, growth prospects, strategic direction and potential for
long term sustainable results affects the share prices. The returns to shareholders
simply depend upon capital appreciation in the holdings as well as dividends over
the period. The changes in market prices reflect the perceived changes in the value
of the shares of the company amidst changing environment and in response to
make-up of the company including relations with shareholders in terms of
dividends as well as additions to market value of shares as an outcome of
company’s quality of decisions.
The market reaction to changes in share prices is affected not only by company’s
performance and growth potential but also by the nature of market. Markets tend
to be driven by the informational content of events in the external environment as
well as information communicated by the company through its various decisions.
One of the such decisions is the dividend related decision which has been a subject
matter of interest for researchers all over the world as to its signalling effect.
Existence of differences in signalling effect of dividend related events in different
economies of the world characterised by respective nature and level of market
efficiency have been observed.
Indian stock market has evolved over a period of time to emerge as one of the
most prominent ones. India being a prominent emerging economy with a highest
INTRODUCTION
2
number of transactions amongst all the stock exchanges of the world (World
Federation of Exchanges, 2013) thus provides a good example to examine if
signalling theory holds and comment upon relative efficiency of the market.
1.2 Aim and Objectives
This research primarily aims to study the signalling effect of dividend decisions on
the market price of companies listed on stock market in India. Incidental to the
study it is necessary to understand whether the efficiency level of the Indian stock
market has any role in affecting the changes in share prices due to dividend related
events. The companies listed on the stock market are diverse in terms of the
industry, market capitalization and performance. They also exhibit different types
of dividend decisions viz. cash or stock and indirectly repurchase of shares. The
dividend change decisions can be grouped in to various event categories such as
dividend omission, initiation, increase or decrease. Accordingly, the following
objectives of the study have been formulated:
i) To identify and analyze the different types of dividend related
events and their signalling effect if any on the share price of listed
companies in India.
ii) To analyze whether the signalling effect is consistent for all the
events or it varies with market capitalization or industry
representation of the company.
iii) To test the market efficiency of the Indian Stock Market in relation
to dividend related announcements.
1.3 Research Methodology
1.3.1 Procedure for Sample Selection
There are twenty five stock exchanges operating in India. Out of these twenty one
operate at regional level and only four are working at national level. Only Bombay
INTRODUCTION
3
Stock Exchange (BSE), National Stock Exchange (NSE), Over the Counter Stock
Exchange (OTC) and Multiple Commodity Index (MCX) are operational at
national level. The MCX is trading in commodities and falls within the regulatory
purview of Forward Market Commission of India; while OTC is the market for
non-listed medium size companies, only BSE (Bombay Stock Exchange) and
NSE (National Stock Exchange) deal in majority of the companies listed on the
Indian Stock Market. Due to their size in terms of number of listings as well as
turnover, BSE and NSE have been considered as representative of. Indian Stock
Market for identification of companies and selection of events.
The selections of companies in the sample are based on non-probability purposive
sampling (Stepwise sampling). Time span of 10 year from financial year 2001-02
to financial year 2010-11 has been taken for the study.
The final selection of companies is based on the criteria of regular announcement
of dividend and active trading in the stated stock exchanges (e.g. BSE and NSE)
during the span of time taken for the study. Listed companies on NSE and BSE
exchanges were scanned for such companies which are common to both the
exchanges. Amongst the ones which were found to be common, those companies
which had at least ten dividend events including interim and final dividend over
the ten-year period from Financial year 2001-02 to 2010-11 were identified and
categorized into into Large Cap, Mid Cap and Small Cap companies based on
their respective market capitalization bases to constitute the sample for event
study analysis. The sample constitutes 103 companies and 872 events related to
them over a span of 10 year period from FY 2001 to FY 2011.
1.3.2 Categorization of Events
As the study focusses on signaling effect of dividend decisions in the Indian Stock
listed companies, the dividends related decisions have been categorized into
following broad groups:
1. Dividend alone
2. Dividend along with financial results
3. Dividend along with other events except financial results
INTRODUCTION
4
4. Dividend along with financial results and other events
In order to perform event study analysis it is necessary to exclude such cases
where other events are announced during the window period. The number of
isolated dividend related events falling in the window period of 61 days is arrived
to be 725 with break-up different types of isolated dividend events such as 152
dividend alone events, 522 dividend along with financial results, 16 dividend and
other events except of financial results and 29 of dividend along with financial
results and other events.
1.3.3 Hypothesis:
The following hypotheses have been formulated to study the effect of change
in dividend on the respective share prices of the selected companies:
i. H0: There is no relationship between dividend change announcement
(both increase or decrease) on the share prices of the Indian Stock
market listed companies when dividend announcement is made along
with declaration of financial results..
ii. H0: There is no relationship between standalone t dividend change
announcements on the share prices of the Indian Stock Market listed
companies.
iii. H0: There is no relationship between dividend initiation
announcements on the share prices of the Indian Stock Market listed
companies.
iv. H0: There is no relationship between dividend omission
announcements on the share prices of the Indian Stock Market listed
companies.
1.3.4 Data Collection:
This study used CMIE data base for the collection of data with the help of
software called PROWESS. As claimed by organization itself “Prowess is a
database of the financial performance of Indian companies. Annual Reports of
INTRODUCTION
5
individual companies are the principal source of this database. The database
covers listed and unlisted companies. For listed companies, the database includes
data sourced from the stock exchanges. Prowess contains time-series data from
1989-90 onwards. It is updated continuously. Therefore Prowess database has
been used for the collection of data for the period of 10 years from FY 2001-02 to
FY 2010-11. Data collected from Prowess 3.1 includes dividend rate, dividend
announcement date, closing prices of the selected companies for sampled
companies.
1.3.5 Analytical tools For Event Study : GARCH Model
To examine the impact of any dividend related event on share price, abnormal
returns have been calculated using GARCH (p, q) model as given by Bollerslev
(1987). The decision to apply GARCH (p, q) model for the estimation of abnormal
return over simple OLS model is based on resolution of concerns regarding
autocorrelation and heteroskadasticity in residuals as advocated by Serra (May
2002) and Pynnonen (2005).
1.4 ORGANISATION OF THE STUDY
The study has been organised in six chapters.
i) Chapter I is Introductory and summarizes the approach related to signaling
theory.
ii) Comprehensive Literature review related to dividend signaling has been
carried out in Chapter II. As there have been large number of studies all
over the world pertaining to different markets and having divergent views
on signaling, detailed review of dividend theories to understand the
theoretical framework and evolving thoughts related to signaling have
been studied. Empirical studies on dividend and information asymmetry,
relationship between dividend announcement and future earnings and share
INTRODUCTION
6
prices and dividend related studies particularly pertaining to emerging
market economies have been reviewed. .
iii) Chapter III is devoted to Research Methodology adopted by the researcher
in terms of aims and objective of research, sample selection, events
selection, selection of event window, formulation of hypothesis, procedure
of data collection, analytical tools for empirical study: Garch Model and
hypothesis testing tools.
iv) The analysis of testing of hypotheses appears in Chapter IV. Share price
reaction to changes in dividends have been analyzed for +/-10%, +/-15%,
+/-20%, +/-25% and +/-50% changes both when made along with
announcement of financial results or in isolation. These have been done for
large cap, mid cap as well as small cap companies separately. In addition,
events of dividend initiation as well omission have also been analyzed for
the three categories of companies.
Apart from testing for signalling effect, pronounced period of CAAR in
share price movement have been examined to comment on the nature of
Indian Stock market in terms of its efficiency.
v) Findings and discussion have been presented in Chapter V to draw
inferences about the signaling effect for the respective categories of events
on share price movement as well as the relative efficiency of the stock
market.
vi) Chapter VI is devoted to the conclusions and policy implications for
company management, board, regulators as well as investors.
LITERATURE REVIEW
7
CHAPTER 2
LITERATURE REVIEW
2.1 Introduction
The dividend decision is one of the three basic decisions, which a financial
manager is required to take, the other two being the investment and financing
decisions. The dividend decision is recommended by the Board of Directors at the
annual general meeting. The Board of Directors is faced with the challenge of
reconciling the need for financing future growth, maintaining adequate liquidity,
satisfying the expectations of shareholders. Accordingly the decisions on extent of
retention of profits, cash or stock dividend, repurchase of shares from market and
the amount as well as timing of dividend are required to be made. Therefore in
arriving at an appropriate dividend policy, managers not only look at the current
year’s profit but also at expected future earnings and the ability of the company to
maintain a stable rate of dividend, taking into consideration the systematic growth.
The amount of dividend is therefore dependent upon the percentage of profits any
company would like to part for distribution to shareholders which in turn is
governed by several considerations. Laws in all countries prohibit distribution of
dividend out of capital as part of meeting the conditions of maintaining minimum
legal capital. The distribution of profits as dividend is also subject to various
statutory requirement’s to transfer some of the profits as reserves. Similarly, bond
indentures or contracts also often prevent companies from increasing the
proportion of cash dividend beyond a certain level in order to secure the rights of
bondholders (Black and Cox, 1976).
Based on above-mentioned accounts, dividend policy has drawn attention of
several researchers from time to time. There are several schools of thought in the
LITERATURE REVIEW
8
area. Miller and Modigliani’s (1961), asserted that dividend policy is not
important because it has no effect on the value of the firm and thus does not affect
a firm owner’s wealth. This school assumes that companies follow a residual
dividend Policy which is based on reinvestment of profits to avail investment
opportunities with a positive net present value (Saxena 1999, Baker 2009, Chen
and Dhiensiri 2009) and after that the firms distribute the surplus as a cash
dividend to the shareholders. Partington (1985) claimed that in real practice
companies do not follow the residual dividend policy as dividend decisions are
taken independently from the investment policy.
Bhattacharya (1979), John and Williams (1985) and Miller and Rock (1985) have
gone through all the dividend related school of thoughts and found a gap in
practicing of dividend related policies and its impact on the shareholders. This gap
they attribute to asymmetric information and the resulting impact on the shares
prices and ultimately on the wealth of shareholders. Thus there seems to be
consensus that dividend provide financial signal. The signaling effect of dividend
decision depends on many factors of which prominently one is the level of
perfection of the market. As markets in different countries are at varying levels of
perfection and efficiency, the effect of dividend decision accordingly must be
viewed in the context of the specific market. India being in transitory state of
financial market and is gradually evolving and getting integrated with global
markets, the study of signaling effect on dividend decisions thus assumes
importance considering the size of the equity market in India.
This chapter confines the review of literature to dividend signaling hypothesis,
which considered being as one of the most important aspects in dividend
decisions. Therefore, we have covered main aspects related to dividend policy,
which starts by brief introduction of the models related to dividend signaling and
the relevant empirical works done in this domain from time to time. The empirical
work we intent to develop in our thesis, is comprised of sub sections on signaling
effect of dividend decision since they directly relate to the purpose of our study.
LITERATURE REVIEW
9
We conclude this part by inferences from the study of relevant literature related to
dividend decisions and signaling impact of dividend decision.
2.2. Dividend Signaling Theories:
Miller and Modigliani (1961) hypothesized irrelevancy proposition based on the
assumptions of perfect market due to symmetric information available to all
interested groups. Based on this assumption everyone have symmetric ability to
understand and analyze the available information. Therefore, the investors have
the same outlook concern about the company as managers have. They also
assumed that investors and managers have the same information and expectations
about the company’s future growth. But in the imperfect world, available
information is asymmetrically distributed among groups (Dewenter and Warther,
1998), so the investors have different expectations and information about
company's future profits and risks as compared to managers. Managers have
better, accurate information and expectations than external investors regarding the
company’s profits and performance. Managers use the change in the dividends
rate and amount as a way to deliver such information to investors to reduce the
information gap between managers and investors, thereby influencing the
company’s market value and shareholders’ wealth. Latter Miller and Modigliani
(1961) pointed out that to “informational content” of dividend decision. Investors
accordingly are likely to interpret a change in the dividend rate as a change in
management’s views of future prospects for the firm”. Ross, Westerfield and Jaffe
(1990) also contend that dividend policy can provide information to stockholders
concerning the firm’s performance. Thus, market could interpret a change in
dividend as an attempt on the part of company to convey information on a firm’s
future prospects to outsiders.
Bhattacharya (1979), John and Williams (1985) and Miller and Rock (1985)
developed the models based on the information asymmetry hypothesis and called
it signaling theory. They showed that, in a world of imperfection, insiders use
dividends as a costly signal to convey their firm’s future prospect to less informed
LITERATURE REVIEW
10
outsiders. Thus, an increase in dividend signals prospects of better future
performance, while on the contrary a decrease suggests a worsening of its future
prospects. Bhattacharya’s (1979) views closely related to the Ross (1977) views.
Assuming that outsiders have asymmetric information about a firm’s profitability,
therefore dividend announcements is a better way of conveying information.
Miller and Rock (1985) also suggested that managers have more information than
shareholders about a firm’s current and future earnings and they transmit this
information through dividend announcement. They further argued that firms
whose shares react more to the information conveyed to the market, have a
stronger information asymmetry. John and Williams (1985) empirically observed
positive relationship between profitability and dividend yield is due to both
information effect and to taxes.
The signaling models of dividends constitute an important understanding the way
the dividend announcements convey information about firms to the market, while
empirical studies done in this domain allow us to analyze the impact of dividend
change announcements on share prices. Signaling models predict a positive
correlation between dividend change announcements and share price reactions
along with future earning changes.
2.2.1. Bhattacharya’s Views on Dividend signaling (1979):
Bhattacharya (1979) developed a model to explaining the motive of firms paying
the dividends to its shareholders. He developed a model, in which managers’ take
decisions in the interest of shareholders. The model assumes that at time zero,
managers adopt a specific dividend policy; at the end of the period, the firm
follows same dividend policy set at time zero to distribute dividend to
shareholders. If cash flows generated in the period are not enough to pay the
dividends, the firm should use outside financing, even with transaction costs, to
pay the dividend, which has been set in, time period zero. In his model he assumes
that firm’s dividends paying policy is not affected even when dividends are taxed
LITERATURE REVIEW
11
at higher rate than capital gain tax and also when dividends and share repurchases
are perfect substitutes to each other. As dividends are taxed at higher rate than
capital gain and firms still pay dividend despite the tax disadvantage, this itself
explains that dividends function as signals. This was a significant step in dividend
policy research area and in the development of signaling models.
2.2.2. Miller and Rock’s View on Dividend Signaling (1985):
Miller and Rock (1985) analyzed the impact of dividend announcement and its
consequences under conditions of asymmetric information. Their two period
model is marginally different to Bhattacharya’s (1979) model. They base their
work on the premise that a firm in time zero makes investment in a project and
generates cash flow, which is used to pay dividends and to reinvest in new
potential projects. They assume that managers (insiders) have some specific
private information about firms’ future prospects, which is not known to outsiders.
This information gap affects the perception that each of the parties has about the
firm’s value and future prospects due to the fact that while evaluating the firm’s
current as well as future potential, managers not only consider the dividend
announcements, but also other non-disclosed earnings. This is based on the
rationale that market behaves rationally and evaluates the company in the same
manner as it is done by managers.
According to Miller and Rock’s (1985) dividend declaration is considered as a
signal of good news but not bad. The good performing firms have good news to
convey to the market while for non-performers giving false signal to the market
may prove to be costly, as it does not justify earnings potential. Introducing the
asymmetry of information hypothesis in their model, they showed that the impact
of dividend announcement on share prices depends upon unanticipated operational
cash flow changes. This information conveyed through unanticipated dividend
changes will be similar to unexpected earnings changes. Firms anticipating higher
potential to generate higher cash flow would therefore contemplate higher
LITERATURE REVIEW
12
dividends payout ratios. Firms would not like to reduce investment to maintain
same dividend amount. They concluded that in asymmetric information context a
signaling equilibrium is a position, where dividends convey information about
future prospects.
2.2.3. John and William’s View on Dividend Signaling (1985)
John and Williams (1985) developed a model that identifies the personal taxation
and its impact on dividend. While Miller and Rock (1985) discuss earnings effect
on dividend, John and Williams developed their model with the help of an
equilibrium dividend-signaling model where taxable dividends and share
repurchases are not related, unlike their predecessors Bhattacharya (1979), Miller,
and Rock (1985), who considered same as being perfect substitutes. The
assumptions by John and Williams (1985) include no tax except on dividend
income, uniform tax rate for all shareholders, no transaction costs on issue, trading
or retirement of shares. Besides, firm’s all sources and uses of funds are fully
observable by outsiders through costless public audits, management can issue
shares to meet cash requirements and that it has better information about firms’
future potential, expected cash flows and investment opportunities available than
investors (outsiders), who are exposed to asymmetric information. Their work is
based on Riley’s (1979) findings that firms which have better future prospects are
rewarded by market through premium on shares with higher dividends which
compensates for additional taxes paid by shareholders. They argue that if
dividends have a significant cost, only firms with good performances will be
compensated for incurring such costs. In equilibrium, managers (insiders) have
more valuable future cash inflows information, distribute larger amount as
dividends, and consequently are able to command higher market prices for
company’s shares.
The summary of above discussions is as under:
LITERATURE REVIEW
13
Under signaling equilibrium model, firms expecting larger future cash
flows pay higher dividends, anticipating share prices to increase in
future;
The smooth dividends associated with optimal dividend policy require
operational cash flows to occur in such way that dividend changes have a
lagged relation with cash flow changes;
Firms which pay dividend have clientele effect and therefore need
liquidity to meet expectations of regular dividend; and
Higher dividends change are associated, ceteris paribus, with higher
changes in share prices while smaller dividends changes are associated
with smaller changes in share prices
However, these models support the smooth dividend hypothesis, proposed by
Lintner (1956), and others, like Fama and Babiak (1968). In summary, these
theoretical models suggest that dividend is potentially useful as signal for the
future earnings potential of the firm.
2.3 Recent Researches on Informational Content of Dividend decision:
Ever since Miller and Modigliani (1961) proposed informational content of
dividend, there have been many empirical studies in the direction. The empirical
studies under this sub section are broadly classified into two different views as
under:
i) Bhattacharya’s (1979) view that dividends could be used as a future
cash flows signal,
ii) View of Miller and Rock (1985), who consider that dividends could
provide information concerning earnings and future potential.
From theoretical perspective it is seen that in general, the market reacts positively
to dividend increase announcements and negatively to their decrease
announcements. This phenomenon has been analyzed by many researchers and
LITERATURE REVIEW
14
academicians, such as Pettit (1972), Charest (1978), Aharony and Swary (1980),
Healy and Palepu (1988) and Michaely, Thaler and Womack (1995) Their
findings are consistent with the view that managers have more information than
external investors, and dividends provide information on future cash flows.
Before going to analyze signaling effect of dividend change announcement, we
present below the results of some empirical tests, organized in agreement with the
implications of the dividend information content referred to above.
2.3.1. Information Asymmetry and Dividend Policy
Security market information broadly relates to economy, industry structure and
company related information. The decision makers at the macro level policy
making are concerned with general trends in the economy such as budgetary
deficits, price level, demand and supply position of various inputs, money supply,
foreign exchange position, contribution of various sectors to the aggregate
economic indicators and sustainable growth rate. Information related to economy
therefore, is a necessary and important component of the investor’s decision-
making. Most of the investors and brokers interpret what is happening in the
market by looking at the market indices and announcement made by any
organization relevant to them. Information related to industry is necessary for the
understanding of the general trend of events in that industry. The investors
analysis of the state of the industry forms a base for performance evaluation of
individual firms. Information related to the management, raw material source,
products and market share performance record of the firms etc. enable the
potential investor to form opinion about the firm and its value (Nwezeaku and
Okpara, 2010). Based on this theoretical mindset various empirical studies have
been carried out. The conclusions of some relevant studies are discussed below:
Hasbrouck (1991) empirical analysis presented is motivated by theoretical models,
which suggested that the response of security prices to trading activities is a
consequence of asymmetric information. Commenting on the usefulness of
LITERATURE REVIEW
15
theoretical model author argued that the principal difficulty in making this concept
operational is that the actual mechanism linking trades and quote responses is
complicated by deviations from the idealized theoretical constructs. By
considering the persistent impact of the innovation, he concentrated on the
information ultimately impounded in the price after transient liquidity effects have
died out. The following conclusions have been made by the author:
i. The full impact of a trade on the security price is not felt instantaneously
but with a protracted lag.
ii. As a function of trade, innovation, size, the ultimate impact of the
innovation on the quote is nonlinear, positive, and increasing, but concave.
iii. The order flow is affected by prior quote revisions: there is Granger-Sims
causality running from quote revisions to trades.
iv. Spread size exhibits a response to trading activity. Large trades in
particular are associated with a widening of the bid-ask spread. This
finding is consistent with a market-maker who infers from a large trade an
increased likelihood that an information event, has occurred.
v. Trades which occur in the face of a relatively wide spread have a larger
price impact than those which occur when the spreads are narrow.
vi. Across firms, the price impact and (by implication) the extent of the
information asymmetry appears more significant for firms with smaller
market values.
From the above mentioned point this can be inferred that the large trades lead to
large price impacts but also induce an increase in the spread consistent with a
perceived increase in the extent of the information asymmetry, implying that
subsequent trades will have larger price impacts.
Brioa, Miguel, and Perote (2002) analyzed both the profitability and the
information content of insider trading in Spanish stock markets. Their results
suggest that the strong form of the EMH does not hold, since insiders earn returns
that exceed risk-adjusted benchmarks. In fact, the picture emerging is a semi-
strong efficient market, where insiders are able to beat the market by using their
LITERATURE REVIEW
16
private information on a firm’s prospects, while outsiders cannot earn abnormal
profits by using the publicly available information. Therefore, on their results they
recommend a regulatory change in Spanish laws so as to outlaw fraud in security
trading. Brio and Miguel (2010) have examined the new evidence on the multiple-
signal cash flow theory of dividends by testing it in a European Market. They also
incorporated analysis of decreases and increases in current dividends, rather than
focusing only on dividend initiations. From their findings, they concluded that the
results indicate the cash flow signaling theory alone seems insufficient in
explaining the information effects of dividend announcements. They inferred that
quite often insiders signal a firm’s future prospects by altering their ownership
stakes, rather than by disclosing changes in dividend payouts. The secondary
result, suggests that earnings information is not fully impounded in prices when
the dividend signal reaches the market. Okpara (2010) showed that in the long run
dividend policy is positively and significantly related to information asymmetry.
The study investigated the relationship between asymmetric information and
dividend policy in Nigeria. To carry out the research work, the researcher
employed the unit root test using the augmented Dickey Fuller test, the Johanson
cointegration test and then vector error correction model to ascertain the long-run
relationship between the variables. Granger causality test was also used. The
researcher found supportive evidence for the dividend signaling theory. Thus,
there is a positive and significant relationship between dividend policy and
asymmetric information.
2.3.2. Dividend Announcement and Future earnings:
Under this sub heading, the researcher has grouped the literature related to studies
on dividend changes followed by subsequent earnings changes, in the same
direction. Studies in this direction provide evidence that dividend changes convey
significant information about the future prospects of the firm i.e there is merit in
recognizing existence of dividend informational content.
LITERATURE REVIEW
17
Makhija and Thompson (1986) suggest that dividends can serve to signal the
profitability of a cross section of firms, provided the least profitable and the most
profitable firm are properly characterized. Additionally, they have shown that the
relation between dividends and earnings is likely to be nonlinear. David, Diane,
Denis and Sarin (1994) arrived at results that seek to explain the positive
association between dividend change announcements and stock price reactions.
Their investigation is motivated by linking Tobin's Q and dividend yield. They
argue that the negative relation between Tobin's Q and dividend yield may lead to
a spurious correlation between Q and excess returns around dividend
announcements. This can lead to biased inferences regarding the relative
importance of the cash flow signaling, overinvestment, and dividend clientele
hypotheses. The authors went on to clarify that the cash flow signaling,
overinvestment, and dividend clientele effect are not mutually exclusive and
therefore justify to be integrated into a single testing framework. The conclusions
drawn point out implications of the cash flow signaling and dividend clientele
effect. Bernheim and Wantz (1995) observe that the dividend signaling
hypothesis implies that abnormal returns should be more sensitive to the
magnitude of announced dividend changes when observable factors (such as tax
rates, bond ratings, and capacity utilization) suggest that the marginal costs of
dividends are high. Their empirical investigation reveals that the interest generated
by dividend announcements rises with the decline in dividend tax rate, falls with
the rise in bond rating, and rises with increase capacity utilization. Daniels, Shain
and Lee (1997) showed how dividends “caused” permanent earnings for half the
sample, while the causality study from dividend to current earnings failed to detect
a causal relationship for more than eighty per cent of the sample. They attribute
the enhanced performance of analysis of the hypothesis at a firm level as a better
proxy of the future earnings. Benartzi, Michaely, and Thaler (1997) have adopted
a systematic attempt to discover whether the information content of a dividend
announcement has something to do with future earnings. Consistent with the early
findings of Watts (1973), they are unable to find any evidence to support the view
that changes in dividends have information content about future earnings changes.
LITERATURE REVIEW
18
While there is a strong past and concurrent link between earnings and dividend
changes, the predictive value of changes in dividends seems minimal. They also
find some evidence that dividend-increasing firms are less likely to have
subsequent earnings decreases than firms that do not change their dividend despite
similar earnings growth. In this sense, changes in dividends do signal something
about the present provided that the current increase in earnings is permanent.
Brook, William Jr., and Hendershott (1998) are of the opinion that dividend
policy is used by managers to signal future cash flow increases. From their
samples they found that firms used dividend as signal to show their cash flow
increases. They also found that these firms also earn significantly positive
abnormal stock return. From these findings, they suggested that as higher cash
flow is realized, positive abnormal return continue. Dhillon, Raman, and Ramirez
(2003) have indicated that actual dividend increases (decreases) computed using
the naive dividend method do not necessarily reflect favourable (unfavourable)
information. It is dividend surprise that becomes relevant which conveys new
information to financial markets. In an informationally efficient market,
announcements of no dividend changes can be informative when analysts revise
their expectations. Using regression analysis, the authors were able to document a
significant positive relationship between dividend surprises and contemporaneous
as well as future earnings changes. Koch and Sun (2004) suggested that dividend
changes that confirm prior earnings news, have a positive statistical relation
between the market reaction around the announcement of the dividend change and
the prior earnings change. For dividend changes that contradict prior earnings
news, they found a negative statistical relation between the market reaction
surrounding the dividend change announcement and the prior earnings change.
Grullon, Michaely, Benartzi and Thaler (2005) found that dividend changes are
uncorrelated with future earnings changes when one controls for the well-known
nonlinearities in the earnings process. They also find that, regardless of the model
of earnings expectations, models that include dividend changes do not outperform
those that do not include dividend changes in out-of-sample tests. Some of their
results even suggest that investors may be better off not using dividend changes
LITERATURE REVIEW
19
when they forecast earnings changes. Based on their work it may be concluded
that changes in dividends are not useful in predicting future changes in earnings.
By using several different estimation methods and various measures of
profitability, they found that the association between dividend changes and future
profitability is not consistent with the predictions of the signaling hypothesis.
They do not rule out that dividend increases signal something, but that something
is neither abnormal increases in future earnings nor abnormal increases in future
profitability. They attribute the motive for paying dividends, and the market
reaction to it, as lie elsewhere . Wann & Long (2009) established a strong
relationship between aggregate dividends and aggregate earnings, implying that
aggregation filters out firm-specific earnings information and signifies
macroeconomic trends. Using macroeconomic data provided, they showed that
changes in aggregate payout ratios, driven by positive liquidity shocks, do have
information content about aggregate future earnings growth for horizons up to 3
years. Fuller and Benjamin (2010) state that firms pay dividends to signal future
earnings or to disburse excess cash flows or both. They classified firms into three
observationally distinct groups using their prior performance, so that signaling
occurs only within each group and not across groups .They also found that firms
that have low or high prior performance display little heterogeneity in future
earnings, while firms with intermediate prior performance have high future and
past earnings heterogeneity and have the highest heterogeneity in current dividend
payments. Finally, firms with intermediate prior performance have the highest
abnormal stock price reaction to a dividend change. They contend that the non-
monotonic relationship between firm quality and dividend is the possible
explanation of the weakness of the empirical support for dividend signaling
hypothesis.
2.3.3. Dividend Announcement and Share Price:
There are a number of factors affecting the dividend policy decisions of a firm.
These factors include amongst others clientele effect, earnings, investment
LITERATURE REVIEW
20
opportunities annual vs. target capital structure, flotation costs, signaling aspect,
dividend smoothening and Government policies such as legal constraint, taxation
and provision about insider trading etc. As in real world asymmetric information
exist among insiders and outsiders, signaling are one of the crucial factors used by
managers that influence the market. Dividends may have informational content
which is conveyed by managers about the firms, so it suggests the possibility of its
influence on the stock market and consequently on share prices. Paying large
dividends reduces risk, thus influence stock price (Gordon, (1963)) and is a proxy
for the future earnings (Baskin, 1989).
In general, the underlying hypothesis to be studied under this domain is that
unexpected dividend changes should be positively associated with share price
changes, providing evidence that financial markets interpret correctly dividend
changes. So many empirical tests carried out with the purpose of analyzing the
effect caused by dividend change announcements on share prices established a
positive relationship between dividend change announcements and change in
share prices. The empirical studies in this direction have been commented below:
Luab (1976) considerably support the signaling hypothesis that dividend
announcement conveys information about future earnings prospects that is not
inherent in the past time series of future earnings. Fama (1970) suggests that, the
theory of efficient markets is concerned with whether prices at any point in time
"fully reflect" available information. The theory only has empirical content,
however, within the context of a more specific model of market equilibrium.
Fama, Fisher, Jensen and Roll (1969) argued that stock splits have very often been
associated with substantial dividend increases. They argued that this evidence
indicate that the market realizes this and uses the announcement of a split to re-
evaluate the stream of expected income from the shares and led them to thus
conclude that the stock market is "efficient" in the sense that that stock prices
adjust very rapidly to new information. The findings of Shillers (1981) found a
very strong stock price volatility to the extent of five to thirteen times. The author
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21
observed that not only the unexpected dividend but also the unexpected real
interest rate affects the shares prices of the companies.
Asquith and Mullins, Jr. (1983) investigated the impact of dividends on
stockholders’ wealth by analyzing 168 US listed firms that either paid first
dividend in their corporate history or initiated dividend after a ten-year gap. The
results suggest a positive impact on the wealth of shareholders implying that
dividends convey unique and valuable information to investors.
Kane, Lee, and Marcus (1984) examined the US markets for corroborative
relationship between earnings and dividend announcements. The empirical results
suggest ‘the existence of a corroborative relationship between the two
announcements and more credence given by investors to unanticipated dividend
increases or decreases when earnings are also above or below expectations, and
vice versa’.
Stephens and Proffitt (1988) based on examination of payment of stable amount
per share, constant percentage of income per share and residual amount per share
polices reveal that market response to unanticipated dividend announcements is a
function of dividend policy.
Ariff and Finn (1989) through their study of the Singapore Equity Market suggest
that that for the "good news" announcement, that is earnings and dividends
increases and capitalization changes, prices react quickly, in that there are
essentially zero excess returns after the announcement. For the "bad news"
announcements, that is earnings and dividends decreases, there is some
appearance of slower price adjustment, perhaps extending for some months after
the announcements.
Wansley, Sirmans, Shilling and Lee (1991) examined the announcement effects of
changes in regular quarterly dividends and its impact through asymmetric
information models and concluded that dividend decreases are viewed by the
market as containing more information than dividend increases. Their findings
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22
also suggest that firms with more positive information to release to the market
appear to do so by making larger percentage changes to their dividend yield.
Akhigbe, Borde and Madura (1993) indicated that signal to the market can be
measured by the share price response to dividend changes. They found that share
price response for insurers that increased their dividends was positive and
significant.
Kao and Wu (1994) estimated the relation between unexpected changes in the
dividend and earnings for the companies from S & P 500 index. The results
support the contention that dividend changes reflect both expected and unexpected
permanent earnings changes. Further, the effectiveness of dividend signaling
depends on firm specific characteristics and it can be claimed that the information
content hypothesis have the signaling power that is positively taken by the market.
The results of Peterson and Salandro (1994) indicate that managers signal earnings
information via a noisy dividend announcement, which results in sub optimal
investment levels. For this suboptimal decision they argued that managers’
compensation depends upon the value of the firm so they use dividend as a signal
to promote the value of the firm.
Iqbal and Rahman (2002) on their study of data from Standard & Poor’s Research
Insight databases, indicate that a dividend cut may not be an effective signal of
poor future performance under all circumstances. When a dividend reduction
accompanies other operational actions, managers are less likely sending a signal
that poor performance is forthcoming.
Conroy, Eades, and Harris (2000) findings based on Japanse experience suggest
that earnings variables are more dominating in their ability to explain share price
movements. They found, that current dividend effects is never significantly related
to announcement returns and management forecast of next year’s dividend has a
small but significant effect on the stock price.
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23
Ryan, Besley and Lee (2000) found a very strong support for signaling hypothesis
in the explanation of dividend changes for NASDAQ firms. Results show a strong
support for the dividend-signaling hypothesis, and limited support for the free cash
flow argument.
Crawford and Franz (2001) analyzed the signaling effect due to stock distribution
and share split on the share price. Their empirical findings suggest that both the
anticipation and credibility of signaling effects are present in the sample of stock
distributions examined. A positive response of the market to the announcement of
a stock distribution is partly due to real cash flow benefits to investors from
returning the share price to its optimal trading range.
Gunasekarage and Power (2002) analyzed the market-adjusted excess returns for
three periods around the announcement and then examined the financial
performance in the year of the announcement and in the subsequent five-year
period. The findings of the study are inconclusive about the validity of the
dividend-signalling hypothesis.
By examining the event windows of 3-day, 21-day and 61-day to capture the
reactions of the markets over the period, Adelegan (2003) found negative excess
returns for the dividend paying samples for pre-announcement period and positive
excess return after the announcement date. Further, significant excess returns and
the cumulative excess returns for 30 days before and until 25 days after dividend
announcements for dividend paying firms were observed to conclude semi-strong
efficient nature of the Nigerian stock market. Due to the drift in prices until 25
days after the announcement date, the author did not rule out the effect of insider
trading.
By analyzing the nature stockholding, Amihud and Li (2006) viewed that dividend
announcements are becoming less informative due to the increase in stockholdings
by institutional investors who are more sophisticated and informed than average
individual investors. They also observe that institutional investors increase their
holdings in firms that subsequently raise dividends even two quarters before the
LITERATURE REVIEW
24
announcement but stop doing so after the dividend announcement. Firms with
high institutional holdings are less likely to raise their dividends. Analysis shows
that the disappearance of dividends reflects the declining role of dividends as a
means to convey information, which is a result of the increase in institutional
holdings.
Vieira and Raposo (2007) found different results in different markets. While
abnormal returns for the three-day announcement period only support the dividend
content hypothesis for the dividend increase events in the UK market, no
significant market reaction to dividend change announcements was found for
Portuguese and French markets. In many cases reverse relationship was also
observed between dividend change announcements and share price reaction.
Bulan, Subramanian and Tanlu (2007) suggested that dividend initiators are large
and stable firms with relatively high profitability and cash balances, and low
growth rates. Their findings show mixed evidence that a firm's propensity to
initiate dividends is affected by the market sentiment for dividends.
Papasyriopoulos, Koulakiotis, Papadimitriou, and Kalimeris (2007) examined the
effect of acquisition announcements on the abnormal returns of six Greek
industrial and constructing firms in the time of 2001-2004. They calculated the
average and cumulative average abnormal returns using the Market model in
combination with the event study methodology. The OLS parameters (α and β) of
the model were calculated from the estimation period -211, -11 and were applied
for the calculation of AAR and CAAR of period -211, +10. They found the AAR
and CAAR for the period -211, +10. Firstly, results show that, the announcement
(t = 0) of an acquisition does not significantly affect the AAR and CAAR.
Although AAR is positive on day 0, it begins to decline right after that. Apart
from that, CAAR is positive between days -120 and way after the announcement
day. More generally, it seems that both AAR and CAAR on day t = 0 are
statistically and economically insignificant, that is, they do not seem to have a
great effect on abnormal returns on that particular day. Secondly, they used the
Exponential GARCH model technique to find if there is any correlation between
LITERATURE REVIEW
25
the current return and the future volatility. They included 2 dummy variables in
our estimation, namely D1 and D2 , which measured the effect of ‘good’ and ‘bad’
news on abnormal returns respectively. Results from the E-GARCH model show
that the presence of ‘good news’ positively affects the average abnormal returns in
the pre-announcement period -211, -1, while the presence of ‘bad news’ has a
slight negative effect.
Wann, Long, Pearson, and Wann (2008) hypothesized that investor expectations
regarding dividend changes are conditioned by growth opportunities, as proxied
by the market-to-book ratio. Using the traditional event study approach, they
examined the implications of signaling theory and agency theory on investor
reaction to changes in dividend payments (i.e. increases and decreases) by high
and low growth opportunity firms. In particular, low growth opportunity firms
experience more pronounced excess abnormal returns in response to large
dividend changes according to the agency theory. The presence of large positive
cash shocks tends to dissipate the differences in excess abnormal returns found
between high and low growth opportunity firms. However, low growth
opportunity firms that decrease dividends following negative cash shocks
experience significantly larger negative stock returns than do high growth
opportunity firms. Thus, it appears that the agency theory predictions are more
severe for low growth opportunity firms. Further, dividend decreases made by low
growth firms following negative liquidity shock events result in significantly
larger negative abnormal and cumulative abnormal returns than do regular
dividend decreases.
The empirical study by Howatta, Zuberb, Gandarc and Lambd (2009) shows
positive increases in real dividends that associated with declines in profitability.
When compared to non-dividend paying firms, real dividend decreases also
exhibit a direct relationship with decreases in earning per share. Findings are
consistent with the dividend signaling theory.
Anderson (2009) used friction modeling, a procedure using maximum likelihood
estimation to replace both the market model and restricted least-squares regression
LITERATURE REVIEW
26
in event studies where there are two quantifiable variables and a number of
possible interaction effects associated with the news that constitutes the study’s
event. From the findings, they suggest that the dividend signal can be separated
from the earnings signal.
Hussainey (2009) tested the issues of the effects of dividend payment status and
the increase in dividends over time on the relation between current stock returns
and future earnings. This paper evidence that firms that pay dividends or that
increase dividends levels exhibit higher levels of share price anticipation of
earnings than non-dividend-paying (non- increasers) firms. It also provides
evidence that the association of dividend with share price anticipation of earnings
is statistically significant for loss-making firms and insignificant for profitable
firms. From findings, suggest that loss making firms use dividends as to signal
their future prospects to the stock market participants.
Using a sample of 477 large companies Bouwman (2010) examined whether
announcement effects triggered by dividend changes are affected by the presence
of optimistic CEOs in the companies based on the premise that an optimistic
manager has an upward bias in own assessment of a private signal about future
earnings, such that dividend change on an average embeds more good news for
the market than an equal-sized dividend change announced by a rational manager.
As the market cannot perfectly distinguish between optimistic and rational
managers, there is favourable market response to dividend changes announced by
optimistic managers (controlling for other factors, including the size of the
dividend change) than to those announced by rational managers. The results
reinforce the existing evidence that dividend changes generate abnormal price
reactions, and yet provide little information about future earnings.
Westfall (2010) tested the efficient market hypothesis by assessing the investor’s
ability to earn an above normal return in the short run by acting on stock split
announcements. This study used the standard risk adjusted event study
methodology with the market model and an appropriate statistical test for
significance was conducted. Results show a positive market reaction prior to the
LITERATURE REVIEW
27
firms’ announcement of regular two for one stock splits. The results from this
study support efficient market theory at the semi-strong form level as documented
by Fama (1970).
Dasilasa (2011) examined the reaction of dividend change announcements effect
on stock market as well as the trading volume for a sample of firms listed on the
Athens Stock Exchange and found significant market reaction on the dividend
announcement day.
Andres, Betzer, Bongard, Haesner, and Theissen (2011) analyzed dividend
announcements made by German firms in the period from 1996 to 2006. They
performed a standard event study and then used random effects panel models to
analyze the determinants of the cumulative abnormal returns. The results show
that share prices react to the surprise in the dividend announcement, not to a
dividend change per se. Their results also suggest that, when dividend and
earnings announcements are made on the same day, the dividend surprise has, if
anything, higher explanatory power for the share price reaction than the earnings
surprise.
Salameh and Albahsh (2011) findings reject the null hypothesis that there is no
difference between the average abnormal return and zero; this indicates that
Palestine market is inefficient at the semi strong level and that information is
gradually reflected in stock prices. They claimed that the market is still an
emerging one. Many other developments are needed to enhance the desired turns
in the market; in the internal market level or in the external economic and legal
environment. They suggested that more attention should be given on studying the
efficiency of the Palestine stock exchange PEX at the weak form and on the
impact of other events.
LITERATURE REVIEW
28
2.3.4. Dividend and Stock Price in Emerging Markets:
Emerging economies are the fastest growing economies of the world. They are in
the transition phase in their development process. India is one of the emerging
economies. The Indian stock market as most of the other emerging economies
stock markets is growing rapidly and exhibits volatility die to growth prospects.
The empirical studies of signaling theories on these countries provide different
results. Discussion on these studies follows:
Chen, Firth and Gao (2002) while studying Chinese market observed a positive
relationship between changes in profits and stock returns measured over short
intervals of time. Further, they realized that the signaling effect of dividend
announcements along with earnings embellish the signal from earnings.
Abdullah, Rashid and Ibrahim (2004) explained the market reaction to the
dividend announcements for the period of 1996 to 1999 in Kuala Lumpur Stock
Exchange (KLSE). The findings do not support the signaling hypothesis.
By investigating the semi-strong form of market efficiency of stock prices to
dividend announcements using event study methodology, Akbar and Baig (2004)
analysed cash, stock, and simultaneous cash and stock dividend announcements of
79 companies listed on the Karachi Stock Exchange for the period July 2004 to
June 2007. Their findings suggest that the reaction of stock prices to cash dividend
announcements is statistically insignificant. They also suggested that the returns
are mostly negative for the 41-day window, which they attribute to the tax effect
of cash dividends.
Thirumalvalavan and Sunitha (2006) observed significant abnormal returns around
the divided announcement date. However, this positive signaling existed only for a
day after the announcements, after which the extent of positive reaction started
decreasing suggesting that the market reaction in the Indian market to events or
announcements such as stock repurchases and dividends was complete within a
day or two.
LITERATURE REVIEW
29
Study on Dhaka Stock Exchange by Hossain, Siddiquee and Rahman (2006)
pertaining to four years (2001-2004) shows a rise in the average abnormal return
(AAR) one day before the dividend announcement and falling sharply after the
dividend announcement. The cumulative abnormal return (CAR) of almost all the
companies around the study period, which increased just before the dividend
announcement date, did not sustain in the ex-dividend period. The sensitivity is
prominent on the day after or the day before the declaration instead on the
declaration day. They justify the findings due to leakage of significant
information before the dividend announcement. Thus their study is supportive of
signaling theory.
Cooray and Wickremasing (2007) used The Augmented Dickey Fuller (ADF-
1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least
Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS - 1996) tests to
examine stock market efficiency in India, Sri Lanka, Pakistan and Bangladesh.
The findings support weak- form efficiency for all four countries.
Chander, Sharma and Mehta (2007) analyzed the impact of dividend
announcement considering 188 events of dividends announcement for Group A
listed stocks of the Bombay Stock Exchange during the period from January 2004
through December 2005 by using the event study methodology. The results show
consistent incidences of average abnormal returns around the dividend
announcement, indicating over expectation of investors regarding dividend
announcement in the information leakage phase, which subsided considerably
with new information disclosure. The study broadly endorses the market
efficiency in these markets however goes on to conclude that dividend being
marginal portion of return does not inspire over enthused investors in rising
markets.
Hong kong being characterized as asymmetric market environment due to
concentrated shareholding patterns provides a good example due to limited
disclosure of information to investors. Due to dividends being important source of
information, Cheng, Fung and Leung (2007) support the signaling hypothesis that
LITERATURE REVIEW
30
dividend changes reflect profitability and cash flow for firms with unexpected
earnings increases. On the other hand study on Amman Stock Exchange for the
period 1996 to 2002 by Nobanee, Hadda, Alshattarat and Alshattarat (2009)
showed that the market reacted negatively to dividend increase and decrease
samples, and the same result was obtained for the dividend no change sample
leading no support for dividend signaling consistent with the results of Mollah
(2001).
At the same time study by Chen, Nieh, Chen and Tang (2009) while analyzing the
effect of cash dividend changes on the share prices for the period 2000 to 2004 for
Chinese Stock Market found that share prices react significantly positive to both
cash dividend increases and cash dividend decreases.
While applying event study method, Chen, Liu, and Huang (2009) investigated the
impact of cash dividend changes on share prices and simultaneously examined
whether the dividend-signaling hypothesis holds in China’s stock markets. Their
results half support the signaling hypothesis. The reaction of dividend decrease is
more pronounced than for dividend increase.
Chakraborty and Mukhopadhyay (2010) took six different sub-categories of 125
events for the period of 1996 to 2003. The empirical study indicates that the Indian
stock market conforms to the Efficient Market Hypothesis (EMH) whereby the
investors exhibit an informed and rational behavior.
Study by Karamjeet and Balwinder (2010) reports positive reaction of stock
market to the announcements of share buy-backs in India particularly on the
announcement date showing abnormal returns of 2.22% per cent for share buy-
backs with 72.28% events generating positive returns on announcement day (0).
Using event study for Karachi Stock Exchange Index (KSE-30), Chughtai (2010)
found that an average stocks start showing positive abnormal returns seven to
eight days before announcement date due to leakage of information regarding
announcement raising questions on corporate credibility in emerging markets.
LITERATURE REVIEW
31
Mandal and Rao (2010) findings provide enough evidence to support that both the
announcements of dividend initiation and dividend omission carry some new
value relevant information to the investors implying signaling by management to
shareholders. The impact of dividend omission was found to be greater than for
initiation. Mohammad and Chowdhury (2010) also used event study methodology
to investigate the effect of dividend announcement on stock price and found no
strong evidence that stock price reacts significantly on the announcement of
dividend. They attribute this due to insider trading in the market in insiders,
brokers and the exchange employees act as informed speculators for short-term
gain thus making dividend information ineffective. In view of this, a dividend
announcement does not generate significant impact on the movement of stock
prices.
Study on Indian market by Sharma (2011) suggests that the dividend
announcements do not result in any non-random behaviour in the stock return
series surrounding the announcement day and no investor could earn significant
abnormal returns by strategizing his/her investment policy surrounded by these
announcements days as informational content got embedded in the share prices.
Overall results by Aamir and Shah (2011) indicate that impact of dividend on
dividend announcement date and few days after were positive thereby making a
strong argument that dividend distribution is relevant for future price
determination.
Taneem, and Yuce (2011) analyzed results of 82 BSE enlisted companies, which
announced dividends during the financial years 2004-2007 claim that investors
have a favourable reaction towards companies that increased their dividends and
the vice versa for companies that declared a decrease in dividend. They thus
conclude that dividend announcements have information content and induce share
price adjustments. The result showed higher abnormal return and higher
cumulative abnormal return for companies that increased their dividend amounts.
They make strong support to the signaling hypothesis in explaining the positive
price reactions in the direction of dividend change.
LITERATURE REVIEW
32
By taking the sample of 55 dividend-paying companies listed at Karachi Stock
Exchange for the period of 2001 to 2010, Khan, Aamir, Qayyum, Nasir and Khan
(2011) found that dividend yield to be positively related while retention ratio
being negatively related to Stock Prices. The authors found significant fixed as
well as random effect in variations in the stock prices.
Kumar, Mahadevan and Gunasekar (2012) observed that information is reflected
in stock prices very quickly such that even the published data tells nothing to the
investor about the likely hood of change in stock prices. Therefore the study leads
to conclude that announcement of corporate dividend result does not have any
impact on the stock return behavior.
Maitra and Dey (2012) observed that there are significant abnormal returns
(positive or negative or both) upon dividend announcement which is more evident
under the CAPM model. They suggest that although abnormal returns are found
significant even before the announcement of dividend both under the market
model and the CAPM model, still more cumulative average abnormal returns are
not found significant well before the announcement under the CAPM model while
it becomes faster during the post- announcement period. Under the market model,
no significant difference between positive and negative average abnormal return is
observed which is suggestive of no signaling effect whereas application of CAPM
model suggests signaling. The difference in results seems to be due to difference
in calculating returns.
The literature review carried out has been summarized as under:
LITERATURE REVIEW
33
Table 2.1: Summarization of Literature Review:
Srl.
No.
Author/Authors Period of Study Country of Study Direction of findigs
2.3.1. Information Asymmetry and Dividend Policy
1 Hasbrouck (1991) 62 trading days in
the first quarter of
1989
US Dividend has signaling effect due to asymmetric
information.
2 Brioa, Miguel, and Perote (2002) 1992-1996 Spain Dividend has signaling effect due to asymmetric
information.
3 Brio and Miguel (2010)
1992–1996 European Market Dividend has signaling effect due to asymmetric
information.
2.3.2. Dividend Announcement and Future Earnings:
5 David, Diane, Denis and Sarin (1994) 1962-1988 US Dividend information is used to convey future
earnings prospects
6 Bernheim and Wantz (1995)
1962-1988 US Dividend information is used to convey future
earnings prospects
LITERATURE REVIEW
34
7 Dhillon, Raman, and Ramirez (2003) 1978 – 1987 US Dividend information is used to convey future
earnings prospects
8 Benartzi, Michaely, and Thaler (1997)
1979-1991 US No evidence to reflect effect on future earnings
due to conveyed dividend announcement.
9 Daniels, Shain and Lee (1997)
1975 – 1990 US No evidence to reflect effect on future earnings
due to conveyed dividend announcement.
10 Brook, William Jr., and Hendershott (1998) 4 year data till 1992 Data from
Compustat tapes
Dividend information is used to convey future
earnings prospects
11 Koch and Sun (2004)
1983 – 2001 US Due to decrease in earnings no effect of positive
dividend signaling was substantiated.
12 Grullon, Michaely, Benartzi and Thaler (2005)
1963-1997 US No evidence to reflect effect on future earnings
due to conveyed dividend announcement.
13 Wann & Long (2009) 1952 Q1 - 2004 Q3 US Dividend information is used to convey future
earnings prospects
14 Fuller and Benjamin (2010) 1980 – 2000 US Dividend information is used to convey future
earnings prospects
LITERATURE REVIEW
35
2.3.3. Dividend Announcement and Share Price:
15 Luab (1976)
1946-1965 US Evidence of positive relationship between
dividend announcement and share price
16 Fama, Fisher, Jensen and Roll (1969) 1927 – 1959 US Evidence of positive relationship between
dividend announcement and share price
17 Stephens and Proffitt (1988) 1959-1978 COMPUSTAT
Research file
Evidence of positive relationship between
dividend announcement and share price
18 Shillers (1981)
1929 -1979 US Evidence of positive relationship between
dividend announcement and share price
20 Asquith and Mullins, Jr. (1983)
1964-1980 US Evidence of positive relationship between
dividend announcement and share price
21 Kane, Lee, and Marcus (1984)
1979-1981 US Evidence of positive relationship between
dividend announcement and share price
22 Wansley, Sirmans, Shilling and Lee (1991)
1973-1986 US Evidence of positive relationship between
dividend announcement and share price
LITERATURE REVIEW
36
23 Akhigbe, Borde and Madura (1993) 1969-1991 US Evidence of positive relationship between
dividend announcement and share price
24 Kao and Wu (1994)
1965-1986. COMPUSTAT Evidence of positive relationship between
dividend announcement and share price
25 Salandro (1994) 15 period asset
double auction with
five minute trading
period in 1994
US Evidence of positive relationship between
dividend announcement and share price
26 Bouwman (2010) 1984-1994 US Evidence of positive relationship between
dividend announcement and share price
27 Michaely, Thaler, and Womack (1995)
1964-1988 US Evidence of positive relationship between
dividend announcement and share price
28 Iqbal and Rahman (2002) 1991-1997 US No relationship between dividend announcement
and change in share price
30 Ryan, Besley and Lee (2000)
1976-1991 US Evidence of positive relationship between
dividend announcement and share price
LITERATURE REVIEW
37
31 CRAWFORD and Franz (2001) 1983-1993 US Evidence of positive relationship between
dividend announcement and share price
36 Amihud and Li (2006)
starting in July
1962
US No relationship between dividend announcement
and change in share price
38 Bulan, Subramanian and Tanlu (2007) 1963-2001 US Evidence of positive as well as negative
relationship between dividend announcement and
share price found
40 Wann, Long, Pearson, and Wann (2008)
1970-2005 US Evidence of positive relationship between
dividend announcement and share price
41 Howatt, Zuberb, Gandarc and Lambd (2009) 1981–2001 US Evidence of positive relationship between
dividend announcement and share price
44 Westfall (2010)
2007- 2008 US Evidence of positive relationship between
dividend announcement and share price
37 Andres, Betzer, Bongard, Haesner, and Theissen
(2011)
1996-2006 German Evidence of positive relationship between
dividend announcement and share price
35 Dasilasa (2011) 2000-2004 Greece Evidence of positive relationship between
LITERATURE REVIEW
38
dividend announcement and share price
39 Papasyriopoulos, Koulakiotis, Papadimitriou, and
Kalimeris (2007)
2001-2004 Greece Evidence of positive relationship between
dividend announcement and share price
19 Ariff and Finn (1989) 1973-1982 Singapore Evidence of positive relationship between
dividend announcement and share price
42 Anderson (2009) 1990-1999 New Zealand
Evidence of positive relationship between
dividend announcement and share price
29 Conroy, Eades, and Harris (2000) 1988-1993 Japan Evidence of positive relationship between
dividend announcement and share price
43 Hussainey (2009) 1996-2002 UK Evidence of positive relationship between
dividend announcement and share price
32 Gunasekarage and Power (2002 )
1989-1993 UK Evidence of positive relationship between
dividend announcement and share price
33 Vieira and Raposo (2007)
1994- 2002
UK,
French and
Portuguese
No relationship between dividend announcement
and change in share price
LITERATURE REVIEW
39
45 Salameh and Albahsh (2011) May.2006 –
Oct.2006
Palestine No relationship between dividend announcement
and change in share price
4 Makhija and Thampson (1986) 2003–2008 India Dividend information is used to convey future
earnings prospects
2.3.4. Dividend and Stock Price in Emerging Markets:
46 Chen, Firth and Gao (2002) 1994–1997 China No relationship between dividend announcement
and change in share price
48 Chen, Nieh, Chen and Tang (2009)
2000-2004 China Evidence of positive relationship between
dividend announcement and share price
57 Chen, Liu, and Huang (2009) 2000-2004 China Evidence of positive relationship between
dividend announcement and share price
55 Cheng, Fung and Leung (2007) 1986-1999 Hong Kong Evidence of positive relationship between
dividend announcement and share price
50 Abdullah, Rashid and Ibrahim (2004) 1996- 1999 Malaysia No relationship between dividend announcement
and change in share price
LITERATURE REVIEW
40
51 Akbar and Baig (2004) 2004-2007 Pakistan No relationship between dividend announcement
and change in share price
59 Chughtai (2010)
2004- 2008 Pakistan Evidence of positive relationship between
dividend announcement and share price
63 Aamir and Shah (2011) 2004 -2008 Pakistan Evidence of positive relationship between
dividend announcement and share price
65 Khan, Aamir, Qayyum, Nasir and Khan (2011) 2001- 2010 Pakistan Evidence of positive relationship between
dividend announcement and share price
52 Hossain, Siddiquee and Rahman (2006)
2001-2004 Bangladesh Evidence of positive relationship between
dividend announcement and share price
61 Mohammad and Chowdhury (2010) Jan.2008-Sep. 2008 Bangladesh Evidence of positive relationship between
dividend announcement and share price
56 Nobanee, Hadda, Alshattarat and Alshattarat (2009)
1996-2002 Amman No relationship between dividend announcement
and change in share price
53 Cooray and Wickremasing (2007) 1996-2005 India, Sri Lanka,
Pakistan and
Evidence of positive relationship between
dividend announcement and share price
LITERATURE REVIEW
41
Bangladesh
49 Thirumalvalavan and Sunitha (2006)
2002- 2004 India Evidence of positive relationship between
dividend announcement and share price
54 Chander, Sharma and Mehta (2007) 2004-2005 India Evidence of positive relationship between
dividend announcement and share price
47
Chakraborty and Mukhopadhyay (2010)
1996- 2003 India Evidence of positive relationship between
dividend announcement and share price
58 Karamjeet and Balwinder (2010) 1999-2004 India Evidence of positive relationship between
dividend announcement and share price
60 Mandal and Rao (2010) 1990- 2009 India Evidence of positive relationship between
dividend announcement and share price
64 Taneem, and Yuce (2011) 2004-2007 India Evidence of positive relationship between
dividend announcement and share price
66 Kumar, Mahadevan and Gunasekar (2012)- 2009-2009 India Evidence of positive relationship between
dividend announcement and share price
62 Sharma (2011) 1997- 2007 India No relationship between dividend announcement
LITERATURE REVIEW
42
and change in share price
67 Maitra and Dey (2012)
2008-2010 India No relationship between dividend announcement
and change in share price
LITERATURE REVIEW
43
2.4. Conclusion:
Based on the literature review, it is seen that the various studies fall into four
distinct areas, those related to asymmetric information, dividend announcement
and future earnings, dividend and its impact on share prices and finally dividend
announcement and signaling reactions in share price of the stocks in emerging
economies.
Part one of the literature reviewed, examined studies related to information
asymmetry among stakeholders. The managers (insiders) are using dividend and
other important information to signal outsider about the potential of the companies
to enhance the value of the firm and by this way they try to safeguard managerial
interest in the companies.
The second part of the literature review related to dividend announcement and
future earnings. The results are mixed with some of the studies support dividends
to convey future prospects. Most of the studies support the viewpoint only if there
are potential real earnings in the long run then dividend announcement really acts
as signals otherwise not. At the same time some of the studies do not find support
that dividend conveys future potential earnings.
In third part of the literature review, we analyzed the impact of dividend on share
price reaction has been covered suggest that dividend and share prices are
positively correlated. While some of the studies found signaling effect and inverse
relationship between dividend announcement and share prices, others did not find
any relationship at all. The literature is also abound with studies showing mixed
results depending upon dividend related events and the event periods chosen for
the respective studies.
Studies on dividend signaling in the context of emerging economies by and large
do not show clear evidence of signaling effect. The reason for this has been
attributed to low level of market efficiency.
LITERATURE REVIEW
44
The literature also points out that the methodology adopted and models used to
analyse signaling effect also affect the outcome of the results.The theoretical and
empirical works reviewed in the literature show various type of results for
different markets. The different results from large number of empirical studies and
the evidence of a significant percentage of cases where the market reaction to
dividend change announcements is opposite to the expected reaction leads us to
draw that the debate over the empirical validity of the dividend-signaling
hypothesis remains inclusive. However, different results in different markets also
prompt one to explore the cause and effect relationship with the characteristics of
the dividend related events as well as the nature of market.
Taking the clues from literature review carried out in the preceding sections, the
following salient points emerge which can be provide a basis for formulating the
aims and objectives of the study as under:
i) The relationship between dividend changes announcements and
subsequent changes in share prices of the firms are not always
consistent with the signaling theory and the information meant to be
conveyed to the market through dividend decision is not always
related to future earnings, growth or cash flow;
ii) The empirical evidence in developed countries predominately support
the positive relationship between dividend change announcements and
the subsequent change in share prices while in developing counties
the same is not supported either due imperfections or inefficiencies in
the market. The evidence of negative relationship between dividend
change announcements and changes in share prices may also be
attributed to investors’ perceived behavior for future earnings and
growth.
RESEARCH METHODOLOGY
45
CHAPTER: 3
RESEARCH METHDOLOGY
3.1 Aims and Objective of Research
This research primarily aims to study the signaling effect of dividend decisions on
the market price of companies listed on stock market in India. Incidental to the
study it is necessary to understand whether the efficiency level of the Indian stock
market has any role in affecting the changes in share prices due to dividend related
events.
The companies listed on the stock market are diverse in terms of the industry,
market capitalization and performance. They also exhibit different types of
dividend decisions viz. cash or stock and indirectly repurchase of shares. The
dividend change decisions can be grouped in to various event categories such as
dividend omission, initiation, increase or decrease. Accordingly, the following
objectives of the study have been formulated:
i) To identify and analyze the different types of dividend related events
and their signaling effect if any on the share price of listed companies
in India.
ii) To analyze whether the signaling effect is consistent for all the above
events or it varies with market capitalization or industry representation
of the company.
iii) To test the market efficiency of the Indian Stock Market in relation to
dividend related announcements.
On the basis of the above objectives, the researcher intends to contribute to the
resolution of the debate on signaling effect of dividend decisions particularly in
the context of transient and emerging economy- India.
RESEARCH METHODOLOGY
46
3.2 Sample Selection:
There are twenty five stock exchanges operating in India as shown in the Table
3.1. Out of these twenty one operate at regional level and only four are working at
national level. Only eight stock exchanges have permanent license amongst which
namely Bombay Stock Exchange (BSE), National Stock Exchange (NSE), Over
the Counter Stock Exchange (OTC) and Multiple Commodity Index (MCX) are
operational at national level. The MCX is trading in commodities and falls within
the regulatory purview of Forward Market Commission of India; while OTC is the
market for non-listed medium size companies, only BSE (Bombay Stock
Exchange) and NSE (National Stock Exchange) deal in majority of the companies
listed on the Indian Stock Market. Due to their size in terms of number of listings
as well as turnover, BSE and NSE have been considered as representative of.
Indian Stock Market for identification of companies and selection of events.
RESEARCH METHODOLOGY
47
Table 3.1: Existing Stock Exchanges in India
Srl.
No.
Name of Stock Exchange Foundatio
n
Location Working
Status
(National/
Regional)
No. of
Listed Com.
(as on Dec.
2011)
Market
Capitalization
1 Bombay Stock Exchange 1875 Mumbai, India National 5,133 US $ 1 trillion
(Dec. 2011)
2 Ahmedabad Stock Exchange 1894 Ahmedabad, India Regional
3 Calcutta Stock Exchange 1908 Kolkata, India Regional 2,700
4 Madhya Pradesh Stock Exchange 1919 Indore, India Regional 315
5 Madras Stock Exchange 1937 Chennai, India Regional 1785
6 Hyderabad Stock Exchange (dereconized by SEBI) 1941 Hyderabad, India Regional
7 Delhi Stock Exchange Association 1947 New Delhi, India Regional 3,000
8 Banglore Stock Exchange 1963 Banglore, India Regional 595
9 Cochin Stock Exchange 1978 Kochi India Regional 350
10 Ludhiana Stock Exchange 1981 Ludhiana, India Regional
11 Pune Stock Exchange 1982 Pune, India Regional
12 UP Stock Exchange 1982 Kanpur, India Regional
13 Guwahati Stock Exchange 1983 Guwahati, India Regional 290
14 Manglore Stock Exchange (dereconized by SEBI) 1984 Manglore, India Regional
15 Magadh Stock Exchange Association (dereconized by SEBI) 1986 Patna, India Regional
16 Bhubaneshwar Stock Exchange 1989 Bhubaneshwar,
India
Regional
17 Jaipur Stock Exchange 1989 Jaipur, India Regional 740
18 Saurashtra Kutch Stock Exchange (dereconized by EBI) 1989 Saurashtra, India Regional
19 OTC Exchange of India 1990 Mumbai, India National 115 -
20 Vadodara Stock Exchange 1990 Vadodara, India Regional 459
21 National Stock Exchange 1992 Mumbai, India National 1,646 US $ 1 trillion
(Jul. 2012)
22 Coimbatore Stock Exchange 1996 Coimbatore, India Regional
23 Inter-connected Stock Exchange of India Ltd. 1998 Mumbai, India - - -
24 MCX Stock Exchange Ltd 2008 Mumbai, India National
25 United Stock Exchange 2010 Mumbai, India - - -
Source:http://www.surfindia.com/finance/cochin-stock-exchange.html, http://en.wikipedia.org/wiki/List_of_stock_exchanges, http://www.sebi.gov.in/investor/stockexchadd.html.
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The selections of companies in the sample are based on non-probability purposive
sampling (Stepwise sampling). Time span of 10 year from financial year 2001-02
to financial year 2010-11 has been taken for the study. The final selection of
companies is based on the criteria of regular announcement of dividend and active
trading in the stated stock exchanges (e.g. BSE and NSE) during the span of time
taken for the study.
Table 3.2 Summarizes stepwise sample selection procedure of companies
Steps Procedure and criterion of selection of companies
and events
No. of companies
selected (as on June
2011)
NSE BSE
Step 1 Start with all the listed companies on NSE and BSE 1686 5045
Step 2 Identification of companies which have at least ten
dividend events including interim and final dividend
over the ten-year period from Financial year 2001-02
to 2010-11
816 1147
Step 3 Identify those dividend paying companies which are
common to NSE as well as BSE stock exchanges.
627
Step 4 Categorize companies identified in step 3 into Large
Cap, Mid Cap and Small Cap
627
Step 5 Select companies from each category for event
selection if they are in respective Indices of BSE as
well as NSE
103
Total number of companies selected 103
Source: Computed from Prowess 3.1data
Companies which exhibited at least ten dividend events including interim as well
as final dividend in all the ten years covered in the study have been identified
adopting the above procedure. The researcher analyzed the dividend history of all
1963 companies (816 NSE listed plus 1147 BSE listed companies). By
observation of the dividend history and identifying only those companies which
had at least ten dividend related events over the period FY 2001-2002 – 2010-
2011, the list was narrowed down to 627 companies. The category wise break-up
RESEARCH METHODOLOGY
49
into Large Cap, Mid cap and small cap of these 627 companies appears in
Appendix 3.1 adopting the criteria
The above 627 companies were further screened for their representation in both
NSE as well as BSE indices. The list of companies fulfilling the criteria comprised
of 103 actively traded companies, had ten dividend related events over ten year
period and were represented in both NSE and BSE indices.
The criteria adopted for inclusion of companies in the respective large cap, mid-
cap and small cap categories BSE Indices Source http:// bseindia.com/indices) is
as under:
i) The average market capitalization aggregating 98.5% of the
universe constitutes the eligible universe of companies
ii) The large cap companies’ category includes those company scripts
which are traded on 60% of the trading days in the last three
months and together cover 80% of the average market
capitalization of the eligible universe of companies.
iii) Mid- cap companies includes those company scripts which are
traded on 60% of the trading days in the last three months and
together cover 15% of the average market capitalization of the
eligible universe of companies.
iv) Small - cap companies includes those company scripts which are
traded on 60% of the trading days in the last three months and
together cover 5% of the average market capitalization of the
eligible universe of companies.
Appendix 3.2 lists the break –up of the 103 selected companies into respective
market cap category along with Industry representation. For brevity, the category
wise- break-up appears in the Table3.3.
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Table 3.3 Break-up of selected companies based on respective market
capitalization
Sensex/Nifty 50 BSE- Mid Cap/
S&P –NSE Mid
Cap
BSE- Small Cap
S&P –NSE Small
Cap
TOTAL
24 15 64 103
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Table 3.4: Industry wise Classification of the selected companies and proportionate representation of industry to overall
selected companies
Srl. No.
Industry No. of Large Cap companies in sample
% of large cap companies in sample
No. of Mid- Cap companies in sample
% of Mid cap companies in sample
No. of Small Cap companies in sample
% of Small cap companies in sample
Industry wise Total No of companies in sample
Industry wise % of companies in sample
1 Auto Ancillary 0 0.00 1 6.67 0 0.00 1 0.97
2 Automobile 3 12.50 0 0.00 1 1.56 4 3.88
3 Banking & Financial Services 3 12.50 2 13.33 5 7.81 10 9.71
4 Cement 0 0.00 1 6.67 2 3.13 3 2.91
5 Chemicals & Pharmaceuticals 4 16.67 4 26.67 19 29.69 27 26.21 6 Construction & Real Estate 1 4.17 1 6.67 1 1.56 3 2.91
7 Diversified 0 0.00 0 0.00 1 1.56 1 0.97
8 Electrical Machinery 0 0.00 0 0.00 4 6.25 4 3.88
9 Electricity 2 8.33 1 6.67 1 1.56 4 3.88
10 Electronics Machinery 0 0.00 0 0.00 1 1.56 1 0.97 11 Ferrous Metal 2 8.33 1 6.67 4 6.25 7 6.80
12 Food & Beverage 1 4.17 1 6.67 5 7.81 7 6.80
13 Gems & Jewellery 0 0.00 0 0.00 0 0.00 0 0.00
14 Health Services 0 0.00 0 0.00 1 1.56 1 0.97
15 Hospitality & Recreational Services
0 0.00 0 0.00 0 0.00 0 0.00
16 Information Technology & Telecommunication Services
2 8.33 0 0.00 5 7.81 7 6.80
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17 Mining 2 8.33 0 0.00 2 3.13 4 3.88
17 Misc. Manufacturing 0 0.00 0 0.00 1 1.56 1 0.97 18 Misc. services 1 4.17 0 0.00 4 6.25 5 4.85
19 Non - Electrical Machinery 1 4.17 2 13.33 0 0.00 3 2.91
20 Non - Ferrous Metal 2 8.33 0 0.00 0 0.00 2 1.94 21 Non - Metalic Mineral Product 0 0.00 0 0.00 2 3.13 2 1.94
22 Textile Industry 0 0.00 0 0.00 2 3.13 2 1.94
23 Transport & Logistic Services 0 0.00 0 0.00 2 3.13 2 1.94 24 Whole Sale & Retail Trading 0 0.00 1 6.67 1 1.56 2 1.94 Total 24 100.00 15 100.00 64 100.00 103 100.00
Source: Computed from Prowess 3.1.
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3.2.1 Events Selection:
Gurgul et al. (2003) and Apostolos Dasilas (2011), in the study on events study
defined the events announcement date as very first official statement on dividends
of the executive board of the analyzed company. The Prowess 3.1 data has been
used to identify the events announced for Indian Stock Market.
On the basis of decisions in the Prowess data base, the following types of events
were observed:
1. Interim Dividend (IDIV)
2. Preference Dividend (PDIV)
3. Dividend (DIV)
4. Bonus Shares (BON)
5. Buy Back of Shares (BUY)
6. Split of Shares (SPLIT)
7. Quarterly Result (QTR)
8. Half Yearly Results (HYR)
9. Advance Corporate Tax (ACT)
10. Annual Audited results (AU)
11. New Issue
12. Right Issue (RTS)
13. Issue of Securities in Foreign Market & Currency
14. Merger
15. Acquisition (ACQS)
16. Strategic Business Restructuring
17. Expansion Plan
18. Public Premise Liability (PPL)
19. Listing (LISTG)
20. Delisting (DLISTING)
AS the study focusses on signaling effect of dividend decisions in the Indian Stock
listed companies, the dividends related decisions have been categorized into
following broad groups:
1. Dividend alone
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2. Dividend along with financial results
3. Dividend along with other events except financial results
4. Dividend along with financial results and other events
3.2.1.1 Event Window Selection:
The literatures also provides input for the study of events that one must decide the
event window .Different researchers have defined different time frames for the
event window such as 21 days (Apostolos Dasilas (2011), 41 days (Dar-Hsin Chen
(2009 ), 71 days (E.B. Del Brio et al. (2002. From all these studies it is clear that
there is no consistency in the selection of the period of event window.
India being a developing country with evolving capital market, it is characterized
by volatility in short span of time. The transparency of the corporate world is
questionable and there appears to be large scale insider trading before the
announcement of any event. Therefore the researcher has chosen a 61 days period
as the event window for the study of signaling impact of dividend announcement.
This 61 days is total of event date which is defined 0-days (the date on which
event is publically announced) and -30 to +30 days (the date 30 days previous
from event date and 30 days post event dates) for the study.
This study is associated with the study the stock price behavior surrounding the
announcement date and therefore labelled as event study. The methodology of
event study is associated with Efficient Market Hypothesis developed by E. F.
Fama (1970), to understand the adjustment of stock prices to new information.
The methodology is commonly referred to Fama Fisher Jensen and Ross (1969)
methodology of event study.
The steps followed to study the events are as follows;
Step1: Identify the events to be studied and pinpoint the date (t=0) on which the
events are announced.
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55
Step2: Take the decision for the event window (ensure that during this period no
other important event has been announced). The event window id dividend as t=0
( Event date) and a period of -30 days previous to event date and +30 days after
the event date which is shown below with the help of graph.
Figure 3.1: Event Window and Duration of Event
Source: Edwin J. Elton and Martin J. Gruber, book “Modern Portfolio Theory analysis and Investment Analysis”.
In this figure t=0 is shown as event announcement date and respective effect of
this announcement on share prices are calculated for the period of -30 days to +30
days to know if there is any impact of such announcement and for how many days
it persists.
Table 3.5 presents of the company wise break of dividend events captured for the
period of ten years covering FY 2001-02 to FY 2010-11 for the sampled
companies.
-30 -10 -5 -1 t = 0 +1 +5 +10 +30
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Table 3.5: Total Events in the Period of 1 April 2000 to 31 March 2011 and the final event selected for the study:
Total EVENTS Selected Events
EVENTS:
COMPANY:
Total
Event
DIV
Alone
DIV
with
RE
DIV
with
Any
Oth Ev
Exc.
RE
DIV
with
RE
and
any
othr
Ev
Oth Ev
Without
DIV
Total EV
Sel for
Study
DIV
Alone
Sel
for
study
DIV
with
RE
Sel
For
Study
DIV with
Any oth Ev
Exc.RE Sel
for
Final
Study
DIV with
RE and
Any oth
Ev
Sel for
Final
Study
Oth Ev
Without
DIV
Sel for
Study
Aban Offshore Ltd. 14 1 4 0 3 6 11 0 5 0 1 5
Akzo Nobel India Ltd. 11 0 9 0 1 1 8 0 7 0 0 1
Alok Industries Ltd. 20 0 7 0 1 12 10 0 4 0 1 5
Apollo Hospitals
Enterprise Ltd.
20 2 8 0 1 9 11 2 4 0 1 4
Apollo Tyres Ltd. 13 1 6 0 1 5 8 0 3 0 1 4
B E M L Ltd. 19 8 7 0 0 4 15 4 9 0 0 2
B O C India Ltd. 11 2 8 0 0 1 7 0 7 0 0 0
Bajaj Hindusthan Ltd. 20 1 6 0 2 11 5 0 3 0 1 1
Bata India Ltd. 15 4 5 0 0 6 6 3 3 0 0 0
Berger Paints India Ltd. 29 7 10 0 0 12 16 4 7 0 0 5
Bharat Heavy Electricals
Ltd.
26 14 7 0 0 5 12 7 4 0 0 1
Bhushan Steel Ltd. 16 2 6 0 1 7 14 3 5 0 0 6
Birla Corporation Ltd. 13 3 7 0 0 3 11 2 7 0 0 2
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Blue Dart Express Ltd. 11 1 9 0 0 1 11 3 7 0 0 1
C E S C Ltd. 22 3 6 0 0 13 5 1 3 0 0 1
C M C Ltd. 11 0 7 0 1 3 8 0 6 0 1 1
Carborundum Universal
Ltd.
14 2 8 1 1 2 7 0 5 1 1 0
Chambal Fertilisers &
Chemicals Ltd.
11 1 8 0 0 2 0 0 0 0 0 0
Cipla Ltd. 15 0 10 0 0 5 6 0 6 0 0 0
City Union Bank Ltd. 23 7 3 0 1 12 6 3 0 0 0 3
Clariant Chemicals
(India) Ltd.
14 4 7 1 0 2 9 4 4 1 0 0
Coal India Ltd. 10 9 1 0 0 0 6 6 0 0 0 0
Coromandel International
Ltd.
18 8 7 0 0 3 18 7 9 0 0 2
Crisil Ltd. 24 1 14 0 0 9 17 1 11 0 0 5
Deepak Fertilisers &
Petrochemicals Corpn.
Ltd.
10 1 9 0 0 0 10 4 6 0 0 0
E I D-Parry (India) Ltd. 19 6 9 0 0 4 18 4 11 0 0 3
Eicher Motors Ltd. 20 7 6 0 0 7 9 3 2 0 0 4
F A G Bearings India Ltd. 9 1 8 0 0 0 8 1 7 0 0 0
F D C Ltd. 24 7 7 0 0 10 23 6 9 0 0 8
Federal Bank Ltd. 15 1 9 0 0 5 9 0 8 0 0 1
Finolex Industries Ltd. 14 3 8 0 0 3 10 3 7 0 0 0
G A I L (India) Ltd. 25 12 9 0 0 4 17 7 9 0 0 1
Geodesic Ltd. 43 0 8 1 4 30 21 0 3 0 2 16
Glenmark
Pharmaceuticals Ltd.
25 5 6 0 0 14 9 2 4 0 0 3
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Godfrey Phillips India
Ltd.
14 1 8 0 0 5 3 0 3 0 0 0
Godrej Industries Ltd. 13 0 8 1 1 3 11 0 7 1 1 2
Graphite India Ltd. 16 1 9 0 0 6 11 1 7 0 0 3
Gujarat Gas Co. Ltd. 15 0 12 0 1 2 10 0 7 0 1 2
Gujarat Mineral Devp.
Corpn. Ltd.
14 0 10 0 0 4 6 0 4 0 0 2
Gujarat State Fertilizers
& Chemicals Ltd.
10 0 8 0 0 2 2 0 2 0 0 0
Hero Motocorp Ltd. 15 2 12 0 0 1 14 1 12 0 0 1
Hexaware Technologies
Ltd.
22 6 10 1 1 4 11 2 7 1 0 1
Hindalco Industries Ltd. 15 1 7 0 1 6 19 3 9 0 1 6
Hindustan Construction
Co. Ltd.
18 0 9 0 0 9 7 0 5 0 0 2
Hindustan Oil
Exploration Co. Ltd.
12 0 9 0 0 3 9 0 8 0 0 1
Hindustan Unilever Ltd. 26 3 16 0 1 6 14 3 9 0 0 2
Honeywell Automation
India Ltd.
13 4 6 0 0 3 10 2 6 0 0 2
Housing Development
Finance Corpn. Ltd.
17 3 6 0 2 6 12 4 4 0 2 2
I C I C I Bank Ltd. 18 1 6 0 3 8 8 0 4 0 0 4
I T C Ltd. 18 0 9 1 0 8 9 0 7 1 0 1
Infosys Ltd. 25 6 16 0 1 2 25 6 17 0 1 1
Infotech Enterprises Ltd. 12 1 7 0 1 3 8 0 4 0 1 3
Ipca Laboratories Ltd. 31 3 13 1 3 11 20 3 11 1 1 4
J M Financial Ltd. 19 1 10 0 0 8 9 3 6 0 0 0
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Jindal Stainless Ltd. 17 4 7 0 0 6 16 6 7 0 0 3
Jindal Steel & Power Ltd. 20 1 14 0 1 4 14 0 12 0 1 1
Jubilant Life Sciences Ltd. 19 0 10 1 0 8 7 0 3 1 0 3
K P I T Cummins Info
systems Ltd.
38 5 6 0 1 26 19 4 4 0 0 11
Kansai Nerolac Paints
Ltd.
11 3 5 1 1 1 11 5 3 1 1 1
Karnataka Bank Ltd. 24 2 7 0 0 15 18 5 7 0 0 6
Karuturi Global Ltd. 36 3 4 1 2 26 18 3 7 0 0 8
Lakshmi Machine Works
Ltd.
17 6 7 0 0 4 13 5 5 0 0 3
Larsen & Toubro Ltd. 15 1 10 0 0 4 16 0 13 0 0 3
M R F Ltd. 32 11 18 0 0 3 18 2 14 0 0 2
Magma Fincorp Ltd. 26 0 8 0 0 18 7 0 4 0 0 3
Maharashtra Seamless
Ltd.
25 5 8 0 0 12 10 3 5 0 0 2
Mahindra & Mahindra
Ltd.
23 1 13 0 0 9 13 0 9 0 0 4
Marico Ltd. 36 6 23 1 0 6 32 4 23 1 0 4
Mercator Ltd. 35 4 9 1 1 20 13 2 4 1 1 5
Monnet Ispat & Energy
Ltd.
25 3 12 0 0 10 18 4 11 0 0 3
Motherson Sumi Systems
Ltd.
15 0 9 0 0 6 9 0 6 0 0 3
N T P C Ltd. 19 4 11 0 0 4 12 4 8 0 0 0
Nava Bharat Ventures
Ltd.
16 1 7 1 1 6 7 0 5 0 1 1
Oil & Natural Gas Corpn.
Ltd.
21 6 11 1 0 3 11 3 7 1 0 0
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Orchid Chemicals &
Pharmaceuticals Ltd.
14 0 8 0 0 6 4 0 1 0 0 3
Pantaloon Retail (India)
Ltd.
32 2 8 0 1 21 7 0 2 0 0 5
Pidilite Industries Ltd. 17 1 9 0 0 7 9 0 5 0 0 4
Praj Industries Ltd. 20 9 6 1 0 4 14 6 4 1 0 3
Prism Cement Ltd. 16 4 8 0 0 4 6 2 4 0 0 0
Rallis India Ltd. 15 3 9 0 0 3 7 0 7 0 0 0
Reliance Industrial
Infrastructure Ltd.
9 3 6 0 0 0 2 0 2 0 0 0
Reliance Industries Ltd. 17 1 7 0 1 8 10 0 5 0 0 5
Ruchi Soya Inds. Ltd. 20 0 8 0 1 11 4 0 0 0 0 4
S K F India Ltd. 10 0 10 0 0 0 9 0 9 0 0 0
S R F Ltd. 31 4 10 2 1 14 17 2 8 0 1 6
Shree Cement Ltd. 14 2 11 0 0 1 9 1 8 0 0 0
Sintex Industries Ltd. 10 0 8 0 1 1 4 0 3 0 0 1
South Indian Bank Ltd. 32 1 8 0 0 23 10 0 4 0 0 6
State Bank Of India 14 3 7 0 0 4 9 3 5 0 0 1
Sterlite Industries (India)
Ltd.
21 1 8 0 1 11 15 3 6 0 0 6
Strides Arcolab Ltd. 17 3 5 0 1 8 12 3 3 0 1 5
Sun Pharmaceutical Inds.
Ltd.
23 2 6 1 1 13 16 2 4 1 1 8
Supreme Industries Ltd. 20 2 9 0 2 7 15 2 8 0 2 3
Tata Consultancy Services
Ltd.
34 6 22 0 3 3 12 2 9 0 1 0
Tata Investment Corpn.
Ltd.
17 7 6 0 2 2 9 4 2 0 2 1
Tata Motors Ltd. 14 1 10 0 0 3 10 3 7 0 0 0
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Source: Computed from on Prowess 3.1.
Tata Power Co. Ltd. 12 1 10 0 0 1 5 0 5 0 0 0
Tata Steel Ltd. 16 4 9 0 0 3 5 0 5 0 0 0
Texmaco Ltd. 14 10 0 0 0 4 8 7 0 0 0 1
Thermax Ltd. 17 6 8 1 0 2 11 2 7 1 0 1
Torrent Pharmaceuticals
Ltd.
11 2 7 0 0 2 8 2 4 0 0 2
Trent Ltd. 19 3 8 1 0 7 11 2 6 2 0 1
Tube Investments Of
India Ltd.
13 2 8 1 0 2 10 3 5 1 0 1
TOTAL 1936 306 878 21 54 677 1129 207 619 17 29 257
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Table 3.6 shows the number of different types of dividend related events for the
selected 103 companies.
Table 3.6: Number of different types of dividend related events:
Total No. of
Companies
Selected
Total No. of
dividend
related Events
announced
from FY
2001-02 to
2010-11
Standalo
ne
Dividen
d
Events
Dividend
Along
with
Financial
Results
Dividend
announcement
along with and
other Events
excluding
declaration of
Financial Results
Dividend
along with
declaratio
n of
financial
Results
and other
Events
103 1259 306 878 21 54
In order to perform event study analysis it is necessary to exclude such cases
where other events are announced during the window period. The number of
isolated dividend related events falling in the window period of 61 days is arrived
to be 872 with break-up different types of isolated dividend events appearing in
Table 3.7.
Table3.7: Number of isolated dividend events in the window period of 61
days.
Total No.
of
Companie
s Selected
Dividen
d Alone
Events
Dividend
Along with
Financial
Results
Dividend and
Other Events
Except of
Financial
Results
Dividend
along with
financial
Results and
Other
Events
Total No.
of Events
Relevant
for Study
103 207 619 17 29 872
Figure3.2and 3.3 showing the total number of events and isolated final selected
events are shown with the help of pie chart as under:
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Figure3.2: Number of Different type of Dividend Related Events
Figure 3.3: Number of Isolated Dividend Events in the Window Period of 61
Days
306
878
21
54
Number of different types of dividend related
events Standalone Dividend Events
Dividend Along with Financial
Results
Dividend announcement along
with and other Events
excluding declaration of
Financial Results
Dividend along with declaration
of financial Results and other
Events
207
619
17 29
Number of isolated dividend events in the window period of
61 days Dividend alone event
Dividend Along with financialresults
Dividend with other eventexcept financial results
Dividend with financialresults alon with otherevents
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The category wise changes in dividends for all the selected companies classified
as Large cap, Mid-cap and Small –cap companies appear in Appendix 3.3 to 3.5.
The percentage changes in dividends have been grouped into twelve categories in
Table 3.8 as under:
Table 3.8: Capitalization based percentage changes in dividends
S.
No
.
Dividend
change
category
Number of isolated dividend events
Large Cap
Companies
Mid Cap
Companies
Small Cap.
Companies
Total
1 Increase of
minimum 10%
16 11 32 59
2 Decrease of
minimum 10%
09 00 07 16
3 Increase of
minimum 15%
20 20 39 79
4 Decrease of
minimum 15%
08 05 11 24
5 Increase of
minimum 20%
11 14 29 54
6 Decrease of
minimum 20%
07 04 11 22
7 Increase of
minimum 25%
39 21 72 132
8 Decrease of
minimum 25%
27 11 66 104
9 Increase of
minimum 50%
or above
57 25 115 197
10 Decrease of
minimum 50%
or above
28 06 38 72
11 Dividend
initiation
11 09 44 64
12 Dividend
omissions
09 07 33 49
Total number
of events
242 133 497 872
Thus a total of 872 isolated events for 103 sampled companies constitute our
sample frame for the events study analysis.
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3.3 Formulation of Hypothesis:
The following hypotheses have been formulated to study the effect of change
in dividend on the respective share prices of the selected companies:
3.3.1 Event : Dividend Decision along with declaration of financial results
H0: There is no relationship between dividend change announcement (both
increase or decrease) on the share prices of the Indian Stock market
listed companies when dividend announcement is made along with
declaration of financial results.
3.3.2 Event: Standalone dividend alone announcement
H0: There is no relationship between standalone t dividend change
announcements on the share prices of the Indian Stock Market listed
companies.
3.3.3 Event : Dividend initiation
H0: There is no relationship between dividend initiation announcements on the
share prices of the Indian Stock Market listed companies.
3.3.4 Event : Dividend Omission
. H0: There is no relationship between dividend omission announcements on the
share prices of the Indian Stock Market listed companies.
The proposed hypotheses are summarized in table 3.9:
Table 3.9: Summarization of Proposed Hypotheses
S.No. Null Hypotheses (Ho )
1 H0: There is no relationship between event dividend change along
with financial results announcement and change in share
prices of the Indian Stock Market listed companies.
2 H0: There is no relationship between event dividend change
announcement and change in share prices of the Indian Stock
Market listed companies.
3 H0: There is no relationship between event dividend initiation
announcement and change in share prices of the Indian Stock
Market listed companies.
4 H0: There is no relationship between event dividend omission
announcement and change in share prices of the Indian Stock
Market listed companies.
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3.4 Data Collection:
This study used CMIE data base for the collection of data with the help of
software called PROWESS. As claimed by organization itself “Prowess is a
database of the financial performance of Indian companies. Annual Reports of
individual companies are the principal source of this database. The database
covers listed and unlisted companies. For listed companies, the database includes
data sourced from the stock exchanges. Prowess contains time-series data from
1989-90 onwards. It is updated continuously. Therefore Prowess database has
been used for the collection of data for the period of 10 years from FY 2001-02 to
FY 2010-11. Data collected from Prowess 3.1 includes dividend rate, dividend
announcement date, closing prices of the selected companies for sampled
companies.
3.5 Analytical tools For Event Study : GARCH Model
To examine the impact of any dividend related event on share price, abnormal
returns have been calculated using GARCH (p, q) model as given by Bollerslev
(1987). The decision to apply GARCH (p, q) model for the estimation of abnormal
return over simple OLS model is based on resolution of concerns regarding
autocorrelation and heteroskadasticity in residuals as advocated by Serra (May
2002) and Pynnonen (2005).
The current daily return Ri,t is given by
Ri,t =Pi,t − Pi,t−1
Pi,t−1 (1)
Where Pi,t and Pi,t−1 represent closing prices of the current date and previous date
respectively.
The daily returns of individual scripts and of the market accordingly have been
calculated using closing BSE share prices for each of the 20 companies and
BSE’s closing index for the BSE‘s index return respectively.
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The data has been checked for stationarity using Augmented Dickey Fuller and
Phillips- Perron test statistics popularly known as Unit Root test.
The abnormal return of security in time period t can be calculated with the help of
formula given below:
ARi,t = Ri,t − E(Ri.t) (2)
where E(Ri,t) corresponds to expected return of security i in time period t and is
given by
E(Ri,t) = αi + βirRm,t (3)
The expected return using market model (GARCH (p, q)) is given by
E(Rit) = ∝i,t+ βi,tRm,t + εi,t (4)
Subject to condition of error term εi,t~N(0, σi,t2 ) where variance in the error term
is given by
σi,t2 = γi,0 + γ1εi,t−1
2 + ⋯ + γpεi,t−p2 + θi,1σi,t−1
2 + ⋯ + θi,pσi,t−p2 (5)
Equation (4) is simple ordinary least squares (OLS) model which puts the
condition for mean of error term as zero and constant variance. Equation (5)
includes volatility measured by the term error square lagged and lags of volatility
itself to calculate variance of error.
We have relied upon the use of Breusch-Godfrey Serial Correlation LM test and
Heteroskedasticity: ARCH test on the residuals calculated by using simple OLS
model. To ensure residuals are free from autocorrelation and heteroskedaticity,
residual diagnostic tests are further performed on the residuals obtained by using
GARCH (p, q) model.
The cumulative average abnormal return (CAAR) over the window period for n
number of events being considered is given by
RESEARCH METHODOLOGY
68
CAAR = ∑ AARt
t
(6)
Where AARt = 1
n∑ ARit
ni=1 (7)
The hypothesis testing has been carried out using t-test as favoured by Serra A. P.
(May 2002) to determine whether abnormal return realized during event window
is significant or happened by chance.
3.5.1. Hypothesis Testing Tool:
For the testing of hypothesis that abnormal return realized due to particular event
announcement is significant or not, t –test is employed.
t =AARi
σ/√n
AARi = Average abnormal return for security ith
σ = standard deviation of abnormal return for security ith
n= number of observations, or time period.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
69
CHAPTER 4:
EVENT STUDY ANALYSIS OF DIVIDEND DECISIONS
In this Chapter Event Analysis of Dividend related decision of the selected sample
of companies has been performed.
The selection of companies constituting the sample of 103 listed companies
fulfilling the criterion of being listed in BSE as well as NSE to represent stock
market listed companies in India has been explained in Chapter III.
The events selected for the analysis fall into three broad categories as under:
i) Dividend announcement along with declaration of financial results
ii) Standalone dividend increase or decrease decision
iii) Dividend initiation or omission decision
Each of the above three categories of dividend decisions has been analyzed for
range of dividend announcement levels from increase or decrease of 10% ,
15%,20%, 25 % ,and 50 % and above. The total number of events analyzed
number 872 covering a period of 10 ten years from FY 2001-02 to 2010-11 in
respect of 103 companies constituting the sample. The details of events to study
signaling effect through event analysis appears in Table 4.1
Table 4.1: Details of dividend events analyzed
Dividend announcement along with declaration of financial results
S.
No.
Dividend Change
Announcement
Large
Cap
Mid
Cap
Small
Cap
Total
1 Increase of minimum 10% 15 10 26 51
2 Decrease of minimum 10% 09 00 07 16
3 Increase of minimum 15% 19 12 30 61
4 Decrease of minimum 15% 08 01 06 19
5 Increase of minimum 20% 07 14 22 43
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
70
6 Decrease of minimum 20% 07 01 10 21
7 Increase of minimum 25% 30 21 47 98
8 Decrease of minimum 25% 20 11 41 72
9 Increase of minimum 50% or
above
40 19 80 139
10 Decrease of minimum 50% or
above
27 06 30 63
Sub-total 182 102 299 583
Standalone dividend increase or decrease decision
S.
No.
Dividend Change Announcement Large
Cap
Mid Cap Small
Cap
Tot
al
1 Increase of minimum 10% 01 01 06 8
2 Decrease of minimum 10% 00 00 00 0
3 Increase of minimum 15% 01 08 09 18
4 Decrease of minimum 15% 00 00 05 5
5 Increase of minimum 20% 04 00 07 11
6 Decrease of minimum 20% 00 00 01 1
7 Increase of minimum 25% 09 00 25 34
8 Decrease of minimum 25% 07 00 25 32
9 Increase of minimum 50% or above 17 06 35 58
10 Decrease of minimum 50% or above 01 00 08 9
Sub- Total 40 15 121 176
Dividend initiation or omission decision
S.
No.
Dividend Change Announcement Large
Cap
Mid Cap Small
Cap
Tot
al
1 Dividend initiation 11 09 44 64
2 Dividend omissions 09 07 33 49
sub- Total 20 16 77 113
Grand Total 242 133 497 872
The event analysis has been carried out for each of the categories of dividend
related events as explained in the Chapter III on Research Methodology.
The category wise event analysis follows:
4.1 Event Dividend Increase/Decrease announcements along with Financial
Results:
4.1.1 Event: Dividend Increase/Decrease announcement of 10 per cent
along with financial Results
The calculated AAR and CARR values (See Appendix 4.1) have been plotted for
the 61 days event window and shown in Panel 4.1 depicting trend in AAR AND
CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
71
Panel 4.1: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 10 per cent along with financial
results.
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement in the table below:
-.06
-.05
-.04
-.03
-.02
-.01
.00
.01
.02
.03
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Large CapAAR and CAAR Dividend increase along: 10 per cent
-.02
.00
.02
.04
.06
.08
.10
.12
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Large Cap AAR and CAAR Dividend decrease along:10 per cent
-.06
-.04
-.02
.00
.02
.04
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Mid Cap AAR and CAAR Dividend increase along: 10 per cent
-.06
-.04
-.02
.00
.02
.04
.06
.08
.10
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Small Cap AAR and CAAR Dividennd increase Along: 10 per cent
-.1
.0
.1
.2
.3
.4
.5
.6
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend decrease Along: 10 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
72
Table 4.2: Test of hypotheses at 5 % level of significance for 10% dividend
change announcement along with financial results:
S.
No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 10 per cent change in dividend
increase announcement for the Large Cap
companies is not associated with
subsequent change in share price.
-0.0097
1.2994
0.1988
Not
Rejected
H:1.2
The 10 per cent change in dividend
decrease announcement for the Large Cap
companies is not associated with
subsequent change in share price.
-0.0058
0.5928
0.556
Not
Rejected
H:1.3
The 10 per cent change in dividend
increase announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
0.0042
0.3388
0.7360
Not
Rejected
H:1.4
The 10 per cent change in dividend
decrease announcement for the Mid Cap
companies is not associated with
subsequent change in share price
Number of events are not sufficient to be
included in the final study
H:1.5
The 10 per cent change in dividend
increase announcement for the Small Cap
companies is not associated with
subsequent change in share price.
0.0255
2.7587
0.0077
Rejected
H:1.6
The 10 per cent change in dividend
decrease announcement for the Small Cap
companies is not associated with
subsequent change in share price.
0.0143
0.4110
0.6825
Not
Rejected
a
Calculated values based on Prowess 4.1 database
In case of 10 per cent dividend increase/ decrease along with financial results
announcement by Large Cap companies, AAR values on the respective event day
indicates negative reaction to the event announcement. In both the cases
movement in prices is insignificant at 5% level of significance by using t-test and
corresponding calculation of p-value as shown in the Table 4.2.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
73
In case of Mid Cap companies, dividend increase announcement along with
financial results announcement, the AAR is found to be positive but not
significant as shown in the Table 4.2.
In case of Small Cap companies, we find that AAR for dividend increase
announcement is positive and significant while in case of dividend decrease
announcement, AAR is positive but insignificant.
From Table 4.2, it following inferences can be drawn at 5 % level of significance:
i) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
Large Cap companies,
ii) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
Large Cap companies,
iii) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
Mid Cap companies.
iv) There is sufficient evidence to reject the null hypothesis for dividend
increase for small cap companies at 5 % level of significance.
v) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
small cap companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR to capture relative pronounced period of abnormal returns
provides interesting insights. Table 4.3 shows the positive and pronounced periods
of significant values of CAAR.
Table 4.3: Positive and Pronounced periods of significant CAAR values at
5% level of significance during sixty- one day event period for
the event 10 per cent change in dividend along with financial
results.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
74
Event
Period of Positive CAAR values
a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
Day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-30 to–28,
-25to -22
No No No No +14 to +19,
+23 to +30
Large Cap
dividend
decrease
-29 to -01 00 +01 to +30 -20 to -16 No +13 to +30
Mid Cap
dividend
increase
-30 to -27 No No -04 to-03 No +11 to +14,
+27 to + 30
Mid Cap
dividend
decrease
Events are not sufficient for final study
Small Cap
dividend
increase
-28 to-01
00 +01 to +30 -12 to -01
00 +01 to +20
Small Cap
dividend
decrease
-25 to -14,
-11 to -01
00 +01 to+ 30
No No +06 to+ 30
a Observed period of calculated values based on Prowess 4.1 database
In the event 10 per cent dividend increase announcement along with financial
results in case of large cap companies, the CAAR values during 61 days period
are found to be positive for a very short time period from -30 to -28 days and -25
to -22 days. During rest of the event period CARR values are found to be
negative . The negative trend becomes sharper from the period of +14 to +19 and
+23 to +30 days.
In case of 10 per cent dividend decrease announcement along with financial
results by large cap companies the CARR values remain positive with the
exception of -30 day. As seen in Table 4.3, positive CARR values become more
pronounced for a -20 to -16 and +13 to 30 days. This is quite in contrast to
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
75
dividend increase announcement in case of large cap companies where negative
trend is observed.
While analyzing 10 per cent dividend increase announced by mid cap companies,
positive CAAR values during are seen over a very short-time from -30 to -27
days. Rest of the event period is characterized by negative trend in CAAR values
which becomes sharper from -04 to -03 days, +11 to +14 days and +27 to +30
days.
A similar trend is seen in case of small cap companies where it observed that
CARR values are positive for most of the event period except -30 to -29 days. It is
also seen that this positive trend becomes sharper from the period of -12 to -01 and
+01 to +20 days including event day.
In case of 10 per cent dividend decrease announcement by small cap companies
positive trend is seen in CAAR values during the event period with the exception -
30 to -26 days and from -13 to -10 days when it is negative. The positive trend is
more pronounced for a very longer duration from +06 to+ 30 days. This type of
reaction is quite in contrast to dividend increase announcement of 10 % by small
cap companies.
4.1.2 Event: Dividend Increase/Decrease Announcement of 15 per cent
along with Financial Results
The calculated AAR and CAAR values (See Appendix 4.2) have been plotted for
the 61 days event window and shown in Panel 4.2 depicting trend in AAR and
CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
76
Panel 4.2: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 15 per cent along with financial
results
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
-.06
-.05
-.04
-.03
-.02
-.01
.00
.01
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase along: 15 per cent
-.04
-.02
.00
.02
.04
.06
.08
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Large Cap AAR and CAAR Dividend decrease along: 15 per cent
-.04
-.02
.00
.02
.04
.06
.08
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Mid Cap AAR and CAAR Dividend increase along: 15 per cent
-.06
-.05
-.04
-.03
-.02
-.01
.00
.01
.02
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Small Cap AAR and CAAR Dividend increase Along: 15 per cent
-.150
-.125
-.100
-.075
-.050
-.025
.000
.025
.050
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend decrease along: 15 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
77
Table 4.4: Test of hypotheses at 5 % significance level for 15% dividend
change announcement along with financial results:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 15 per cent change in dividend
increase announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0190
3.4947
0.0009
Not
Accepted
H:1.2
The 15 per cent change in dividend
decrease announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0202
1.6784
0.0985
Accepted
H:1.3
The 15 per cent change in dividend
increase announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
0.0049
0.4341
0.6658
Accepted
H:1.4
The 15 per cent change in dividend
decrease announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
Number of events are not sufficient to be
included in the final study
H:1.5
The 15 per cent change in dividend
increase announcement for the Small
Cap companies is not associated with
subsequent change in share price.
0.0030
0.3816
0.7041
Accepted
H:1.6
The 15 per cent change in dividend
decrease announcement for the Small
Cap companies is not associated with
subsequent change in share price.
-0.0120
0.7700
0.4443
Accepted
a
Calculated values based on Prowess 4.1 database
In case of 15 per cent dividend increase/ decrease along with financial results
announcement by Large Cap companies, AAR values on the respective event day
indicate negative reaction to the event announcement. In case of dividend increase
along with financial results, the reaction to the event is significant. In cases of
dividend decrease along with financial results the reaction to this information is
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
78
insignificant. The movements in the prices due in response to event announcement
are tested at 5% level of significance by using t-test and corresponding calculation
of p-value as shown in the Table 4.4.
In case of Mid Cap companies, dividend increase along with financial results
announcement, the AAR is found to be positive but not significant as shown in
Table 4.4. Due to insufficient number of events, the dividends decrease along with
financial results announcement in case of mid cap companieshas not been
analyzed.
In case of Small Cap companies, we find that AAR for dividend increase
announcement is positive though insignificant while in case of dividend decrease
announcement, AAR is negative and insignificant.
From Table 4.4, the following inferences can be drawn.
i) There is sufficient evidence to reject the null hypothesis for the events
dividend increase along with financial results announcement for Large
Cap companies,
ii) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
Large Cap companies,
iii) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
Mid Cap companies.
iv) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
small Cap companies.
v) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
small cap companies.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
79
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR has been done in Table 4.5 to capture relative pronounced
period of abnormal returns.
Table 4.5: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 15 per
cent change in dividend along with financial results.
Event
Period of Positive CAAR values a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
Day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-04 to–02 No No No No +03 to +06,
+10 to +30
Large Cap
dividend
decrease
-23 to -01 00 +01 to +11,
+17 to +30
No No +21 to +30
Mid Cap
dividend
increase
-25 to -12,
-10 to -01
00 +01 to +02,
+06 to +16,
+27 to +30
-06 to -02 00 No.
Mid Cap
dividend
decrease
Events are not sufficient to be included in the final study
Small Cap
dividend
increase
No
No No -24 to -17,
- 05 to -03
No +13 to +30
Small Cap
dividend
decrease
-25 to -23,
-09 to -01
00 No No No +11 to+ 25,
+27 to +30
a Observed period of calculated values based on Prowess 4.1 database
The event of 15 per cent dividend increase announced along with financial results
by large cap companies, the CAAR values during 61 days period to be positive for
a very short time period from -04 to -02 days. During rest of the period CAAR
values are found to be negative. The negative trend is found to be sharper over the
period of +03 to +06 and +10 to +30.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
80
In case of the event ‘15 per cent dividend decrease along with financial results
announcement’ by large cap companies, the CAAR values during 61 days period
are found to be positive for the period of -23 to -01 days and +01 to +11 and +17
to + 30 days including event day. This positive period become pronounced for the
period of +21 to +30 days.
In case of event ‘15 per cent dividend increase along with financial results
announcement’ by mid cap companies, the CAAR values during 61 days period
are found to be positive for a period of -25 to -12 days, -10 to -01, event day, +01
to +02, +06 to +16 and +27 to +30 days. The positive CAAR trends become
sharper for a very short duration from the period of -06 to -02 and on event day.
During rest of the period CAAR remains negative.
In case of event ‘15 per cent dividend increase along with financial results
announcement’ by small cap companies, the CAAR values during 61 days period
are found to be negative for whole of the period. This negative trend remains
sharper for the period of -24 to -17, -05 to -03 and +13 to +30 days.
In case of event 15 per cent dividend decrease along with financial results
announcement by small cap companies, the CAAR values during 61 days period
are found to be positive except for the period of -25 to -23 days and from -09 to -
01 days. The CAAR values are not only positive but are also pronounced for a
very longer duration from +11 to+ 25 days and from +27 to +30 days.
4.1.3 Event: Dividend Increase/Decrease Announcement of 20 per cent
along with Financial Results
The calculated AAR and CAAR values (See Appendix 4.3) have been plotted for
the 61 days event window and shown in Panel 4.3 depicting trend in AAR and
CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
81
Panel 4.3: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 20 per cent along with financial
results.
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the Table 4.6
below:
-.04
-.02
.00
.02
.04
.06
.08
.10
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase along: 20 per cent
-.08
-.04
.00
.04
.08
.12
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Large Cap AAR and CAAR Dividend decrease along: 20 per cent
-.04
.00
.04
.08
.12
.16
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Mid Cap AAR and CAAR Dividend increase Along: 20 per cent
-.08
-.04
.00
.04
.08
.12
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Small Cap AAR and CAAR Dividend increase Along: 20 per cent
-.05
.00
.05
.10
.15
.20
.25
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend decreas Along: 20 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
82
Table 4.6: Test of hypotheses at 5 % significance level for 20% dividend
change announcement along with financial results:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 20 per cent change in dividend
increase announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0045
0.4263
0.6714
Accepted
H:1.2
The 20 per cent change in dividend
decrease announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0083
0.6625
0.5102
Accepted
H:1.3
The 20 per cent change in dividend
increase announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
-0.00087
0.7128
0.4787
Accepted
H:1.4
The 20 per cent change in dividend
decrease announcement for the Mid Cap
companies is not associated with
subsequent change in share price
Events are not sufficient to be included in
final study
H:1.5
The 20 per cent change in dividend
increase announcement for the Small
Cap companies is not associated with
subsequent change in share price.
0.0139
1.1797
0.2428
Accepted
H:1.6
The 20 per cent change in dividend
decrease announcement for the Small
Cap companies is not associated with
subsequent change in share price.
-0.0207
1.5159
0.1348
Accepted
a
Calculated values based on Prowess 4.1 database
In case of 20 per cent dividend increase/ decrease along with financial results
announcement by Large Cap companies, AAR values on the respective event day
indicate negative reaction to the event announcement. In both the cases dividend
increase and decrease along with financial results the reaction to the event is
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
83
insignificant at 5% level of significance by using t-test and corresponding
calculation of p-values as shown in the Table 4.6.
In case of Mid Cap companies, dividend increase along with financial results
announcement, the AAR is found to be negative but not significant as shown in
the Table 4.6. No event of dividend decrease announcement has been selected due
to insufficient announcement under this category.
In case of Small Cap companies, we find that AAR for dividend increase along
with financial results announcement is positive and insignificant while in case of
dividend decrease announcement, AAR is negative and insignificant.
From Table 4.6, following inferences can be drawn for events of 20 per cent
dividend increase/ decrease along with financial results announcement:
i) There is not sufficient evidence to reject the null hypotheses the events
dividend increase along with financial results announcement for Large
Cap companies,
ii) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
Large Cap companies,
iii) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
Mid Cap companies.
iv) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
small Cap companies.
v) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
small cap companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR has been done in Table 4.7 to capture relative pronounced
period of abnormal returns.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
84
Table No. 4.7: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 20 per cent change in
dividend along with financial results.
Event
Period of Positive CAAR values
a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
Day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap Dividend increase
-14 to–01 00 +01to +03,
+07 to +30
No No +23 to +30
Large Cap
dividend
decrease
-24 to -01 00 +01 to +30 -15 to -12,
-02 to -01
00 +01 to +02,
+07 to +11,
+13 to +30
Mid Cap
dividend
increase
-30 to -01 00 +01 to +14,
+17 to +19
-09 to -01 00 +01 to +07
Mid Cap
dividend
decrease
Events are not sufficient to be included in final study
Small Cap
dividend
increase
-12 to-05,
-03 to -01
00 +01 to +30 No. No. +02 to +13
Small Cap
dividend
decrease
-26 to -24,
-22 to -01
00 +01 to+ 30
No No +06 to+ 30
a Observed period of calculated values based on Prowess 4.1 database
For the event of 20 per cent dividend increase along with financial results
announcement by large cap companies, the CAAR values during 61 days period
are found to be positive for the duration of -14 to -01, event day, +01 to +03 and
+07 to +30 days. This positive trend becomes sharper for the period of +23 to +30
days. During rest of the period CAAR remains negative.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
85
In case of the event of 20 per cent dividend decrease along with financial results
announcement by large cap companies, the CAAR values during 61 days period
are found to be positive for the period of -14 to -01 days, +01 to +03 and +07 to
+ 30 days including event day. The CAAR values become pronounced for a longer
period of -15 to -12, -02 to -01, +01 to +02, +07 to +11 and +13 to +30 days.
By examining the CAAR values during 61 days period are found to be positive
for a period of -30 to -01 days, event day, +01 to +14 and +17 to + 19 days. This
positive trend becomes sharper for a duration of -09 to -01, covering the event
day and from +01 to +07 days for the event of 20 per cent dividend increase along
with financial results announcement by mid cap companies . During rest of the
period CAAR values remains negative.
While examining the event of 20 per cent dividend increase along with financial
results announcement by small cap companies, it is observed that CAAR values
during 61 days period are positive for the period of -12 to -05, -03 to -01, event
day and +01 to + 30 days. This positive trend become pronounced for the period
of +06 to +30 days.
CAAR values are found to be positive for the event of 20 per cent dividend
decrease along with financial results announcement by small cap companies for
the period of -26 to -24 days, -22 to -01 days and of +01 to + 30 days. The positive
trend in CAAR values are observed to be more pronounced for duration of +06 to
+ 30 days.
4.1.4 Event: Dividend Increase/Decrease Announcement of 25 per cent
along with Financial Results
The calculated AAR and CAAR values (See Appendix 4.4) have been plotted for
the 61 days event window and shown in Panel 4.4 depicting trend in AAR and
CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
86
Panel 4.4: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 25 per cent along with financial
results
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
-.02
-.01
.00
.01
.02
.03
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase along: 25 per cent
-.02
-.01
.00
.01
.02
.03
.04
.05
.06
.07
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Large Cap AAR and CAAR Dividend decrease along: 25 per cent
-.04
.00
.04
.08
.12
.16
.20
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Mid Cap AAR and CAAR Dividend increase Along: 25 per cent
-.05
.00
.05
.10
.15
.20
.25
.30
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Mid Cap AAR and CAAR Dividend decrease Along: 20 per cent
-.02
.00
.02
.04
.06
.08
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend increase Along:25 per cent
-.02
-.01
.00
.01
.02
.03
.04
.05
.06
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Small Cap AAR and CAAR Dividend decrease Along: 25 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
87
Table 4.8: Test of hypotheses at 5 % significance level for 25% dividend
change announcement along with financial results:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 25 per cent change in dividend
increase announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0069
1.6373
0.1068
Accepted
H:1.2
The 25 per cent change in dividend
decrease announcement for the Large
Cap companies is not associated with
subsequent change in share price.
0.0070
1.1866
0.2400
Accepted
H:1.3
The 25 per cent change in dividend
increase announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
0.0032
0.3727
0.7107
Accepted
H:1.4
The 25 per cent change in dividend
decrease announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
-0.0034
0.2693
0.7887
Accepted
H:1.5
The 25 per cent change in dividend
increase announcement for the Small
Cap companies is not associated with
subsequent change in share price.
0.0043
0.8752
0.3850
Accepted
H:1.6
The 25 per cent change in dividend
decrease announcement for the Small
Cap companies is not associated with
subsequent change in share price.
0.0141
1.9409
0.0570
Accepted
a
Calculated values based on Prowess 4.1 database
In case of 25 per cent dividend increase/ decrease along with financial results
announcement by Large Cap companies, AAR values on the respective event day
indicates negative reaction to the event announcement and a positive reaction to
the event dividend decrease along with financial results announcement. In both the
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
88
cases movement in prices is insignificant at 5% level of significance by using t-
test and corresponding calculation of p-value as shown in the Table 4.8.
In case of Mid Cap companies, dividend increase/ decrease along with financial
results announcement, the AAR is found to be positive for event dividend
increase along with financial results announcement and negative for dividend
decrease along with financial results announcements. This movement in share
prices is insignificant at 5% level of significance as shown in Table 4.8.
In case of Small Cap companies, we find that AAR for dividend increase/ decrease
along with financial results announcement is positive and insignificant as shown
in Table 4.8.
From Table 4.8, following inferences can be drawn at 5 % level of significance:
i) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
Large Cap companies.
ii) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
Large Cap companies,
iii) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
Mid Cap companies.
iv) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
Mid Cap companies.
v) There is not sufficient evidence to reject the null hypotheses for the
events dividend increase along with financial results announcement for
small Cap companies.
vi) There is not sufficient evidence to reject the null hypotheses for the
events dividend decrease along with financial results announcement for
small cap companies.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
89
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR has been performed to capture relative pronounced
movements in abnormal returns. Table 4.9 shows the positive and pronounced
periods of significant values of CAAR.
Table 4.9: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 25 per
cent change in dividend along with financial results.
Event
Period of Positive CAAR values
a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
Day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-27 to–01 No +05to +14,
+16 to +18,
+28 to +30
- 16 to – 14 No No.
Large Cap
dividend
decrease
-29 to -17,
-13 to -10,
-08 to -07
No +08 to +30 No No +21 to +30
Mid Cap
dividend
increase
-30 to -01 00 +01 to +30 -12 to -01 00 +01 to +30
Mid Cap
dividend
decrease
-30 to -01 00 +01 to +30 -05 to -01 00 +01 to +30
Small Cap
dividend
increase
-30 to-25,
-16 to -12,
-09 to -01
00 +01 to +30 No No +01 to +04,
+16 to +30
Small Cap
dividend
decrease
-01 to -30
00 +01 to+ 30
-16 to -01 00 +01 to+ 14
a Observed period of calculated values based on Prowess 4.1 database
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
90
From the above Table it can be clearly seen that for the event ‘25 per cent
dividend increase along with financial results announcement’ by large cap
companies, the CAAR values during 61 days period are positive for a period of -
27 to -01, +05 to + 14, + 16 to + 18 days and +28 to +30 days. During rest of the
period it remains negative. This positive trend becomes sharper only for the period
of -16 to -14 days.
The CAAR values during 61 days period are found to be positive for the period -
29 to – 17, -13 to -10, -08 to -07 and + 08 to + 30 days in case of twenty five
percent dividend decrease along with financial results announcement by large cap
companies. These positive values become pronounced for the duration of +21 to
+30 days.
If we look at the behavior of mid-cap companies in response to twenty five
percent increase in dividend accompanied by financial results, it is seen that the
CAAR values during 61 days period are positive for a period of -30 to -01 days,
event day and +01 to + 30 days. This positive trend becomes sharper for a very
longer duration of - 12 to -01, on event day and +01 to + 30 days.
The CAAR values for the event of 25 per cent dividend decrease along with
financial results announcement by mid cap companies during 61 days period are
found to be positive for a period of -30 to -01 days, event day and +01 to + 30
days. This positive trend becomes sharper for a very longer duration of - 05 to -01,
on event day and +01 to + 30 days.
In case of event 25 per cent dividend increase along with financial results
announcement by small cap companies during 61 days period the CAAR values
are found to be positive for the period of -30 to -25, -16 to -12, -09 to -01 event
day and +01 to + 30 days. This positive trend becomes pronounced for the period
of + 01 to + 04 and +16 to +30 days.
Positive values of CAAR are observed for the event of 25 per cent dividend
decrease along with financial results announcement by small cap companies for
the period of -30 to -01 days, event days and from +01 to + 30 days. These CAAR
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
91
values are not only positive but they are also pronounced for a very longer
duration of -16 to -01 days, event day and +01 to + 14 days.
4.1.5 Event: Dividend Increase/Decrease Announcement of 50 per cent or
more along with Financial Results
The calculated AAR and CAAR values (See Appendix 4.5) have been plotted for
the 61 days event window and shown in Panel 4.5 depicting trend in AAR and
CAAR.
Panel 4.5: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 50 per cent along with financial
results
-.02
-.01
.00
.01
.02
.03
.04
.05
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase along: 50 per cent
-.06
-.05
-.04
-.03
-.02
-.01
.00
.01
.02
.03
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Large Cap AAR and CAAR Dividend decrease along: 50 per cent
-.08
-.04
.00
.04
.08
.12
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Mid Cap AAR and CAAR Dividend increase Along: 50 per cent
-.05
.00
.05
.10
.15
.20
.25
.30
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Mid Cap AAR and CAAR Dividend decrease along: 50 per cent
-.01
.00
.01
.02
.03
.04
.05
.06
.07
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend increase Along: 50 per cent
-.02
-.01
.00
.01
.02
.03
.04
.05
.06
.07
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Small Cap AAR and CAAR Dividend decrease Along: 50 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
92
The trends associated in daily AAR and CAAR for respective events over the
event window have been analyzed to draw inferences about the signaling effect of
the event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
Table 4.10: Test of hypotheses at 5 % significance level for 50% dividend
change announcement along with financial results:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 50 per cent change in dividend
increase along with financial results
announcement for the Large Cap
companies is not associated with
subsequent change in share price.
0.0133
2.3759
0.0207
Rejected
H:1.2
The 50 per cent change in dividend
decrease along with financial results
announcement for the Large Cap
companies is not associated with
subsequent change in share price.
0.0058
0.9286
0.3568
Accepted
H:1.3
The 50 per cent change in dividend
increase along with financial results
announcement for the Mid Cap companies
is not associated with subsequent change
in share price.
0.0159
1.2321
0.2227
Accepted
H:1.4
The 50 per cent change in dividend
increase along with financial results
announcement for the Mid Cap companies
is not associated with subsequent change
in share price
-0.0087
0.3680
0.7142
Accepted
H:1.5
The 50 per cent change in dividend
increase along with financial results
announcement for the Small Cap
companies is not associated with
subsequent change in share price.
0.0018
0.5177
0.6066
Accepted
The 50 per cent change in dividend
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
93
H:1.6 decrease along with financial results
announcement for the Small Cap
companies is not associated with
subsequent change in share price.
-0.0003 0.0626 0.9503 Accepted
a
Calculated values based on Prowess 4.1 database
In case of 50 per cent dividend increase/ decrease along with financial results
announcement by Large Cap companies, AAR values on the respective event day
indicate positive reaction to the event announcement. The reaction in prices is
significant in case of dividend increase while in case of dividend decrease along
with financial results announcement reaction is insignificant at 5% level of
significance as shown in the Table 4.10.
In case of Mid Cap companies, dividend increase/ decrease dividend along with
financial results announcement, the AAR is found to be positive for event
dividend increase along with financial results announcement and for dividend
decrease along with financial results is negative as shown in Table 4.10.The
reaction in the prices is insignificant for both the events (i. e. dividend
increase/decrease along with financial results).
In case of Small Cap companies, we find that AAR for dividend increase/ decrease
along with financial results announcement is positive/ negative respectively for
both type of event while the reaction in the share prices is insignificant.
From Table 4.10, the following inferences can be drawn:
i) There is sufficient evidence to reject the null hypothesis for the events
dividend increase along with financial results announcement for Large
Cap companies,
ii) There is not sufficient evidence to reject the null hypothesis for the
events dividend decrease along with financial results announcement
for Large Cap companies,
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
94
iii) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase as well as decrease along with financial
results announcement for Mid Cap companies.
iv) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase as well as dividend decrease along with
financial results announcement for small Cap companies.
To examine the efficiency of the Indian stock market, analysis of daily
movements in AAR and CAAR to capture relative pronounced movements in
abnormal returns appears in Table 4.11 showing the positive and pronounced
periods of significant values of CAAR.
Table 4.11: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 50
per cent change in dividend along with financial results.
Event
Period of Positive CAAR values a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
Day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-23 to–03 00 +01to +30 - 16 to – 11 No +13 to +16,
+21 to + 30
Large Cap
dividend
decrease
No No No -07 to -01 00 +01 to +04,
+21 to +30
Mid Cap
dividend
increase
-27 to -01 00 +01 to +15 -08 to -01 00 +01 to +04
Mid Cap
dividend
decrease
-30 to -01 00 +01 to +30 -27 to -05 No No
Small Cap
dividend
increase
-29 to-01
00 +01 to +30 -07 to -01 00 +01 to +30
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
95
Small Cap
dividend
decrease
-30 to -
13,
-10 to -01
00 +01 to+ 30
No No +01 to+ 30
a Observed period of calculated values based on Prowess 4.1 database
Examination of CAAR values during 61 days period for the large cap companies
shows the positive values for a period of -23 to -03, event day, and +01 to + 30
days. This positive trend becomes sharper for a longer period of -16 to -11, +13 to
+16 days and +21 to + 30 days. During rest of the period it remains negative for
the event.
While analyzing the event 50 per cent dividend decrease along with financial
results announcement by large cap companies, the CAAR values during 61 days
period show a negative trend during the period of event window. This is also
observed that CAAR values are pronounced for duration of -07 to -01 days, event
day, +01 to +04 and +21 to +30 days.
The trend analysis of CAAR values during 61 days period for the event 50 per
cent dividend increase along with financial results announcement by mid cap
companies are found to be positive for a period of -27 to -01 days, event day and
+01 to + 15 days. It is also seen that the positive trend become sharper for a
duration of - 08 to -01, on event day and +01 to + 04 days.
The trend in CAAR values for the event of 50 per cent dividend decrease along
with financial results announcement by mid cap companies during 61 days period
are found to be positive for a period of -30 to -01 days, event day and +01 to + 30
days. It is also seen that the positive trend become sharper for a duration of - 27 to
-05 days.
For the event ‘50 per cent dividend increase along with financial results
announcement’ by small cap companies, the trend in CAAR values during 61
days period is found to be positive for the period of -29 to -01, event day and +01
to + 30 days. It is also seen that this positive trend become pronounced for the
period of -07 to -01 days, event day, and + 01 to +30 days.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
96
While in case of ‘50 per cent dividend decrease along with financial results
announcement’ by small cap companies, the CAAR values during 61 days period
are found to be positive for the period for -30 to -13 days,-10 to -01 days, event
days and from +01 to + 30 days. It is also observed that CAAR values are also
pronounced for a very longer duration +01 to + 30 days.
4.2 Event: Dividend Increase/Decrease announcement:
4.2.1 Event: Dividend Increase/Decrease announcement of 10 per cent.
The calculated AAR and CAAR values (See Appendix 4.6) have been plotted for
the 61 days event window and shown in Panel 4.6 depicting trend in AAR and
CAAR
Panel 4.6: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 10 per cent.
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
-.050
-.025
.000
.025
.050
.075
.100
.125
.150
-40 -30 -20 -10 0 10 20 30 40
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend increase alone: 10 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
97
Table 4.12: Test of hypotheses at 5 % significance level for 10% dividend
change announcement:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 10 per cent change in dividend
increase announcement for the Large Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study.
H:1.2
The 10 per cent change in dividend
decrease announcement for the Large Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study.
H:1.3
The 10 per cent change in dividend
increase announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study.
H:1.4
The 10 per cent change in dividend
increase announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study.
H:1.5
The 10 per cent change in dividend
increase announcement for the Small Cap
companies is not associated with
subsequent change in share price.
0.0395
2.3612
0.0215
Rejected
H:1.6
The 10 per cent change in dividend
decrease announcement for the Small Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study.
a Calculated values based on Prowess 4.1 database
The number of events for standalone dividend decision of 10 per cent increase/
decrease announcement by Large Cap and Mid Cap companies are insufficient
for the purpose of analysis .
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
98
The trend in AAR for 10 per cent dividend increase announcement for the small
cap companies is positive and significant while in case of dividend decrease no
event was found to exist in the sample.
From Table 4.12, following inferences can be drawn at 5 % level of significance:
i) There is sufficient evidence to reject the null hypothesis for the events
dividend increase announcement for small Cap companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR to capture relative pronounced movements in abnormal
returns appears in Table 4.13 showing the positive and pronounced periods of
significant values of CAAR.
Table 4.13: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 10
per cent change in dividend
Event
Period of Positive CAAR values a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
day
Post event
Period
Pre event
Period
Event
day
Post
event
period
Large Cap
Dividend increase
Events are not sufficient to be included in final study
Large Cap
dividend decrease
Events are not sufficient to be included in final study
Mid Cap dividend
increase
Events are not sufficient to be included in final study
Mid Cap dividend
decrease
Events are not sufficient to be included in final study
Small Cap
dividend increase
-24 to-23,
-21 to -19,
-10 to -01
00 +01 to +30 No No +16 to
+30
Small Cap
dividend decrease
Events are not sufficient to be included in final study
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
99
a Observed period of calculated values based on Prowess 4.1 database
The CAAR values during 61 days for the event of 10 per cent dividend increase
announcement by small cap companies for the period of -24 to -23, -21 to -19
days, -10 to -01 days, event day and +01 to + 30 days are positive. It is also seen
that this positive trend become pronounced for the period of + 16 to +30 days.
4.2.2 Event: Dividend Increase/Decrease announcement of 15 per cent.
The calculated AAR and CAAR values (See Appendix 4.7) have been plotted for
the 61 days event window and shown in Panel 4.7 depicting trend in AAR and
CAAR.
Panel 4.7: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 15 per cent alone
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
-.16
-.12
-.08
-.04
.00
.04
.08
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Mid Cap AAR and CAAR Dividend increase Alone: 15 per cent
-.04
-.02
.00
.02
.04
.06
.08
.10
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Small Cap AAR and CAAR Dividend increase alone : 15 per cent
-.08
-.04
.00
.04
.08
.12
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend decrease alone: 15 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
100
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
Table 4.14: Test of hypotheses at 5 % significance level for 15% dividend
alone change announcement:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 15 per cent change in dividend
increase announcement for the Large
Cap companies is not associated with
subsequent change in share price.
Events are not sufficient to be included in
final study
H:1.2
The 15 per cent change in dividend
decrease announcement for the Large
Cap companies is not associated with
subsequent change in share price.
No event is selected under this category
H:1.3
The 15 per cent change in dividend
increase announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
0.0007
0.0394
0.9687
Accepted
H:1.4
The 15 per cent change in dividend
decrease announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
Events are not sufficient to be included in
final study
H:1.5
The 15per cent change in dividend
increase announcement for the Small
Cap companies is not associated with
subsequent change in share price.
0.0041
0.3207
0.7496
Accepted
H:1.6
The 15 per cent change in dividend
decrease announcement for the Small
Cap companies is not associated with
subsequent change in share price.
-0.0128
0.7659
0.4467
Accepted
a
Calculated values based on Prowess 4.1 database
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
101
In case of Mid Cap companies, for 15% dividend increase announcement, the
AAR value is found to positive for event day but this reaction is insignificant.
In case of Small Cap companies, we find that AAR for 15 % dividend increase
announcement is positive and insignificant. In case of event 15% dividend
decrease announcement, AAR is negative and insignificant.
From Table 4.14, following inferences can be drawn at 5 % level of significance:
i) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase announcement for Mid Cap companies.
ii) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase/decrease announcement for small Cap
companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR to capture relative pronounced movements in abnormal
returns provides interesting insights. Table 4.15 shows the positive and
pronounced periods of significant values of CAAR.
Table 4.15: Pronounced periods of significant CAAR values at 5% level of
significant during sixty- one day event period for the event 15 per
cent change in dividend alone:
Event
Period of Positive CAAR values a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
Events are not sufficient to be included in final study
Large Cap
dividend
decrease
Events are not sufficient to be included in final study
Mid Cap
dividend
increase
-08 to -04 No No No No +01 to
+04,
+06 to +15
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
102
Mid Cap
dividend
decrease
Events are not sufficient to be included in final study
Small Cap
dividend
increase
-29 to-22,
-20 to -18,
-13 to -01
00 +01 to +30 No 00 +01 to +30
Small Cap
dividend
decrease
-26 to -01
00
+01 to+ 30,
-21 to -
01
00 +15 to+ 17
a Observed period of calculated values based on Prowess 4.1 database
In case of 15 per cent dividend increase announcement by mid cap companies, the
CAAR values during 61 days period are found to be positive for a period of -08 to
-04 days. Most of the period CAAR is found to be negative and remain sharper for
aduration of +16 to + 30 days.
For the event of 15 per cent dividend increase announced by small cap companies,
the CAAR values during 61 days period are found to be positive for the period of
-29 to -22, -20 to -18 days, -13 to -01 days, event day and +01 to + 30 days. This
positive trend becomes pronounced for the period of + 01 to +30 days.
The CAAR values during 61 days period are found to be positive for -26 to -01
days, event days and from +01 to + 30 days for 15% dividend decrease
announcement by small cap companies. These CAAR values are not only positive
but they are also pronounced over a longer duration of -21 to -01, event day and
+15 to + 17 days.
4.2.3 Event: Dividend Increase/Decrease announcement of 20 per cent.
The calculated AAR and CAAR values (See Appendix 4.8) have been plotted for
the 61 days event window and shown in Panel 4.8 depicting trend in AAR and
CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
103
Panel 4.8: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 20 per cent.
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
Table 4.16: Test of hypotheses at 5 % significance level for 20% dividend
alone change announcement:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 20 per cent change in dividend
increase announcement for the Large Cap
companies is not associated with
subsequent change in share price.
0.0211
1.5857
0.1181
Accepted
H:1.2
The 20 per cent change in dividend
decrease announcement for the Large Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study
H:1.3
The 20 per cent change in dividend
increase announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study
H:1.4
The 20 per cent change in dividend
decrease announcement for the Mid Cap
companies is not associated with
Events are not sufficient to be included
in final study
-.08
-.04
.00
.04
.08
.12
-40 -30 -20 -10 0 10 20 30 40
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase Alone: 20 per cent
-.08
-.04
.00
.04
.08
.12
.16
.20
.24
.28
.32
-40 -30 -20 -10 0 10 20 30 40
Small Cap AAR and CAAR Dividend increase alone: 20 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
104
subsequent change in share price.
H:1.5
The 20 per cent change in dividend
increase announcement for the Small Cap
companies is not associated with
subsequent change in share price.
-0.0066
0.2261
0.8219
Accepted
H:1.6
The 20 per cent change in dividend
decrease announcement for the Small Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included
in final study
a
Calculated values based on Prowess 4.1 database
In case of 20 per cent dividend increase/ decrease announcement by Large Cap
companies, ARR on respective event day indicate a positive reaction and
insignificant. In case of dividend decrease announcement no event found to be
included in final study.
In case of Small Cap companies, we find that AAR for dividend increase
announcement is negative and insignificant. The dividend decrease announcement
events are not sufficient to include in final study.
From Table 4.16, following inferences can be drawn at 5 % level of significance:
i) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase standalone announcement for Large Cap
companies.
ii) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase standalone announcement for small Cap
companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR to capture relative pronounced movements in abnormal
returns provides interesting insights. Table 4.17 shows the positive and
pronounced periods of significant values of CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
105
Table 4.17: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 20
per cent change in dividend alone:
Event
Period of Positive CAAR values
a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-10 to–01 00 +01to +30 No No +14 to +16,
+19 to +26
Large Cap
dividend
decrease
Events are not sufficient to be included in final study
Mid Cap
dividend
increase
Events are not sufficient to be included in final study
Mid Cap
dividend
decrease
Events are not sufficient to be included in final study
Small Cap
dividend
increase
-25 to-01
00 +01 to +30 -06 to -10
00 +01 to +08,
+17 to +30
Small Cap
dividend
decrease
Events are not sufficient to be included in final study
a Observed period of calculated values based on Prowess 4.1 database
In case of 20 per cent dividend increase announcement by large cap companies,
the CAAR values during 61 days period are found to be positive for a period of -
10 to -01, event day, and +01 to + 30 days. During rest of the period it remains
negative. The positive trend becomes sharper for a period of +14 to +16 days and
+19 to + 26 days.
In case of 20 per cent dividend increase announcement by small cap companies,
the CAAR values during 61 days period are found to be positive for the period of -
25 to -01 days , event day and +01 to + 30 days. It is also seen that this positive
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
106
trend become pronounced for the period of -10 to -06 days, event day, +01 to +08
days and + 17 to +30 days.
4.2.4 Event: Dividend Increase/Decrease announcement of 25 per cent.
The calculated AAR and CAAR values (See Appendix 4.9) have been plotted for
the 61 days event window and shown in Panel 4.9 depicting trend in AAR and
CAAR.
Panel 4.9: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 25 per cent alone
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
-.03
-.02
-.01
.00
.01
.02
.03
.04
.05
-40 -30 -20 -10 0 10 20 30 40
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase Alone: 25 per cent
-.04
.00
.04
.08
.12
.16
-40 -30 -20 -10 0 10 20 30 40
Large Cap AAR and CAAR Dividend decrease Alone: 25 per cent
-.02
.00
.02
.04
.06
.08
.10
.12
-40 -30 -20 -10 0 10 20 30 40
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend increase alone: 25 per cent
-.02
-.01
.00
.01
.02
.03
.04
.05
.06
.07
-40 -30 -20 -10 0 10 20 30 40
Small Cap AAR and CAAR Dividend increase alone: 25 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
107
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
Table 4.18: Test of hypotheses at 5 % significance level for 25% dividend
alone change announcement:
S.
No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 25 per cent change in dividend
increase announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0101
1.0391
0.3029
Accepted
H:1.2
The 25 per cent change in dividend
decrease announcement for the Large
Cap companies is not associated with
subsequent change in share price.
-0.0040
0.4262
0.6715
Accepted
H:1.3
The 25 per cent change in dividend
increase announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
Events are not sufficient to be included in
final study
H:1.4
The 25 per cent change in dividend
decrease announcement for the Mid
Cap companies is not associated with
subsequent change in share price.
Events are not sufficient to be included in
final study
H:1.5
The 25 per cent change in dividend
increase announcement for the Small
Cap companies is not associated with
subsequent change in share price.
-0.0012
0.1605
0.8730
Accepted
H:1.6
The 25 per cent change in dividend
decrease announcement for the Small
Cap companies is not associated with
subsequent change in share price.
0.0096
1.3678
0.1765
Accepted
a
Calculated values based on Prowess 4.1 database
In case of 25 per cent dividend increase/ decrease announcement by Large Cap
companies, AAR values on the respective event day indicate negative reaction to
the event announcement and insignificant. In case of dividend decrease standalone
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
108
announcement reaction of the share prices are negative and insignificant. The
movement in the prices due response to event announcement are tested at 5% level
of significance by using t-test and corresponding calculation of p-value as shown
in the Table 4.18.
In case of Small Cap companies, we find that AAR for dividend increase
announcement is negative and insignificant. In case of dividend decrease
announcement, the AAR is positive and insignificant. The result of t-test at 5%
level of significance is shown in Table 4.18.
From Table 4.18, following inferences can be drawn at 5 % level of significance:
i) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase announcement for Large Cap companies.
ii) There is not sufficient evidence to reject the null hypothesis for the
events dividend decrease announcement for Large Cap companies.
iii) There is not sufficient evidence to reject the null hypothesis for the
events dividend increase announcement for small Cap companies.
iv) There is not sufficient evidence to reject the null hypothesis for the
events dividend decrease announcement for small Cap companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR has been performed to capture relative pronounced
movements in abnormal returns. Table 4.19 shows the positive and pronounced
periods of significant values of CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
109
Table 4.19: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 25
per cent change in dividend alone.
Event
Period of Positive CAAR values
a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-30 to–09,
-04 to -01
00 +01to +30 - 26 to – 24,
-16 to-14,
-03 to-01
00 +11 to +16
Large Cap
dividend
decrease
-25 to -01 00 +01 to +30 -13 to -01 00 +01 to +30
Mid Cap
dividend
increase
Events are not sufficient to be included in final study
Mid Cap
dividend
decrease
Events are not sufficient to be included in final study
Small Cap
dividend
increase
-28 to-19,
-13 to-01
00
+01 to +30
-01to-01
00
+01 to +30
Small Cap
dividend
decrease
-25 to -01 00
+01 to+ 30
-02 to --01 00 +01 to+ 02,
+05 to +30
a Observed period of calculated values based on Prowess 4.1 database
The CAAR values are found to be positive for a period of -30 to -09 days, -04 to -
01 days, on event day, and +01 to + 30 days during the event window of 61 days
period for the event of 25 per cent dividend increase announcement by large cap
companies. This positive trend become sharper for the period of -26 to -24 days, -
16 to -14 days, -03 to -01 days, event day and +11 to +16 days. During rest of the
period it remains negative.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
110
While analyzing the event of 25 % dividend decrease announcement by large cap
companies it is seen that the CAAR values are positive for the period of -25 to -01
days, event day and +01 to + 30 days during the event window of 61 days period.
It is also observed that CAAR values are not only positive but they are also
pronounced for a longer duration from -13 to -01days, event day, and from +01 to
+30 days.
Positive CAAR values are observed for the period of -28 to -19 days, -13 to -01
days, on event day and -01 to +30 days, during the event window of 61 days
period for the event of 25 per cent dividend increase announcement by small cap
companies. This positive trend remains sharper for the period of -01 to -01 days,
on event day and +01 to +30 days.
The event of 25 per cent dividend decrease announcement by small cap
companies, shows that the CAAR values during 61 days period are positive for the
period of -25 to -01 days, on event day and from +01 to +30 days. During rest of
the period CAAR values are negative and pronounced for a very longer duration
from -02 to -01 days, on event day, +01 to+02 days and +05 to +30 days.
4.2.5 Event: Dividend Increase/Decrease announcement of 50 per cent or
more.
The calculated AAR and CAAR values for the event of dividend increase
/decrease of 50% or more (See Appendix 4.10) have been plotted for the 61 days
event window and shown in Panel 4.10 depicting trend in AAR and CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
111
Panel 4.10: Figure of calculated AAR and CAAR values for the event dividend
increase/decrease announcement of 50 per cent or more.
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
Table 4.20: Test of hypotheses at 5 % significance level for 50% dividend
change announcement:
S. No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The 50 per cent change in dividend
increase announcement for the Large Cap
companies is not associated with
subsequent change in share price.
0.0024
0.2755
0.7839
Accepted
H:1.2
The 50 per cent change in dividend
decrease announcement for the Large Cap
Events are not sufficient to be included in
-.04
.00
.04
.08
.12
.16
-40 -30 -20 -10 0 10 20 30 40
DAYS
AAR
CAAR
Large Cap AAR and CAAR Dividend increase Alone: 50 per cent
-.16
-.12
-.08
-.04
.00
.04
.08
-40 -30 -20 -10 0 10 20 30 40
Mid Cap AAR and CAAR Dividend increase alone: 50 per cent
-.05
-.04
-.03
-.02
-.01
.00
.01
.02
.03
-40 -30 -20 -10 0 10 20 30 40
DAYS
AAR
CAAR
Small Cap AAR and CAAR Dividend increase alone: 50 per cent
-.05
.00
.05
.10
.15
.20
-40 -30 -20 -10 0 10 20 30 40
Small Cap AAR and CAAR Dividend decreasse alone: 50 per cent
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
112
companies is not associated with
subsequent change in share price.
final study.
H:1.3
The 50 per cent change in dividend
increase announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
-0.0075
0.3299
0.7426
Accepted
H:1.4
The 50 per cent change in dividend
decrease announcement for the Mid Cap
companies is not associated with
subsequent change in share price.
Events are not sufficient to be included in
final study.
H:1.5
The 50 per cent change in dividend
increase announcement for the Small Cap
companies is not associated with
subsequent change in share price.
0.0049
0.7771
0.4401
Accepted
H:1.6
The 50 per cent change in dividend
decrease announcement for the Small Cap
companies is not associated with
subsequent change in share price.
0.0120
0.8004
0.4267
Accepted
a
Calculated values based on Prowess 4.1 database
In case of 50 per cent dividend increase/ decrease announcement by Large Cap
companies, AAR values on the respective event day indicate positive reaction to
the event dividend increase announcement and are insignificant. In case of
dividend decrease no event was found to be included in final study. The
movement in the prices in response to event announcement are tested at 5% level
of significance by using t-test and corresponding calculation of p-value as shown
in the Table 4.20.
Negative and insignificant price reaction is seen in case of 50 per cent dividend
increase announcement by mid cap companies. In the absence of any event to be
included for event 50% dividend decrease announcement by mid cap companies,
this event cannot be analyzed.
The AAR for dividend increase/ decrease announcement is positive and
insignificant in case of Small cap companies.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
113
From Table 4.21, following inferences can be drawn at 5 % level of significance
for dividend increase/decrease of 50 %:
i) There is no sufficient evidence to reject the null hypothesis for the
event dividend increase by 50 % in case of Large Cap companies, mid
cap companies as well as small companies.
ii) There is no sufficient evidence to reject the null hypothesis for the
event dividend decrease by 50 % in case of small Cap companies.
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR has been performed to capture relative pronounced
movements in abnormal returns. Table 4.21 shows the positive and pronounced
periods of significant values of CAAR.
Table 4.21: Pronounced periods of significant CAAR values at 5% level of
significance during sixty- one day event period for the event 50
per cent change in dividend:
Event
Period of Positive CAAR values a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
increase
-30 to–01 00 +01to +30 No No +04 to +30
Large Cap
dividend
decrease
Events are not sufficient to be included in final study
Mid Cap
dividend
increase
No. No. No -16 to -01 00 +01 to +03,
+21 to +25
Mid Cap
dividend
decrease
Events are not sufficient to be included in final study
Small Cap -30 to-14 00 +01 to +05 No No +15, +20,
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
114
dividend
increase
+28 to +29
Small Cap
dividend
decrease
No No +05 to +30 No No +12 to+ 15
a Observed period of calculated values based on Prowess 4.1 database
In case of 50 per cent dividend increase announced by large cap companies, the
CAAR values during entire window period of 61 days. It is also seen that the
positive trend becomes sharper from the period of +04 to +30 days.
In case of 50 per cent dividend increase announced by mid cap companies, the
CAAR values during entire 61 days period are found to be negative. This negative
trend become sharper for a very longer duration during the period -16 to -01days
, on the event day, +01 to +03 days and from + 21 to + 25 days.
In case of 50 per cent dividend increase announced by small cap companies, the
CAAR values during 61 days period found to be positive for the period -30 to -14
days, the event day and from +01 to + 05 days. This positive trend become
pronounced on +15, +20 and +28 to +29 days.
In case of 50 per cent dividend decrease announcement by small cap companies,
the CAAR values during 61 days period are found to be positive for the period of
+05 to + 30 days. It is also observed that CAAR values are pronounced from +12
to + 15 days.
4.3 Event: Dividend Initiation/Omission Announcement
The calculated AAR and CAAR values (See Appendix 4.11) have been plotted for
the 61 days event window and shown in Panel 4.11 depicting trend in AAR and
CAAR.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
115
Panel 4.11: Figure of calculated AAR and CAAR values for the events dividend
Initiation and Omission announcement
The trends associated in daily AAR and CAAR for respective event over the event
window have been analyzed to draw inferences about the signaling effect of the
event on share price movement as well as the relative efficiency of the stock
market in response to price reaction with summaries appearing in the table below:
-.03
-.02
-.01
.00
.01
.02
.03
.04
.05
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Large Cap AAR and CAAR of event Dividend initiation
-.10
-.08
-.06
-.04
-.02
.00
.02
.04
.06
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Mid Cap AAR and CAAR of dividend initiation
-.04
.00
.04
.08
.12
.16
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR of dividend initiation
-.02
.00
.02
.04
.06
.08
.10
.12
.14
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
Large Cap AAR and CAAR of event dividend omission
-.04
-.02
.00
.02
.04
.06
.08
.10
.12
-32 -28 -24 -20 -16 -12 -8 -4 0 4 8 12 16 20 24 28 32
DAYS
AAR
CAAR
Small Cap AAR and CAAR of dividend omission
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
116
Table 4.22: Test of hypotheses at 5 % significance level for event dividend
initiation/omission announcement
S.
No.
Hypothesis
Event day statistics Result
ARRa
t-stat.a p-stat
a
H:1.1
The dividend initiation announcement for
the Large Cap companies is not associated
with subsequent change in share price.
-0.0001
0.0170
0.9865
Accepted
H:1.2
The dividend initiation announcement for
the Mid Cap companies is not associated
with subsequent change in share price.
0.0072
0.5081
0.6133
Accepted
H:1.3
The dividend initiation announcement for
the Small Cap companies is not associated
with subsequent change in share price.
0.0045
0.7131
0.4785
Accepted
H:1.4
The dividend Omission announcement for
the Large Cap companies is not associated
with subsequent change in share price.
0.0109
1.5282
0.1317
Accepted
H:1.5
The dividend Omission announcement for
the Mid Cap companies is not associated
with subsequent change in share price.
Events are not sufficient to be included
in final study
H:1.6 The dividend Omission announcement for
the Mid Cap companies is not associated
with subsequent change in share price.
0.0075
0.8154
0.4181
Accepted
a
Calculated values based on Prowess 4.1 database
In case of large cap companies, events dividend initiation/ omission AAR values
on the respective event day indicates inverse reaction to the event announcement
by the share prices. In both the cases this movement is found to be insignificant.
In case of mid cap companies for event dividend initiation, AAR values on the
event day is found to be positive and insignificant.
In case of small cap companies, for events dividend initiation/ omission, AAR
values on the respective event day indicates positive reaction for both the events of
dividend initiation and omission. However, this reaction is found to be
insignificant for the respective event day.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
117
To examine the efficiency of the Indian stock market, analysis of daily movements
in AAR and CAAR has been performed to capture relative pronounced
movements in abnormal returns. Table 4.23 shows the positive and pronounced
periods of significant values of CAAR.
Table No. 4.23: Pronounced periods of significant CAAR values at 5% level
of significance during sixty- one day event period for the
event dividend initiation/ omission.
Event
Period of Positive CAAR values a
Pronounced period of
significant CAAR valuesa
Pre event
Period
Event
Day
Post event
Period
Pre event
Period
Event
day
Post event
period
Large Cap
Dividend
initiation
-09 to–01 00 +01to +06,
+12 to +24
-03 to -01 00 No
Large Cap
dividend
omission
-26 to -01 00 +01 to +30 No No +08 to +30
Mid Cap
dividend
initiation
No No No -05 to -01 00 +01 to +02,
+16 to +30
Mid Cap
dividend
Omission
Events are not sufficient to be included in final study
Small Cap
dividend
initiation
-27 to-01
00 +01 to +30 - 02 to -01
00
+01 to +30
Small Cap
dividend
omission
-07 to -01
00 +01 to +30 No No +23 to+ 30
a Observed period of calculated values based on Prowess 4.1 database
In case of dividend initiation announcement by large cap companies, the CAAR
values during 61 days period are found to be positive for a period of -09 to -01, on
the event day, +01 to +06 days and +12 to +24 days. During rest of the period it
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
118
remains negative. The positive trend becomes sharper for the period of -03 to -01
and event day only.
In case of dividend omission announcement by large cap companies, the CAAR
values during 61 days period are found to be positive for a period of -26 to -01,
event day and +01 to +30 days. During rest of the period it remains negative. The
positive trend becomes sharper for the period of +08 to +02 and event day only.
Analysis of event dividend initiation announcement by mid cap companies shows
that the CAAR values during 61 days period are negative during pre-event period.
This negative trend becomes sharper for a very longer duration of -05 to -01, on
event day and +01 to +02 days and + 16 to + 30 days.
In case of event dividend initiation announcement by small cap companies, the
CAAR values during 61 days period are found to be positive for the period of -27
to -01, event day and +01 to + 30 days. This positive trend becomes pronounced
for the period of -02 to -01, event day and +01 to +30 days.
For dividend omission announcement by small cap companies, the CAAR values
during 61 days period are found to be positive for the period of -07 to -01 days,
event day and +01 to +30 days. This also observed that CAAR values are not only
positive but are also pronounced for the period of +23 to + 30 days.
From the analysis of the daily AAR and daily CAAR values it is observed that in
number of cases daily CAAR values are positive. However, the pronounced period
may be either in the pre-event or post event period. To clearly identify the
pronounced segment of the event window for sampled events, the researcher
proposes to determine the pronounced segment of the event period taking into
account 10 day mean CAAR values.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
119
4.4 Analysis of 10-day Mean CAAR values for dividend related events
4.4.1 10-Days Mean CAAR Values for Event Dividend Increase / Decrease of
10 per cent along with Financial Results:
The 10 days mean CAAR values for the event 10 per cent dividend increase along
with financial results for large cap companies are plotted in Panel 4.12 based on
the data shown in Appendix 4.12. It is observed that the highest negative
pronounced segment is from + 21 to + 30 days indicating that the pronounced
period is quite away from the event announcement day. In case of 10 per cent
dividend decrease along with financial results announcement by large cap
companies, it is seen that the positive pronounced segment based on 10 day mean
CAAR values is also from +21 to +30 days .
The 10 days mean CAAR plotted values for mid cap companies for the event of
10 per cent dividend increase along with financial results announcement, point out
to negative segment from + 21 to +30 days away from the event announcement
day.
In case of small cap companies, for 10 percent dividend increase the negative
pronounced period is from -10 to -01 days. This is indicates that the pronounced
segment is in pre- event period just before the event announcement. For equivalent
dividend decrease announcement, the positive pronounced period is from +21 to
+30 days from the event announcement day.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
120
Panel 4.12: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 10 per cent along with
financial results.
-.05
-.04
-.03
-.02
-.01
.00
.01
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_INC_ALOG_10
.02
.03
.04
.05
.06
.07
.08
.09
.10
-30 to
21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_DEC_ALOG_10
-.030
-.025
-.020
-.015
-.010
-.005
.000
-30 to
-21 d
ays
-20 to
-11days
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_INC_ALOG_10
.01
.02
.03
.04
.05
.06
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_INC_ALOG_10
.0
.1
.2
.3
.4
.5
-30 to
-21 d
ays
-20 to
-11days
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_DEC_ALOG_10
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
121
4.4.2 10-Days Mean CAAR Values for Event Dividend Increase / Decrease
of 15 per cent along with Financial Results:
Analysis of the event 15 per cent dividend increase along with financial results
announcement by large cap companies, shows that highest negative pronounced
period is from +21 to +30 days away from the event announcement day. In case
of similar decrease by large cap companies the positive pronounced period is also
from +21 to +30 days.
Mid –cap companies show different pronounced segment of the event window.
The highest positive pronounced period is observed to be from -10 to -01 days.
This pronounced segment in the pre event announcement period is just before the
event announcement day.
For small cap companies, for 15% dividend increase along with financial results
announcement event, the pronounced negative segment is found to exist from +11
to +21days and moderately away from the event announcement day. For same
decrease in dividend by small cap companies, the negative pronounced period is
+21 to +30 days quite away from the announcement date.
The 10-day CAAR values are plotted in Panel 4.13 in support of above analysis.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
122
Panel 4.13: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 15 per cent along with
financial results.
-.05
-.04
-.03
-.02
-.01
.00
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_INC_ALOG_15
-.01
.00
.01
.02
.03
.04
.05
.06
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_DEC_ALOG_15
-.01
.00
.01
.02
.03
.04
.05
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_INC_ALOG_15
-.040
-.036
-.032
-.028
-.024
-.020
-.016
-.012
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_INC_ALOG_15
-.14
-.12
-.10
-.08
-.06
-.04
-.02
.00
.02
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_DEC_ALOG_15
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
123
4.4.3 10-Days Mean CAAR Values for Event Dividend Increase / Decrease
of 20 per cent along with Financial Results:
Panel 4.14 shows that in case of event 20 per cent dividend increase along with
financial results announcement large cap companies, the highest positive
pronounced period is +21 to +30 days away from the event announcement day.
Similar trend in terms of direction and pronounced segment is also seen for
equivalent dividend decrease announcement.
Mid- cap companies show different pronounced segment from + 01 to 10 days
being positive for 20 % dividend increase.
Pronounced segment for Small cap companies announcing 20 percent dividend
increase along with financial results is observed to be +01 to +10 days closer to
event day while for equivalent dividend decrease the negative pronounced period
is +21 to +30 days.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
124
Panel 4.14: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 20 per cent along with
financial results.
-.02
.00
.02
.04
.06
.08
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_INC_ALOG_20
-.02
.00
.02
.04
.06
.08
.10
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_DEC_ALOG_20
.00
.02
.04
.06
.08
.10
-30 to
-21 d
ays
-20 to
-11days
-10 to
-01days
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_INC_ALOG_20
-.02
.00
.02
.04
.06
.08
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_INC_ALOG_20
.00
.04
.08
.12
.16
.20
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_DEC_ALOG_20
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
125
4.4.4 10-Days Mean CAAR Values for Event Dividend Increase / Decrease
of 25 per cent along with Financial Results
Panel 4.15 shows 10 days mean CAAR values of 25% dividend increase/decrease
along with financial results announcement for large cap, mid cap and small cap
companies. In case of large cap dividend increase announcement, the highest
positive pronounced segment is from -20 to -11 days moderately away from the
event announcement day. For the same amount of dividend decrease
announcement by large cap companies, the positive pronounced period is from
+21 to +30 days which is quite away from the event announcement day.
For the identical event in case of mid cap companies, the positive pronounced
period is also from +21 to +30 days. While in case of dividend decrease along
with financial results announcement, the 10 days mean CAAR values are
positively pronounced in the period from + 21 to +30 days.
10-day CAAR values in case of 25% increase in dividend by small cap companies
show similar behavior as mid-cap companies being positively pronounced in the
period of +21 to +30 days quite away from the event announcement day. While
for same amount of dividend decrease along with financial results announcement,
the negatively pronounced period is +01 to +10 days i.e closer to the
announcement day.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
126
Panel 4.15: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 25 per cent along with
financial results.
-.010
-.005
.000
.005
.010
.015
.020
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_INC_ALOG_25
-.01
.00
.01
.02
.03
.04
.05
.06
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_DEC_ALOG_25
.00
.04
.08
.12
.16
.20
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_INC_ALOG_25
.050
.075
.100
.125
.150
.175
.200
.225
.250
-30 to
-21 d
ays
-20 to
-11days
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_DEC_ALOG_25
.00
.01
.02
.03
.04
.05
.06
.07
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_INC_ALOG_25
.010
.015
.020
.025
.030
.035
.040
.045
.050
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_DEC_ALOG_25
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
127
4.4.5 10- Days Mean CAAR Values for Event Dividend Increase / Decrease
of 50 per cent or more along with Financial Results
Ten-day mean CAAR values for the events 50% or more dividend
increase/decrease along with financial results announcement shown in Panel 4.16
reflect that in case of large cap companies, the 10 days mean CAAR values are
positively pronounced in the period of + 21 to +30 days quite away from the event
announcement day. For same amount of dividend decrease along with financial
results announcement, the negative pronounced period is from -10 to - 01 days in
the pre event window closer to the event day.
For dividend increase of 50% or greater , the 10-day mean CAAR values for mid-
cap companies are positively pronounced in the period of -10 to -01 days as in
case of large cap companies. While In case of 50 per cent dividend decrease along
with financial results announcement, the positive pronounced period is from -20
to -11 days, moderately away from the event announcement day.
In case of small cap companies, for similar event , the 10 days mean CAAR
values re positively pronounced in the period of +01 to +10 days .For same
amount of dividend decrease announcement, the negatively pronounced period is
from +11 to +20 days which is moderately away from the event announcement
day.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
128
Panel 4.16: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 50 per cent or more
along with financial results.
.000
.005
.010
.015
.020
.025
.030
.035
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_INC_ALOG_50
-.040
-.035
-.030
-.025
-.020
-.015
-.010
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_DEC_ALOG_50
-.01
.00
.01
.02
.03
.04
.05
.06
.07
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_INC_ALOG_50
.00
.04
.08
.12
.16
.20
.24
-30 to
-21 d
ays
-20 to
-11days
-10 to
-01 d
ays
01 to 1
0days
11 to 2
0 days
21 to 3
0 days
Mid Cap DIV_DEC_ALOG_50
.00
.01
.02
.03
.04
.05
.06
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_INC_ALOG_50
.00
.01
.02
.03
.04
.05
.06
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_DEC_ALOG_50
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
129
4.5 Analysis of 10-day Mean CAAR for dividend increase /decrease
4.5.1 10 Days Mean CAAR Values for Event Dividend Increase / Decrease
of 10 per cent:
Isolated events of 10 percent dividend increase or decrease have not been
observed for large and mid-cap companies in the sample. In case of 10 per cent
dividend increase announcement by small cap companies, the 10 days mean
CAAR values plotted in Panel 4.17 show tha the positive pronounced period is
from +21 to +30 days quite away from the event announcement day. The event of
10 % dividend decrease by small cap companies also not observed in the sampled
companies.
Panel 4.17: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 10 per cent alone.
4.5.2 10 Days Mean CAAR Values for Event Dividend Increase / Decrease
of 15 per cent :
Panel 4.18 depicts the 10 days mean CAAR values of events related to 15%
dividend increase/decrease announcement for large cap, mid cap and small cap
companies listed in Indian Stock Market. In case of 15 per cent dividend increase
announcement by mid cap companies, the trend of observed from the 10 days
-.02
.00
.02
.04
.06
.08
.10
.12
-30 to
-21 days
-20 to
-11 days
-10 to
-01 days
01 to 10 days
11 to 20 days
21 to 30 days
Small Cap DIV_INC_ALO_10
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
130
mean CAAR values, found positive pronounced period from +01 to +10 days
along with the announcement day.
While in case of event 15 per cent dividend increase announcement for small cap
companies, the 10 days mean CAAR values, positive pronounced period is from
+11 to +20 days, moderately away from the event day. In case of same amount of
dividend decrease announcement, the observed pronounced period is from -20 to -
11 days moderately away from event announcement day.
Panel 4.18: Figure of calculated 10 days mean CAAR for the event dividend
increase/decrease announcement of 15 per cent.
-.10
-.08
-.06
-.04
-.02
.00
-30
to-2
1 da
ys
-20
to -1
1day
s
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Mid Cap DIV_INC_ALO_15
.00
.01
.02
.03
.04
.05
.06
.07
.08
.09
-30
to -2
1 da
ys
-20
to -1
1 da
ys
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Small Cap DIV_INC_ALO_15
.01
.02
.03
.04
.05
.06
.07
.08
.09
.10
-30
to -2
1 da
ys
-20
to -1
1 da
ys
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Small Cap DIV_DEC_ALO_15
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
131
4.5.3 10-Days Mean CAAR Values for Event Dividend Increase / Decrease
of 20 per cent:
Panel4.19 shows the 10- day mean CAAR values for the events of dividend
increase announcement of large cap and small cap. For the event 20 per cent
dividend increase announcement by large cap companies, the positively
pronounced period exists in the segment of +11 to +20 days moderately away
from the event announcement day. While in case of same amount of dividend
increase announcement by small cap companies, highest positively pronounced
period is from +21 to +30 days quite away from the event announcement day. In
other categories of the companies no event was found to be included in the study.
Panel 4.19: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 20 per cent.
4.5.4 10 Days Mean CAAR Values for Event Dividend Increase / Decrease
of 25 per cent:
The mean CAAR values for 25% dividend increase/ decrease announcement by
the companies is shown in Panel 4.20. In case of 25 per cent dividend increase
-.02
.00
.02
.04
.06
.08
.10
-30 to -2
1 da
ys
-20 to -1
1 da
ys
-10 to -0
1 da
ys
01 to
10 da
ys
11 to
20 da
ys
21 to
30 da
ys
Large Cap DIV_INC_ALO_20
.00
.04
.08
.12
.16
.20
.24
.28
-30 to -2
1 da
ys
-20 to -1
1 da
ys
-10 to -0
1 da
ys
01 to
10 da
ys
11 to
20 da
ys
21 to
30 da
ys
Small Cap DIV_INC_ALO_20
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
132
announcement by large cap companies, the highest positively pronounced period
segment is from +11 to +20 days moderately away from the event announcement
day. In case of dividend decrease announcement of 25% , the positively
pronounced segment lies in the period of +21 to +30 days quite away from the
event announcement day.
While in case of 25 per cent dividend increase announcement by small cap
companies, the 10 days mean CAAR values are also positively pronounced in the
period of +21 to +30 days. For same amount of dividend decrease announcement
the observed the positively pronounced period is from +11 to +20 days moderately
away from the announcement day.
Panel 4.20: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 25 per cent.
.008
.012
.016
.020
.024
.028
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_INC_ALO_25
.00
.02
.04
.06
.08
.10
.12
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap DIV_DEC_ALO_25
.00
.02
.04
.06
.08
.10
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_INC_ALO_25
.00
.01
.02
.03
.04
.05
.06
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap DIV_DEC_ALO_25
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
133
4.5.5 10 Days Mean CAAR Values for Event Dividend Increase /
Decrease of 50 per cent or more:
50% dividend increase/ decrease announcement for large cap mid cap and small
cap companies has been analyzed through 10-day CAAR values in Panel 4.21.
In case of 50 per cent dividend increase announcement by large cap companies,
the 10- days mean CAAR values show positive pronounced period from +21 to
+30 days away from the event announcement day. The observed pronounced
period for mid cap companies for same amount of dividend increase
announcement is observed to be from -10 to -01 days.
In case of small cap companies, the highest negative pronounced period is from
+11 to +20 days moderately away from event announcement day. While for 50%
or more of dividend decrease announcement, the 10 days mean CAAR values are
also seen to be positively pronounced in the period from +11 to +20 days.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
134
Panel 4.21: Figure of calculated 10 days mean CAAR values for the event
dividend increase/decrease announcement of 50 per cent or more.
4.6. 10 Days Mean CAAR Values for Event Dividend Initiation/Omission
Announcement:
In Panel 4.22, the researcher has plotted the 10 days mean CAAR values for the
events related to dividend initiation/omission for the Indian Stock Market listed
Companies categorized into large cap, mid cap and small cap. In case of dividend
initiation by large cap companies, the negative and positive pronounced period is
from -30 to -21 days and from -10 to -01 days respectively. These pronounced
segments lie in pre-event window. While in case of dividend omission
.02
.04
.06
.08
.10
.12
-30
to -2
1 da
ys
-20
to -1
1 da
ys
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Large Cap DIV_INC_ALO_50
-.10
-.09
-.08
-.07
-.06
-.05
-.04
-.03
-30
to -2
1 da
ys
-20
to -1
1day
s
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Mid Cap DIV_INC_ALO_50
-.028
-.024
-.020
-.016
-.012
-.008
-.004
.000
.004
.008
.012
-30
to -2
1 da
ys
-20
to -1
1 da
ys
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Small Cap DIV_INC_ALO_50
-.04
.00
.04
.08
.12
.16
-30
to -2
1 da
ys
-20
to -1
1 da
ys
-10
to -0
1 da
ys
01 to
10
days
11 to
20
days
21 to
30
days
Small Cap DIV_DEC_ALO_50
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
135
announcement, the positive pronounced period is from +21 to +30 days quite
away from event announcement day.
Mid-cap companies show similarity with large cap companies for dividend
omission event. The highest negative pronounced period is from +21 to +30 days
quite away from the event announcement day.
In case of small cap companies for event dividend initiation announcement, the
positively pronounced period of is from +21 to +30 days quite away from the
event announcement day. While in case of dividend omission the positively
pronounced period also lies in the segment of +21 to +30 days just like dividend
initiation announcement for small cap companies.
EVENT STUDY ANALYSIS OF DIVIDENDDECISONS
136
Panel 4.22: Figure of calculated 10 days mean CAAR values for the events
dividend Initiation and Omission announcement
The analysis carried out above provides an understanding of the behaviour of the
Indian Stock market in response to dividend related decisions by large- cap, mid-
cap and small- cap companies respectively. These findings based on the analysis
of isolated dividend decisions of 103 sampled companies and 865 events covering
a ten –year period from FY 2001 to FY 2010 appear in Chapter V.
-.015
-.010
-.005
.000
.005
.010
.015
.020
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap INITIATION
.00
.02
.04
.06
.08
.10
.12
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Large Cap OMISSION
-.07
-.06
-.05
-.04
-.03
-.02
-.01
.00
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Mid Cap INITIATION
.00
.02
.04
.06
.08
.10
.12
.14
.16
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap INITIATION
-.02
.00
.02
.04
.06
.08
-30 to
-21 d
ays
-20 to
-11 d
ays
-10 to
-01 d
ays
01 to 1
0 days
11 to 2
0 days
21 to 3
0 days
Small Cap OMISSION
FINDINGS AND DISCUSSIONS
137
CHAPTER 5
FINDINGS AND DISCUSSIONS
5.1 Findings
This Chapter has been organized by presenting the findings of the analysis of
events categorized into following three categories:
i) Dividend announcement along with declaration of financial results
ii) Standalone dividend increase or decrease decision
iii) Dividend initiation or omission decision
The trends associated in daily AAR and CAAR for respective categories of events
to cover the event window of 61 days have been analyzed in the previous chapter.
The inferences about the signaling effect of the respective category of events on
share price movement as well as the relative efficiency of the stock market in
response to price reaction are discussed below:
5.1.1 Event dividend Increase/decrease along with announcement of
financial results
The analysis of different rates of dividend changes made simultaneously with
declaration of financial results by large –cap, mid-cap and small cap companies
respectively in the sample based on daily ARR and CAAR movements as well as
10- day mean CAAR trends have been summarized in Table 5.1 below:
FINDINGS AND DISCUSSIONS
138
Table 5.1: Different rates of dividend changes made simultaneously with declaration of financial results by large –cap, mid-
cap and small cap companies respectively in the sample based on daily ARR and CAAR movements as well as 10-
day mean CAAR trends
Category of
companies
Events Trend in AAR
on event day
Trend in Daily CAAR Pronounced Period
based on 10 day
mean CAAR
Dividend
change %
Trend t-test result Pre Event Post Event (-)Pre Event/
(+)Post Event
Large Cap +10% Negative Insignificant Secular negative Secular negative +21 to +30 day
+15% Negative Significant Cyclical Secular negative +21 to +30 day
+20% Negative Insignificant Cyclical Secular positive +21 to +30 day
+25% Negative Insignificant Cyclical positive Cyclical negative -21 to -10 day
+50% or more Positive Significant Cyclical positive Secular positive +21 to +30 day
-10% Negative Insignificant Secular Positive Secular Positive +21 to +30 day
-15% Negative Insignificant Cyclical Cyclical positive +21 to +30 day
-20% Negative Insignificant Positive Positive +21 to +30 day
-25% Positive Insignificant No trend Secular positive +21 to +30 day
-50% or more Positive Insignificant Cyclical negative Cyclical negative -10 to -01 day
Mid -Cap +10% Positive Insignificant Cyclical negative Cyclical negative +21 to +31 day
+15% Positive Insignificant Cyclical positive Cyclical -10 to -01 day
+20% Negative Insignificant Positive Negative +01 to +10 day
+25% Positive Insignificant Secular positive Secular positive +21 to +30 days
FINDINGS AND DISCUSSIONS
139
+50% or more Positive Insignificant Secular positive Secular Negative -10 to -01 day
-10% No event included in the sample
-15% No event included in the sample
-20% No event included in the sample
-25% Negative Insignificant Secular positive Secular positive +21 to +30 days
-50% or more Negative Insignificant Cyclical positive Secular negative -20 to -11 day
Small-Cap +10% Positive Significant Secular positive Secular decreasing +01 to +10 day
+15% Positive Significant Cyclical negative Secular negative +11 to +20 day
+20% Positive Insignificant No trend Cyclical positive +01 to +10 day
+25% Positive Insignificant No trend Secular positive +21 to +30 days
+50% or more Positive Insignificant Secular positive Secular positive +01to +10 day
-10% Positive Insignificant Secular positive Secular positive +21 to +30 days
-15% Negative Insignificant Cyclical Secular negative +21 to +30 days
-20% Negative Insignificant Positive Secular positive +01 to +10 day
-25% Positive Insignificant Cyclical positive Secular negative +01 to +10 day
-50% or more Negative Insignificant Cyclical Secular positive +11 to +20 day
FINDINGS AND DISCUSSIONS
140
5.1.1.1 Dividend increase event along with announcement of financial
results
In case of +10% dividend changes by large cap companies, the reaction in share
prices on event day is negative. In contrast to large cap, the reaction in share prices
of mid cap and small cap companies are positive on event announcement day. The
reaction in share prices on event day for large cap and mid cap is insignificant and
in case of small cap reaction in share price is significant.
In case of +15% changes in dividend, reaction in share prices on event day by
large cap companies is negative. Though the reaction in share price due response
to event announcement is positive for mid as well as small cap companies. The
reaction in share prices of large cap and mid cap is insignificant and of small cap it
is significant.
In case of +20% changes in dividend, reaction in share prices of large cap and mid
cap is negative. While reaction in share price of small cap is positive. The reaction
in share prices for all three categories of companies is insignificant.
In case of +25% changes in dividend reaction in share price of large cap is
negative. The reaction in share prices of mid and small cap is positive. The
reactions in share prices are insignificant for all three categories of companies.
In case of +50% or more change in dividend announcement, reaction in share
price for large cap, mid cap and small cap companies are positive. The reaction in
share prices due response to event announcement is significant only for large cap
companies.
From the above observations for changes in dividend along with financial results
announcement for all three categories of companies, the behavior of share prices
in response to event announcements is found to be different. The possible reasons
for the differences in price reactions can be explained with previous empirical
studies.
FINDINGS AND DISCUSSIONS
141
The mixed results of our findings are similar to the findings of Aharony and
Swary (1980), Asquith and Mullins (1983), Eades et al. (1985), Kalay and
Loewenstein (1985, 1986), Bernheim and Wantz (1995), Benartzi et al. (1997),
and Nissim and Jiv (2001). These studies outlined the factors causing disparity in
share price behavior in response to dividend changes as under:
i) Demand for Buy and sell
ii) The differences in level of informed and non- informed traders in the
market.
iii) The dominance of promoter group ( Shanti Suresh,2011)
iv) The dividend preferences of retail investors as influenced by behavioral
life-cycle (Shefrin ,1988)
v) Different types of traders viz. liquidity traders, discretionary traders,
present and potential shareholders, market makers and speculators
(Fuller, 2003)
vi) The condition that markets are efficient only when large number of
investors disbelieve its efficiency and there is less effort to accumulate
,analyze and evaluate information resulting in market becoming less
efficient. (Horne & Dhamija, 2012 )
The insignificant reaction in share prices can be explained with the help of the
analysis of the movement in daily CAAR and 10- days mean CAAR pronounced
period as under.
It is observed that except for +25% dividend changes by large cap companies, for
all other level of changes in dividend, the pronounced period is +21 to +30 days.
This pronounced period is quite away from the event announcement day and is
indicative of inefficient nature of Indian Stock Market. While in case of +25%
changes in dividend, pronounced period from -21 to -10 days which is suggestive
of some investor groups possessing prior information in the market.
The pronounced period for mid cap companies also shows similar behavior except
for +15%, + 20% and +50% or more changes in dividend announcements. In case
FINDINGS AND DISCUSSIONS
142
of +15% and +50% or more change in dividend, pronounced period is -10 day to -
01 day reflecting prior availability of information. Only in case of +20% changes
in dividend, the pronounced period of +01 to +10 days indicate instant reaction in
share prices.
In case of small cap companies, pronounced period is in post event period and
differs from event to event. For +10%, +20% and +50% or more change in
dividend, the pronounced period is +01 to +10 days. In case of +15% changes in
dividend, the pronounced period is +11 to +20 days and for +25% changes in
dividend the pronounced period are +21 to +30 days. The pronounced periods for
different level of changes in dividend during event window are also not similar
and are away from the event announcement day pointing to inefficient nature of
Indian Stock Market.
5.1.1.2 Dividend decrease event along with announcement of financial
results
In case of -10% changes in dividend by large cap companies, reaction in share
price is negative on event day. While in case of small cap reaction in share price is
positive. The reaction in share prices for both categories of companies is
insignificant. Due to insufficient number of events in the category of mid cap
companies, the same could not be analyzed and commented upon.
In case of -15% changes in dividend, reaction in share prices of large cap and
small cap companies are negative. The reactions in share prices are insignificant
for both groups of companies. In case of -20% changes in dividend, reaction in
share prices of large cap and small cap companies is negative and insignificant.
Due to insufficient number of events in the category of mid cap companies, the
same could not be analyzed and commented upon.
While in case of -25% change in dividend, the reaction in shares of large cap and
small cap is positive. In case of mid cap companies reaction in share prices are
negative for such announcements. The reaction in share prices for all three
categories of companies is found to insignificant.
FINDINGS AND DISCUSSIONS
143
In case of -50% or more change in dividend announcement, reaction in share
prices for large cap is positive and insignificant. In case of mid cap and small cap
companies the reaction in share prices is negative and insignificant.
From the above findings for all level of changes in dividend for three categories of
companies, once again mixed and insignificant reaction in share prices is
observed.
The analysis of large cap companies show that the pronounced period of CAAR is
from +21 to +30 days for all level of changes in dividend indicating inefficient
nature of the market. While for -50% or more changes in dividend, pronounced
period of CAAR values is from -10 to -01 days indicative of reactions due to
advance information with select group of investors.
In case of mid cap companies only -25% and -50% or more change in dividend
events has been analysed. The pronounced period of CAAR is observed from +21
to +30 days for event -25% changes reflect inefficiency in the market. While in
case of -50% or more change in dividend, the pronounced period from -21 to -10
days post event indicates reactions in prices due to motivated behaviours of
investors to capitalize on the basis of possessed information.
In case of small cap companies pronounced period is different from event to event.
In case of -10% and -15% change in dividend, the pronounced period from +21 to
+30 days suggests inefficiency. In case of -20% and -25% change in dividend, the
pronounced period from +01 to +10 days indicates instant reaction in share prices
due response to event announcement. The pronounced period during post event
period from +11 to +20 days for -50% or more change in dividend, pronounced
period from +11 to +20 days indicates inefficiency in the market.
The pronounced period of CAAR values show mixed results. As the price
reactions are not significant on the event day and CAAR values are more
pronounced either prior or post event period, it shows inefficiencies in the market
possible due to many reasons such as information asymmetric, extent of
information processing by investors , investor motivations and behaviour and
FINDINGS AND DISCUSSIONS
144
types of investors themselves. The findings thus point out that that there is no
signaling effect of dividend decisions in the Indian Stock market.
5.1.2 Event Dividend Increase/Decrease announcement:
The analysis of different rates of dividend changes made by large –cap, mid-cap
and small cap companies in the sample based on daily ARR and CAAR
movements as well as 10 day mean CAAR trends have been captured in Table
5.2 below:
FINDINGS AND DISCUSSIONS
145
Table 5.2: Different rates of dividend changes made by large –cap, mid-cap and small cap companies in the sample based on
daily ARR and CAAR movements as well as 10 day mean CAAR trends
Category
of
companie
s
Events Trend in AAR on event day Trend in Daily CAAR Pronounced
Period based on
10 day mean
CAAR
Dividend change
%
Trend Significant/Insignif
icant based on t-
test
Pre Event Post Event (-)Pre Event/
(+)Post Event
Large
Cap
+10% Positive Significant Secular positive Secular positive +21 to +30 day
+15% No event included in the sample
+20% Positive Insignificant No trend Secular positive +11 to +20 day
+25% Negative Insignificant Cyclical Cyclical +11 to +20 day
+50% or more Positive Insignificant Secular positive Secular positive +11 to +30 day
-10% No event included in the sample
-15% No event included in the sample
-20% No event included in the sample
-25% Negative insignificant Secular positive Secular positive +21 to 30 day
-50% or more No event included in the sample
Mid -Cap +10% No event included in the sample
+15% Positive Insignificant No trend Cyclical negative +01 to +10 day
+20% No event included in the sample
+25% No event included in the sample
+50% or more Negative Insignificant No trend No trend -10 to -01 day
-10% No event included in the sample
FINDINGS AND DISCUSSIONS
146
-15% No event included in the sample
-20% No event included in the sample
-25% No event included in the sample
-50% or more No event included in the sample
Small-
Cap
+10% No event included in the sample
+15% Positive Insignificant Secular positive Secular positive +11 to 20 day
+20% Negative Insignificant Secular positive Secular positive +21 to +30 day
+25% Negative Insignificant Secular positive Secular positive +21 to +30 day
+50% or more Positive Insignificant No trend Secular negative +11 to 20 day
-10% No event included in the sample
-15% Negative Insignificant Cyclical positive Cyclical positive -20 to -11 day
-20% No event included in the sample
-25% Positive Insignificant Secular positive Secular positive +11 to +20 day
-50% or more Positive Insignificant No trend Secular positive +11 to +20 day
FINDINGS AND DISCUSSIONS
147
5.1.2.1 Event Dividend Increase Announcement
In case of +10% changes in dividend by large cap companies, positive and
significant reaction is observed in the share price on event day. In case of +15%
changes in dividend for mid cap and small cap companies, positive and
insignificant reaction is observed in the share prices.
In case of +20% changes in dividend, a positive and insignificant reaction is
observed for large cap companies. In case of small cap companies reaction in
share prices are negative and insignificant.
In case of +25% changes in dividend, a negative and insignificant reaction is
observed in the share price of large cap and small -cap companies.
In case of +50% or more dividend change announcement, positive and
insignificant reaction is observed for large cap and small cap companies. While in
case of mid cap companies, insignificant negative reaction is observed in share
prices.
The findings show that except +10% change in dividend by large cap companies,
all other changes in dividend announcements show insignificant reactions in share
prices.
The pronounced period for large cap companies show that for events +20%, +25%
and +50% or more change in dividend, the pronounced period is +11 to +20 days,
while in case of +10% change in dividend the pronounced period is +21 to +30
days. The observed pronounced period is quite away from the event
announcement day and leads to draw conclusions about the inefficiencies existing
in the market for such kind of event announcements.
In case of mid cap companies, the pronounced period from +1 to +10 days for
+15% changes in dividend shows faster adjustment in share prices. The prior
period of pronounced CAAR values from -10 to -01 days again reflects
inefficiencies in the market.
FINDINGS AND DISCUSSIONS
148
In case of small cap companies, the pronounced period for event +15% and +50%
or more change in dividend is +11 to +20 days. For +25% changes in dividend, the
observed pronounced period of CAAR from +21 to +30 days being quite away
from the event announcement day reflects inefficiency of the stock market in
India.
All these findings as mentioned above , indicate that inefficiencies exists in the
market for all categories of listed companies in the Indian Stock market as
revealed through the analysis of isolated events of dividend increase .
5.1.2.2 Dividend Decrease Announcement Events
In case of -15% changes in dividend insignificant negative reaction is observed for
small cap companies.
In case of -25% changes in dividend negative and insignificant reaction is
observed for large cap companies. A positive and insignificant reaction is
observed in the prices of small cap companies. In case of -50% or more change in
dividend, a positive and insignificant reaction is observed for small cap
companies.
The insignificant reaction in share price due to dividend decrease announcements
points out to absence of signaling effect of dividend decisions.
To comment on the inefficiencies in the market, resort to pronounced period of
CAAR has been made.
The event +15% changes in dividend for small cap companies, shows pronounced
period from -20 to -11 days indicating behavior of investors due to information
asymmetry. In case of -25% change in dividend for large cap companies having
pronounced period of CAAR from +21 to +30 days +11 to +20 days for small cap
companies indicates market inefficiencies. Inefficiency in the market due to lag in
adjustment of prices is also seen for small cap companies in response -50% or
more change in dividend due to observed pronounced period from +11 to +20
days.
FINDINGS AND DISCUSSIONS
149
The above findings of reactions in share prices being insignificant and pronounced
period being quite away from the event announcement date suggest inefficient
nature of Indian Stock Market in line with the findings for dividend changes made
along with announcement of financial results events reported in 5.1 above.
5.1.3 Event Dividend Initiation/Omission Announcement
The analysis of different rates of initiation and omission made by large –cap,
mid-cap and small cap companies in the sample based on daily ARR and CAAR
movements as well as 10 day mean CAAR trends have been captured in Table
5.3 below:
Table 5.3: Different rates of initiation and omission made by large –cap, mid-
cap and small cap companies in the sample based on daily ARR
and CAAR movements as well as 10 day mean CAAR trends
Category
of
companies
Events Trend in AAR on event
day
Trend in Daily
CAAR
Pronounced
Period based
on 10 day mean
CAAR
Dividend
change
Trend Significant/
Insignificant
based on t-
test
Pre
Event
Post
Event
(-)Pre Event/
(+)Post Event
Large-
Cap
Initiation Negative Insignificant Secular
positive
Cyclical
negative
-30 to -21 day
and -10 to -01 day
Mid-Cap Initiation Positive Insignificant Cyclical
negative
Cyclical
negative
+21 to +30 day
Small-Cap Initiation Positive Insignificant Secular
positive
Secular
positive
+21 to +30 day
Large-
Cap
Omission Positive Insignificant No trend Secular
positive
+21 to +30 day
Mid-Cap Omission No event included in the sample
Small-Cap Omission Positive Insignificant Positive Secular
positive
+21 to +30 day
In case of dividend initiation announcement by large cap companies, reaction in
share prices is negative on event announcement day, while in case of mid and
small cap companies reaction in share prices is positive on event announcement
day. The reaction in share prices for all three categories of companies is
statistically insignificant. These insignificant results when analysed for
FINDINGS AND DISCUSSIONS
150
pronounced period of CAAR show that the pronounced period of CAAR for large
cap companies are -30 to -21 days and -10 to -01 days. This pre-event activity in
share prices prior to event day can be inferred due to investor behaviour motivated
by the assessment of information only available to them. This asymmetry in
information driving share prices points out to inefficiencies in the market. Again
the time lag in adjustment in prices in case of mid and small cap companies due to
pronounced period being +21 to +30 days quite away from the event
announcement day reflects inefficiencies.
The analysis of dividend initiations events for all three categories of companies
indicates the inefficient nature of Indian Stock Market.
On the other hand, analyses of share price reaction to dividend omission
announcement on event day are positive and insignificant for large cap as well as
small cap companies. In case of mid cap companies’ sufficient events are not
observed for the sampled companies. Insignificant nature of reaction in share
prices can be explained with the analysis of efficiency. As the pronounced period
for large as well as small cap companies are +21 to +30 days quite away from the
event announcement day it indicates inefficient nature of the market.
For both dividend initiation and dividend omission announcement events, the
pronounced period is quite away from event day. The negative reaction in share
prices for dividend initiation and positive reaction for dividend omission can be
due to growing state of Indian economy as stated by the other studies related to
various countries such as Rimbey and Officer (1992), Liang et. al. (2009), Jin
(2000) for US market, Capstaff et.al. (2004), for Oslo Stock Exchange, Chen et.al.
(2009) for Chinese market, Forner and Sanabria (2010) for Spanish market who
found inverse relation between dividend initiation and omissions announcements
and impact on share prices while concluding that there is partial effect of
dividend related events on the market.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
151
CHAPTER 6
CONCLUSIONS, POLICY IMPLICATIONS
AND
FUTURE RESEARCH DIRECTIONS
6.1 Conclusions
The analysis of twenty six dividend related events for three categories of
companies i.e. Large cap, mid cap and small cap companies reveals insignificant
effect of dividend decision in share prices on the event day with following five
exceptions:
i) Dividend increase of 15% and 50% or more declared along with
financial results announcement by large cap companies,
ii) Dividend increase of 10% and 15 % declared along with financial
results announcement by small cap companies
iii) Dividend increase of 10 % by large cap companies
Thus insignificant effect predominately witnessed in share prices provides enough
evidence of no signaling effect of dividend decisions in the Indian stock market.
The above five exceptions to the results need to be viewed in the context of
previous studies which also found certain exceptions not consistent with
predominant findings due to information asymmetry and investor motivated
behavior to capitalize on possessed information or uninformed investment
decision.
The inefficiency in the Indian Stock market has also been supported through the
extension of the analysis with the help of 10 –day mean CAAR values to
examine pronounced periods of reaction in share prices as shown in Table 5.1, 5.2
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
152
and 5.3 wherein in majority of the cases examined,the pronounced period of
CAAR is observed to be quite away from the event day. However, in few cases as
mentioned below, the pronounced period of CAAR is observed to be close to the
event day:
i. Dividend decrease of 50% or more with announcement of financial
result event by large cap companies where the pronounced period of
CAAR is -10 to -01 days.
ii. Dividend increase of 15% and 50 % or more along with financial
results event by midcap companies where pronounced period of CAAR
is -10 to -01 days.
iii. Dividend increase of 20% along with financial results event by mid cap
companies where the pronounced period of CAAR is +01 to +10 days.
iv. Dividend increase of 10%, 20% and 50% or more along with financial
results event by small cap companies with pronounced period of
CAAR being +01 to +10 days.
v. Dividend decrease of 20% and 25% along with financial results by
small cap companies in which pronounced period of CAAR is +01 to
+10 days.
vi. Dividend increase of 15% event and increase of 50% or more event by
mid cap companies with pronounced period of CAAR being from +01
to +10 and -10 to -01 days respectively.
With the identification of events of listed companies, use of Garch model with
removal of heterodasticity in the data, choice of model, sufficient precautions
have been taken to ensure reliability of the results.
However, presences of few exceptions to the general results need to be explained.
The mixed results point out that other factor such as transparency issues,
behavioral aspect of investors due to information asymmetry, ownership patterns
could be the possible reasons for above exceptions. The deviations are more in
case of small cap and mid cap companies suggesting more information asymmetry
as regards dividend decisions of mid-cap and small companies due to large
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
153
promoter group holdings. Same can be the case of large cap companies as well
where promoter group could be dominant and have all the motives to influence
share prices with their actions.
6.1.1 Signaling effect
From this empirical study on Signaling effect of dividend decisions in the Indian
Stock Market, the following conclusions can be drawn:
a. In case of Large cap companies with market capitalization of more than
Rs.10,000 Crores no signaling effect has been observed for following types of
events:
i) Dividend increase of 10%, 20%, 25% along with financial results
announcement.
ii) Dividend decrease of 10% up to 50 % or more along with financial
results announcement.
iii) Dividend initiation/omission for any change in rate
iv) Dividend increase/decrease for any change in dividend
v) Dividend increase of 15%, 20%, 25% and 50% or more
vi) Dividend decrease of 10% up to 50 % or more
The notable exceptions to results have been observed in case of 15% and 50 % or
more increase in dividend along with financial results announcement and 10% of
dividend increase. These exceptions can be explained with the support of
pronounced period of CAAR analysis performed in order to comment on
inefficiency in the market.
b. In case of Mid cap companies with market capitalization between Rs. 5,000
Crores to Rs.10, 000 Crores, no signaling effect has been observed for the
following types of events:
i) Dividend increase of 10% up to 50% or more along with financial
results announcement.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
154
ii) Dividend decrease of 10% up to 50% or more along with financial
results announcement.
iii) Dividend initiation/ omission for any change in rate.
iv) Dividend increase/decrease for any change in dividend.
c. In case of Small cap companies with market capitalization of less than Rs. 5,000
Crores, no signaling effect has been observed for the following types of events:
i) Dividend increase of 20%, 25% and 50% or more along with financial
results announcement.
ii) Dividend decrease of 10% up to 50 % or more along with financial
results announcement.
iii) Dividend initiation/omission for any change in rate
iv) Dividend increase/decrease for any change in dividend
The notable exceptions to results have been observed in case of 10% and 15%
increase in dividend along with financial results announcement which can be
attributed due to chance/ inefficiency in the market.
Taking into account all the events for large cap, mid cap and small cap companies
covering a period of 10 years spanning FY 2001 to FY 2011 based on an event
window of 61 days, the predominance of results pointing to no signaling effect in
terms of number of events analyzed leads to draw the conclusion that there is no
signaling effect of dividend decisions in the Indian Stock market. The exceptions
to the results can be commented upon through pronounced periods of CAAR
reflecting inefficiency in the market as explained in next section.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
155
6.1.2 Pronounced period of CAAR reflecting inefficiency in the Indian Stock
market.
The study has been able to bring out inefficiencies in the market on account of
following results:
a. In case of Large cap companies pronounced period of CAAR has been
observed for following types of events:
i) Pronounced period of CAAR from +21 to +30 days in events of
dividend increase from 10%, up to 50% or more along with
announcement of financial results.
ii) Pronounced period of CAAR from +21 to +30 days in events dividend
decrease from 10%, 15%,20% and 25% along with announcement of
financial results.
iii) Pronounced period of CAAR from +21 to +30 days in events of
dividend increase of 10% and dividend decrease of 25%.
iv) Pronounced period of CAAR from +11 to +20 days in event of
dividend increase of 20% & 25%.
v) Pronounced period of CAAR from +11 to +30 days in event of
dividend increase of 50% or more.
vi) Pronounced period of CAAR from +21 to +30 days in event dividend
omission.
b. In case of Mid cap companies pronounced period of CAAR has been observed
for following types of events :
i) Pronounced period of CAAR from +21 to +30 days in events dividend
increase of 21% & 25% and dividend decrease of 25% along with
announcement of financial results.
ii) Pronounced period of CAAR from -20 to -11 days in event dividend
decrease of 50% or more.
iii) Pronounced period of CAAR in event from +21 to +30 days in event
dividend initiation.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
156
c. In case of Small cap companies, pronounced period of CAAR has been
observed for following types of events:
i) Pronounced period of CAAR from +11 to +20 days in event dividend
increase of 15% and dividend decrease of 50 % or more along with
financial results announcement.
ii) Pronounced period of CAAR from +21 to +30 days in event dividend
increase of 25% and dividend decrease of 10% and 15 % along with
financial results announcement.
iii) Pronounced period of CAAR from +11 to +20 days in event dividend
increase of 15% & 50% or more and dividend decrease of 25%, 50% or
more.
iv) Pronounced period of CAAR from +21 to +30 days in event dividend
increase of 20% and 25%.
v) Pronounced period of CAAR from -20 to -11 days in event dividend
decrease of 15%.
vi) Pronounced period of CAAR from +21 to +30 days for event dividend
initiation/omission.
The pronounced periods of CAAR being quite distant from the event day reflect lag in
adjustments of prices due to inefficiencies in the market arising out of information
asymmetry.
The notable exceptions to results have been observed for following cases which
can be attributed due to following reasons:
i. Dividend decrease of 50% or more with announcement of financial
result event by large cap companies where the pronounced period of
CAAR is -10 to -01 days.
ii. Dividend increase of 15% and 50 % or more along with financial
results event by midcap companies where pronounced period of CAAR
is -10 to -01 days.
iii. Dividend increase of 20% along with financial results event by mid cap
companies where the pronounced period of CAAR is +01 to +10 days.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
157
iv. Dividend increase of 10%, 20% and 50% or more along with financial
results event by small cap companies with pronounced period of
CAAR being +01 to +10 days.
v. Dividend decrease of 20% and 25% along with financial results by
small cap companies in which pronounced period of CAAR is +01 to
+10 days.
vi. Dividend increase of 15% event and increase of 50% or more event by
mid cap companies with pronounced period of CAAR being from +01
to +10 and -10 to -01 days respectively.
The exceptions point out to random behavior in the market explainable due to
chance or motivated investor behavior driven by privy information or
unprocessed information expecting market to be efficient which in reality is
inefficient. The results need to be viewed in the context of nature of Indian
Stock Market and India as a transient emerging economy in which regulatory
set up governing listing and market transactions are still evolving to make the
market efficient.
6.1.3 Empirical support to findings from other studies
The conclusion regarding no signaling effect of dividend decisions in the Indian
stock market as well as inefficient nature of the market is well supported by other
works. The findings of this research are consistent with research for various
markets such as Benartzi, Michaely and Thaler (1997), Daniels, Shain and Lee
(1997) and Grullon, Michaely, Benartzi and Thaler (2005) , Iqbal and Rahman
(2002) and Amihud and Li (2006) for US market, Vieira and Raposo (2007) for
UK, French and Portuguese markets, Salameh and Albahsh (2011) for Palestine
market, Chen, Firth and Gao (2002) for Chinese market, Abdullah, Rashid and
Ibrahim (2004) for Malaysian market, Akbar and Baig (2004) for Pakistani
Market, Nobanee, Hadda, Alshattarat and Alshattarat (2009), for Amman Market,
Sharma (2011) and Maitra and Dey (2012) for Indian Stock Market.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
158
6.1.4 Level of Corporate Governance and market efficiency in emerging
economies
The low level of transparency also undermines efficiency of the market. In this
respect following views substantiate the above statement:
i) Beekes & Brown (2006) in their study of the informational content of
earnings and its impact on share prices observe that price discovery is
based on the level of transparency in the market where private
information gets incorporated in the market prices of listed shares.
ii) Abdelsalam & Street, 2007; Ajinkya et al., 2005, Borokhovich,
Parrino, & Trapani, 1996; Fama & Jensen, 1983;Weisbach, 1988 on
researches in this direction are of the view that timely release of
information in the market, level of transparency and the role of
independent directors also impact the level of the efficiency of the
market.
iii) The timely release of information in the market influences the price
discovery of share prices depending upon the mandated corporate
governance practices in any country as indicated by Hab,Vergauwe and
Zhang (2014).
iv) In addition , Georgakopoulos (1996) observed that informed investors
tend to reap abnormal profits at the cost of others bringing distortions
in share prices simultaneously affecting efficiency of the market and
recommended that effective disclosure rules avert frauds, eliminates
privileged shareholders collective actions and assist the market in
reflecting the true value of the shares.
v) Emerging market economies including India are characterized by
predominance of family business houses. Millar, Eldomiaty, Choi and
Hilton (2005) found that a concentrated ownership and control on
corporation by families enable them to determine the appointment of
executives as well as independent directors who take decisions in sake
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
159
of their interest. Nama et., al (1999), extend the argument that all key
decisions are in the hands of families.
vi) The conflict of interest between dominant shareholders and minority
shareholders (Aoki and Kim, 1995 and Phan 2001) widely observed in
these countries is not new to India.
vii) Eroding faith in the corporate India due to accounting and financial
shenanigans has been pointed out by Gupta (1998) where slow
regulatory enactments have not yet contributed in soliciting the faith of
retail investors. Amongst the reasons given for eroding faith include
undue advantage taken by corporate managers at the cost of retail
investors, existence of crony capitalism in the market, price
manipulation and high volatility
viii) The study by Sharma and Sachdeva (2011) in ‘Global Initiative
towards Corporate Governance in India: Investors’ Prospective found
investors dissatisfaction with regulatory norms and authorities in India
and presence of widespread insider trading.
ix) Some of the major frauds related to Indian Stock Market are being
mentioned in Appendix 6.1 to get an idea of the levels how corporates
and individuals have taken shaken investors confidence in the past.
x) The regulatory bodies initiated many measures to restore confidence,
transparency in the direction of efficiency. Appendix 6.2 captures these
measures as they are relevant to the context.
The reforms and changes mentioned in Appendix 6.2 are primarily to ensure
proper disclosures, good governance, transparency to help investors make rational
decisions and improving the overall efficiency in the market more specifically the
stock market. However, new encounters, issues and imperatives to integrate the
Indian financial markets with rest of the world in terms of standards and efficiency
requires continuous improvements. The recommendations in next sections are
therefore being made to remove imperfections and streamline the Indian Stock
market for improving its efficiency.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
160
6.2 Policy implications
The findings and conclusions drawn from the study have important policy
implications for corporates, regulators, investors and market intermediaries.
These implications have been discussed below:
6.2.1 Implications for corporates
i. The signaling effect of divided decision is influenced and impacted both by
the dividend rationality as well as by the efficiency level of the stock
market. The optimism bias due to estimates of earnings or management of
earnings to convey unrealistic future earnings and growth potential can
undermine corporate dividend rationality affecting value of the firm.
Asymmetric information leads to profit making in the market and
contributes to market inefficiency.
ii. The managerial implications are that dividend decision should not be made
with a view to affect share price behavior but for long term sustainable
growth and value.
iii. Corporate managers are expected to contribute to good governance
practices through ethical conduct of actions related to material information
having a bearing on the share prices of their company and not fuel
inefficiency in the market through irresponsible behavior. There are
evidences of unthical practices in the Indian stock Market which need to
be eliminated for healthy business environment and safeguarding the
interest of all the stakeholders.
iv. The transparency of disclosures by the company and dissemination of
timely information to public contributes to information symmetry,
improved market efficiency and improves credibility of the company in the
market and its value. The signaling effect of rational dividend decisions
can thus get incorporated in its market price.
v. Dividend decisions of the companies must be supported by the financial
strength of the companies not by the decisions of the peer groups in the
industry or market. A signal supported by the financial fundamentals of
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
161
any company is a good signal while any decision or event without
fundamental support must be avoided. The decision to change in dividend
must be long term in nature and supported by the financial results and
future prospect of the company.
vi. The degree of comprehensiveness of firms' financial statement is also
important for bringing the market transparent and efficient. In this respect
comprehensive income statement as prescribed under US GAAP and
instrumental in full disclosure can be considered for adoption in practice.
vii. Efficiency measures by regulation are warranted to provide protection to
retail and minority shareholders devoid of full information by way of
representation to Board. Voluntary action on the part of companies in this
direction would speak of good governance and add credibility to board
functioning in the interest of the company for it long term value creation.
.
6.2.2 Regulatory Bodies
i. Regulatory bodies such as Ministry of Corporate Affairs, SEBI and Stock
Exchanges are expected to exercise more stringent measures to ensure
investor protection and transparency in the market for improved efficiency
through punitive and penal actions.
ii. In order to intergrate the Indian financial system internationally,
mandatory movement to IFRS by all listed companies may become
necessary for ensuring more disclosure, transparency and efficiency in the
market.
iii. To make the disclosure prescribed disclosure norms more effective in
practice, the stock exchanges are expected to ensure compliances from the
listed companies through surveillance investigation, and punitive actions to
deter market players companies in endulging in trading based on inside
information.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
162
6.2.3 Investors
Institutional investors are expected to exercise prudence and sound judgement in
their stock market behavior. Due to their position and expertise , they have better
understanding of the market dynamics. They are expected to make their portfolio
decisions for long term capital gains instead of short term profit booking thereby
giving stability to the market and preventing undue volatility which may drive
herd behavior.
Retail investors must be conversant with the understanding required for making
rational investment decisions rather than engage in speculative behavior. They
must exercise their decisions based on analysis as irrational behavior on their part
adds to inefficiency of the market. Investor education would facilitate more
responsible behavior and protection of interests of the retail investors and would
simultaneously spread the equity culture in the country. This would force
companies to incorporate improved information characteristics to help investors
make rational investment decisions based on quality of information.
6.3 Limitations and directions for future research
I. This study covers only cash dividend related events of Large cap, mid cap
and small cap companies numbering 103 common to NSE and BSE
Indices as representing Indian Stock market. Larger sample of companies
would be able to give more substantive results.
II. Buyback of shares and bonus shares have not been included in the study.
The study can also be extended to examine signaling of the events
pertaining to non-cash dividends such as buyback of shares and issue of
bonus shares.
III. In the selection of events we have considered minimum 10% change in
dividend for the inclusion of event in the study. It is also possible to
examine the expected dividend and dividend surprise to see the effect on
the share prices.
CONCLUSIONS, POLICY IMPLICATIONS AND FUTURE RESEARCH DIRECTIONS
163
IV. Though the GARCH model used in this study is regarded as advanced
market model for event analysis, other statistical models such as Arma ,
WLS etc can also be used to compare the results of this study.
V. This study considered only one factor for analysis i.e dividend change.
Owner structure is supposed to play a vital role in dividend decision and
therefore correlating dividend change decision with ownership structure
can provide interesting insights about dividend decisions of business
houses which control almost 50 % of the big businesses in India.
VI. This study examined events over a span of 10 years from FY 2001 to FY
2011. A structural break anlysis can be performed by dividing the period
under study to compare relative effects of signaling as well as levels of
efficiency.
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APPENDICES
177
Appendix 3.1: Market capitalisation of Companies identified being common to
NSE and BSE with at least ten dividend events during the period
2001-02 to 2010-2011
Sr.
No.
Company Name Industry Classification Average
Market
Capitalization
(2001-02to
2010-11)
(Rs. Crores)
Large Caps: Total No. of Companies 81
1 Coal India Ltd. Mining 202165.51
2 Reliance Industries Ltd. Chemicals 175283.59
3 Oil & Natural Gas
Corpn. Ltd.
Mining 140417.55
4 N T P C Ltd. Electricity 138616.14
5 M M T C Ltd. Wholesale & Retail Trading 110131.02
6 Tata Consultancy
Services Ltd.
Information Technology 99915.52
7 N M D C Ltd. Mining 73572.63
8 Infosys Ltd. Information Technology 73106.78
9 State Bank Of India Banking Services/ Financial Services 64568.61
10 I T C Ltd. Food & Beverage 51355.27
11 Bharat Heavy Electricals
Ltd.
Machinery/ Non Electrical machinery 51193.72
12 I C I C I Bank Ltd. Banking Services/ Financial Services 50692.14
13 Power Grid Corpn. Of
India Ltd.
Electricity 46808.62
14 Hindustan Unilever Ltd. Chemicals 46048.87
15 Indian Oil Corpn. Ltd. Chemicals 45971.76
16 Larsen & Toubro Ltd. Construction & Real Estate 44783.22
17 N H P C Ltd. Electricity 39361.34
18 Steel Authority Of India
Ltd.
Metal & Metal Products/Ferrous
Metal/Steel
38661.55
19 HDFC Ltd. Asset Financing/Financial Services 38617.18
20 Oil India Ltd. Mining 30265.77
21 Sterlite Industries (India)
Ltd.
Metal & Metal Products/Non Ferrous
Metal/Copper & Copper Products
25189.08
22 Tata Steel Ltd. Metal & Metal
Products/FerrousMetal/Steel
24868.90
23 G A I L (India) Ltd. Misc. Services 24415.07
24 Power Finance Corpn.
Ltd.
Asset Financing/Financial Services 23570.87
25 Jaiprakash Associates
Ltd.
Construction & Real Estate 19120.13
26 Jindal Steel & Power
Ltd.
Metal & Metal Products/Ferrous
Metal/Steel
18669.85
27 Infrastructure Asset Financing/Financial Services 17825.26
APPENDICES
178
Development Finance
Co. Ltd.
28 Tata Motors Ltd. Transport Equipments/Automobile 17821.52
29 Hindustan Zinc Ltd. Metal & Metal Products/Non Ferrous
Metal/Other Non Ferrous Metals
17151.22
30 Rural Electrification
Corpn. Ltd.
Asset Financing/Financial Services 16683.40
31 Axis Bank Ltd. Banking Services/ Financial Services 16664.78
32 Sun Pharmaceutical Inds.
Ltd.
Chemicals 15774.36
33 Hero Motocorp Ltd. Transport Equipments/Automobile 14680.55
34 Hindalco Industries Ltd. Metal & Metal Products/Non Ferrous
Metal/Copper & Copper product
14566.68
35 Reliance Infrastructure
Ltd.
Electricity 14347.32
36 National Aluminium Co.
Ltd.
Metal & Metal Products/Non Ferrous
Metal/Aluminium & Aluminium
Products
14310.32
37 Unitech Ltd. Construction & Real Estate 14265.78
38 Punjab National Bank Banking Services/ Financial Services 14253.99
39 Ranbaxy Laboratories
Ltd.
Chemicals 14186.61
40 Tata Power Co. Ltd. Electricity 13850.39
41 H C L Technologies Ltd. Information Technology 13504.75
42 Satyam Computer
Services Ltd.
Information Technology 13454.24
43 Grasim Industries Ltd. Textile Industry 13382.94
44 Cipla Ltd. Chemicals 13043.79
45 Sun T V Network Ltd. Hospitality & Recreational Services 12854.61
46 Neyveli Lignite Corpn.
Ltd.
Electricity 12765.51
47 Kotak Mahindra Bank
Ltd.
Banking Services/ Financial Services 12494.26
48 Bharat Petroleum Corpn.
Ltd.
Chemicals 12335.97
49 Mahindra & Mahindra
Ltd.
Transport Equipments/Automobile 12198.83
50 Nestle India Ltd. Food & Beverage 11954.33
51 Adani Enterprises Ltd. Wholesale & Retail Trading 10870.37
52 Siemens Ltd. Diversified 10802.69
53 Dr. Reddy'S Laboratories
Ltd.
Chemicals 10584.49
54 Ambuja Cements Ltd. Non Metalic Mineral Products Cement 10043.47
55 Hindustan Petroleum
Corpn. Ltd.
Chemicals 10010.74
56 A B B Ltd. Diversified 9986.11
57 Ultratech Cement Ltd. Non Metalic Mineral Products/Cement 9906.37
58 Bank Of Baroda Banking Services/ Financial Services 9407.88
59 A C C Ltd. Non Metalic Mineral Products/ Cement 9248.40
APPENDICES
179
60 Bank Of India Banking Services/ Financial Services 9095.00
61 Canara Bank Banking Services/ Financial Services 9041.06
62 Sesa Goa Ltd. Mining 8689.04
63 Bajaj Holdings & Invst.
Ltd.
Investment Services/Financial Services 8637.46
64 Tata Communications
Ltd.
Communication
Services/Telecommunication Services
8612.02
65 Zee Entertainment
Enterprises Ltd.
Hospitality & Recreational Services 7994.14
66 Bosch Ltd. Transport Equipments/ Automobile
Ancillery
7806.61
67 Container Corpn. Of
India Ltd.
Transport Services/ Transport &
Logistic
7805.80
68 Asian Paints Ltd. Chemicals 7803.81
69 J S W Steel Ltd. Metal & Metal
Products/FerrousMetal/Steel
7704.96
70 M O I L Ltd. Mining 7538.30
71 Glaxosmithkline
Pharmaceuticals Ltd.
Chemicals 7435.14
72 Mahanagar Telephone
Nigam Ltd.
Communication
Services/Telecommunication Services
7258.56
73 Bharat Electronics Ltd. Machinery/Electronics 7004.35
74 Indian Bank Banking Services/ Financial Services 6920.23
75 Punj Lloyd Ltd. Construction & Real Estate 6804.59
76 United Spirits Ltd. Food & Beverage 6779.54
77 Union Bank Of India Banking Services/ Financial Services 6680.09
78 Dabur India Ltd. Diversified 6385.93
79 Indiabulls Financial
Services Ltd.
Investment Services/Financial Services 6042.70
80 Crompton Greaves Ltd. Machinery/ Electrical Machinery 6015.28
81 I D B I Bank Ltd. Banking Services/ Financial Services 5303.45
Mid- Caps: Total No. of Companies 69
Sr.
No.
Company Name Industry Classification Average
Market
Capitalization
(2001-02to
2010-11)
(Rs. Crores)
1 Lupin Ltd. Chemicals 4940.15
2 Biocon Ltd. Chemicals 4889.91
3 United Phosphorus Ltd. Chemicals 4706.48
4 Glenmark
Pharmaceuticals Ltd.
Chemicals 4687.00
5 Jet Airways (India) Ltd. Transport Services 4683.37
6 Colgate-Palmolive
(India) Ltd.
Chemicals 4611.03
7 Patni Computer Systems
Ltd.
Information Technology 4569.32
8 Mphasis Ltd. Information Technology 4568.07
APPENDICES
180
9 Cummins India Ltd. Machinery/ Non Electrical machinery 4508.89
10 Shriram Transport
Finance Co. Ltd.
Asset Financing/Financial Services 4376.12
11 Piramal Healthcare Ltd. Chemicals 4324.57
12 Aban Offshore Ltd. Construction & Real Estate 4267.79
13 Oriental Bank Of
Commerce
Banking Services/ Financial Services 4186.76
14 Shipping Corpn. Of India
Ltd.
Transport Services 4075.65
15 Castrol India Ltd. Chemicals 4030.46
16 Tata Chemicals Ltd. Chemicals 3998.90
17 Cadila Healthcare Ltd. Chemicals 3956.91
18 Indian Hotels Co. Ltd. Hospitality & Recreational Services 3938.73
19 Corporation Bank Banking Services/ Financial Services 3926.11
20 Engineers India Ltd. Construction & Real Estate 3614.88
21 Indian Overseas Bank Banking Services/ Financial Services 3610.85
22 Bharat Forge Ltd. Transport Equipments/ Autromobile
ancillery
3598.55
23 Exide Industries Ltd. Machinery/Elerctrical Machinery 3596.40
24 Ashok Leyland Ltd. Transport Equipments/ Automobile 3574.79
25 Financial Technologies
(India) Ltd.
Information Technology 3564.03
26 Titan Industries Ltd. Non Metalic Mineral Products/Gemes
& Jewellery
3480.16
27 Alstom T & D India Ltd. Diversified 3461.36
28 India Infoline Ltd. Fee Based Services/Securities Broking
/Financial Services
3459.71
29 Thermax Ltd. Machinery/Non Electrical Machinery 3453.92
30 Pantaloon Retail (India)
Ltd.
Wholesale & Retail Trading 3441.97
31 Tata Global Beverages
Ltd.
Food & Beverage 3288.64
32 Godrej Industries Ltd. Chemicals 3255.83
33 Allahabad Bank Banking Services/ Financial Services 3119.30
34 Godrej Consumer
Products Ltd.
Chemicals 3118.63
35 E I H Ltd. Hospitality & Recreational Services 3009.40
36 United Breweries Ltd. Food & Beverage 3001.69
37 Great Eastern Shipping
Co. Ltd.
Transport Services 2998.91
38 Mahindra & Mahindra
Financial Services Ltd.
Asset Financing/Financial Services 2977.07
39 Jagran Prakashan Ltd. Misc. Manufacturing 2913.70
40 Century Textiles & Inds.
Ltd.
Non Metalic Mineral
Products/Cements
2871.02
41 Andhra Bank Banking Services/ Financial Services 2841.04
42 Glaxosmithkline
Consumer Healthcare
Food & Beverage 2792.99
APPENDICES
181
Ltd.
43 Deccan Chronicle
Holdings Ltd.
Misc. Manufacturing 2781.82
44 L I C Housing Finance
Ltd.
Asset Financing/Financial Services 2745.74
45 A I A Engineering Ltd. Metal & Metal Products/ferrous
metal/Casting and forging
2730.72
46 Syndicate Bank Banking Services/ Financial Services 2667.06
47 Pidilite Industries Ltd. Chemicals 2665.24
48 Marico Ltd. Food & Beverage 2664.09
49 Bhushan Steel Ltd. Metal & Metal Products/ Ferrous
metal/Steel
2646.62
50 Britannia Industries Ltd. Food & Beverage 2624.64
51 I V R C L Ltd. Construction & Real Estate 2530.21
52 Gillette India Ltd. Metal & Metal
Products/FerrousMetal/Metal Products
2472.84
53 Shree Cement Ltd. Non Metalic Mineral Products/Cement 2459.66
54 Procter & Gamble
Hygiene & Health Care
Ltd.
Chemicals 2439.89
55 Rashtriya Chemicals &
Fertilizers Ltd.
Chemicals 2403.32
56 Motherson Sumi
Systems Ltd.
Transport Equipments/Automobile
Ancillery
2372.72
57 C E S C Ltd. Electricity 2368.60
58 J M Financial Ltd. Investment Services/Financial Services 2347.60
59 Jubilant Life Sciences
Ltd.
Chemicals 2329.96
60 Indusind Bank Ltd. Banking Services/ Financial Services 2319.12
61 National Fertilizers Ltd. Chemicals 2265.00
62 Chennai Petroleum
Corpn. Ltd.
Chemicals 2258.82
63 N C C Ltd. Construction & Real Estate 2247.92
64 B E M L Ltd. Machinery/ Non Electrical machinery 2213.10
65 Federal Bank Ltd. Banking Services/ Financial Services 2153.56
66 Aurobindo Pharma Ltd. Chemicals 2145.81
67 Alstom Projects India
Ltd.
Construction & Real Estate 2116.86
68 Aventis Pharma Ltd. Chemicals 2039.61
69 Indraprastha Gas Ltd. Misc. Services 2031.40
Small- Caps: Total No. of Companies 477
Sr.
No.
Company Name Industry Classification Average
Market
Capitalization
(2001-02to
2010-11)
(Rs. Crores)
1 Gujarat Mineral Devp.
Corpn. Ltd.
Mining 1988.69
APPENDICES
182
2 Moser Baer India Ltd. Machinery/Electronics 1981.95
3 Everest Kanto Cylinder
Ltd.
Metal & Metal Products 1956.03
4 Apollo Hospitals
Enterprise Ltd.
Health Services 1955.17
5 Sintex Industries Ltd. Chemicals 1949.36
6 Sterling Biotech Ltd. Chemicals 1947.98
7 Emami Ltd. Chemicals 1943.41
8 Bank Of Maharashtra Banking Services/ Financial Services 1916.85
9 Allcargo Logistics Ltd. Transport Services/ Transport &
Logistic
1913.87
10 Jammu & Kashmir Bank
Ltd.
Banking Services/ Financial Services 1904.00
11 Rolta India Ltd. Information Technology 1896.52
12 Madras Cements Ltd. Non Metalic Mineral Products/Cement 1868.86
13 Bombay Rayon Fashions
Ltd.
Textile Industry 1855.23
14 A B G Shipyard Ltd. Transport Equipments/ Automobile 1807.51
15 Patel Engineering Ltd. Construction & Real Estate 1805.61
16 Coromandel
International Ltd.
Chemicals 1760.79
17 G T L Ltd. Communication
Services/Telecommunication Services
1755.05
18 Pfizer Ltd. Chemicals 1752.35
19 Sundaram Finance Ltd. Asset Financing/Financial Services 1743.91
20 H C L Infosystems Ltd. Wholesale & Retail Trading 1718.82
21 Hindustan Construction
Co. Ltd.
Construction & Real Estate 1686.39
22 I N G Vysya Bank Ltd. Banking Services/ Financial Services 1682.77
23 State Bank Of Mysore Banking Services/ Financial Services 1649.38
24 Opto Circuits (India)
Ltd.
Machinery/Electronics 1640.84
25 Rei Agro Ltd. Food & Beverage 1639.89
26 Gujarat N R E Coke Ltd. Mining 1623.73
27 Blue Star Ltd. Machinery/ Electrical Machinery 1594.81
28 Triveni Engineering &
Inds. Ltd.
Food & Beverage/Diversified 1593.82
29 State Bank Of
Travancore
Banking Services/ Financial Services 1571.13
30 Kalpataru Power
Transmission Ltd.
Metal & Metal
Products/FerrousMetal/Metal Products
1565.36
31 Gujarat Gas Co. Ltd. Misc. Services 1545.26
32 State Bank Of Bikaner &
Jaipur
Banking Services/ Financial Services 1527.52
33 Bajaj Hindusthan Ltd. Food & Beverage 1498.94
34 Lakshmi Machine Works
Ltd.
Machinery/Non Electrical Machinery 1493.01
35 Crisil Ltd. Misc. Services 1484.54
APPENDICES
183
36 Maharashtra Seamless
Ltd.
Metal & Metal Products/FerrousMetal 1476.89
37 Chambal Fertilisers &
Chemicals Ltd.
Chemicals 1475.81
38 Gitanjali Gems Ltd. Non Metalic Mineral Products/Gemes
& Jewellery
1462.38
39 Jindal Stainless Ltd. Metal & Metal
Products/FerrousMetal/Steel
1461.27
40 Torrent Pharmaceuticals
Ltd.
Chemicals 1444.78
41 Gammon India Ltd. Construction & Real Estate 1433.64
42 Havells India Ltd. Machinery/Elerctrical Machinery 1380.28
43 Kansai Nerolac Paints
Ltd.
Chemicals 1375.26
44 Rajesh Exports Ltd. Non Metalic Mineral Products/Gemes
& Jewellery
1359.20
45 Kirloskar Brothers Ltd. Machinery/Non Electrical Machinery 1355.85
46 Karur Vysya Bank Ltd. Banking Services/ Financial Services 1355.80
47 T V S Motor Co. Ltd. Transport Equipments/Automobile 1349.41
48 Apollo Tyres Ltd. Chemicals 1324.39
49 Akzo Nobel India Ltd. Chemicals 1310.29
50 Core Education &
Technologies Ltd.
Information Technology 1292.46
51 M R F Ltd. Chemicals 1274.44
52 Dredging Corpn. Of
India Ltd.
Transport Services 1271.81
53 Ballarpur Industries Ltd. Misc. Manufacturing 1257.61
54 Gateway Distriparks Ltd. Transport Services/Transport &
Logistics
1248.05
55 Alfa Laval (India) Ltd. Machinery/ Non Elecrical Machinery 1233.43
56 Karnataka Bank Ltd. Banking Services/ Financial Services 1233.11
57 Nava Bharat Ventures
Ltd.
Electricity 1202.71
58 Praj Industries Ltd. Machinery/Non Electrical Machinery 1200.38
59 Polaris Financial
Technology Ltd.
Information Technology 1199.43
60 Birla Corporation Ltd. Non Metalic Mineral Products/ Cement 1194.17
61 E I D-Parry (India) Ltd. Food & Beverage 1185.63
62 Ipca Laboratories Ltd. Chemicals 1182.64
63 Gujarat Fluorochemicals
Ltd.
Chemicals 1176.35
64 Astrazeneca Pharma
India Ltd.
Chemicals 1168.84
65 Simplex Infrastructures
Ltd.
Construction & Real Estate 1167.83
66 Shriram City Union
Finance Ltd.
Asset Financing/Financial Services 1148.35
67 Bombay Dyeing & Mfg.
Co. Ltd.
Textile Industry 1147.02
68 Gujarat Narmada Valley Chemicals 1146.28
APPENDICES
184
Fertilizers Co. Ltd.
69 C M C Ltd. Information Technology 1139.61
70 Tata Investment Corpn.
Ltd.
Investment Services/Financial Services 1135.17
71 State Trading Corpn. Of
India Ltd.
Wholesale & Retail Trading 1133.37
72 Plethico Pharmaceuticals
Ltd.
Chemicals 1114.80
73 Jyothy Laboratories Ltd. Chemicals 1113.40
74 Kirloskar Industries Ltd. Machinery/Non Electrical Machinery 1098.58
75 Hindustan Oil
Exploration Co. Ltd.
Mining 1062.75
76 Monnet Ispat & Energy
Ltd.
Metal & Metal Products/FerrousMetal 1030.55
77 Berger Paints India Ltd. Chemicals 1017.05
78 Monsanto India Ltd. Food & Beverage 1015.84
79 S K F India Ltd. Machinery/Non Electrical Machinery 1006.80
80 Honeywell Automation
India Ltd.
Machinery/Electronics 1004.65
81 Panacea Biotec Ltd. Chemicals 969.35
82 Usha Martin Ltd. Metal & Metal
Products/FerrousMetal/Metal Products
952.08
83 Godfrey Phillips India
Ltd.
Food & Beverage 951.43
84 Ruchi Soya Inds. Ltd. Food & Beverage 944.24
85 Ansal Properties &
Infrastructure Ltd.
Construction & Real Estate 940.41
86 Dalmia Bharat Sugar &
Inds. Ltd.
Food & Beverage 935.71
87 Strides Arcolab Ltd. Chemicals 919.87
88 Mahindra Lifespace
Developers Ltd.
Construction & Real Estate 919.43
89 Gujarat State Fertilizers
& Chemicals Ltd.
Chemicals 916.42
90 Blue Dart Express Ltd. Transport Services/ Transport &
Logistic
901.62
91 Hotel Leela Venture Ltd. Hospitality & Recreational Services 901.33
92 Prism Cement Ltd. Non Metalic Mineral Products/Cement 885.47
93 Kesoram Industries Ltd. Diversified 884.45
94 Orchid Chemicals &
Pharmaceuticals Ltd.
Chemicals 853.14
95 Gujarat Industries Power
Co. Ltd.
Electricity 838.95
96 Ingersoll-Rand (India)
Ltd.
Machinery/Non Electrical Machinery 829.85
97 Hindusthan National
Glass & Inds. Ltd.
Non Metalic Mineral Products 825.06
98 Hexaware Technologies
Ltd.
Information Technology 816.96
99 Thomas Cook (India) Hospitality & Recreational Services 814.55
APPENDICES
185
Ltd.
100 Infotech Enterprises Ltd. Information Technology 809.78
101 Sundram Fasteners Ltd. Transport Equipments/Automobile
Ancillery
803.65
102 Carborundum Universal
Ltd.
Non Metalic Mineral Products 794.28
103 Hinduja Ventures Ltd. Investment Services/Financial Services 792.12
104 Asian Hotels (North)
Ltd.
Hospitality & Recreational Services 785.70
105 Greaves Cotton Ltd. Machinery/Non Electrical Machinery 785.36
106 Tube Investments Of
India Ltd.
Metal & Metal
Products/FerrousMetal/Metal Products
776.44
107 Eicher Motors Ltd. Transport Equipments/Automobile 775.21
108 Electrosteel Castings
Ltd.
Metal & Metal Products/FerrousMetal 774.09
109 B O C India Ltd. Chemicals 771.40
110 Geodesic Ltd. Information Technology 768.79
111 South Indian Bank Ltd. Banking Services/ Financial Services 765.20
112 Arvind Ltd. Textile Industru 755.14
113 Mercator Ltd. Transport Services 747.43
114 Abbott India Ltd. Diversified 736.83
115 Sundaram-Clayton Ltd. Transport Equipments/Automobile
Ancillery
736.61
116 Jyoti Structures Ltd. Metal & Metal
Products/FerrousMetal/Metal Products
734.44
117 Escorts Ltd. Machinery/Non Electrical Machinery 733.68
118 Trent Ltd. Wholesale & Retail Trading 733.20
119 Bata India Ltd. Misc. Manufacturing 730.32
120 Bharati Shipyard Ltd. Transport Equipments/Automobile 728.62
121 Century Plyboards
(India) Ltd.
Misc. Manufacturing 728.25
122 Bajaj Finance Ltd. Asset Financing/Financial Services 722.14
123 Reliance Industrial
Infrastructure Ltd.
Misc. Services 709.37
124 Alok Industries Ltd. Textile Industru 704.73
125 Manappuram Finance
Ltd.
Asset Financing/Financial Services 699.71
126 F D C Ltd. Chemicals 693.27
127 Page Industries Ltd. Textile Industry 676.38
128 Texmaco Ltd. Misc. Services 675.96
129 Finolex Cables Ltd. Machinery/Elerctrical Machinery 675.43
130 Merck Ltd. Chemicals 673.42
131 Graphite India Ltd. Non Metalic Mineral Products 671.54
132 Finolex Industries Ltd. Chemicals 669.42
133 Essel Propack Ltd. Chemicals 659.08
134 Mandhana Industries
Ltd.
Textile Industry 653.78
APPENDICES
186
135 Jindal Drilling & Inds.
Ltd.
Construction & Real Estate 650.74
136 D C M Shriram
Consolidated Ltd.
Diversified 649.16
137 Unity Infraprojects Ltd. Construction & Real Estate 648.02
138 Bajaj Electricals Ltd. Machinery/ Electrical machinery 631.12
139 H E G Ltd. Non Metalic Mineral Products 627.87
140 S R E I Infrastructure
Finance Ltd.
Asset Financing/Financial Services 621.51
141 Navneet Publications
(India) Ltd.
Misc. Manufacturing 618.45
142 S R F Ltd. Textile Industru 611.86
143 Unichem Laboratories
Ltd.
Chemicals 611.67
144 Sasken Communication
Technologies Ltd.
Information Technology 602.38
145 Dewan Housing Finance
Corpn. Ltd.
Asset Financing/Financial Services 600.51
146 Solar Industries India
Ltd.
Chemicals 594.22
147 Balkrishna Industries
Ltd.
Chemicals 594.13
148 Balaji Telefilms Ltd. Hospitality & Recreational Services 591.94
149 Gulf Oil Corpn. Ltd. Chemicals 586.23
150 Mastek Ltd. Information Technology 580.90
151 Clariant Chemicals
(India) Ltd.
Diversified 579.17
152 City Union Bank Ltd. Banking Services/ Financial Services 577.07
153 Bannari Amman Sugars
Ltd.
Food & Beverage 574.33
154 Gujarat Alkalies &
Chemicals Ltd.
Chemicals 574.10
155 I S M T Ltd. Metal & Metal
Products/FerrousMetal/Steel
567.87
156 Zuari Industries Ltd. Chemicals 565.93
157 Lakshmi Energy &
Foods Ltd.
Food & Beverage 564.87
158 Ruchi Infrastructure Ltd. Food & Beverage 563.51
159 Cranes Software Intl.
Ltd.
Information Technology 563.44
160 Elecon Engineering Co.
Ltd.
Machinery/Non Electrical Machinery 558.37
161 I C S A (India) Ltd. Information Technology 557.27
162 Deepak Fertilisers &
Petrochemicals Corpn.
Ltd.
Chemicals 556.70
163 P S L Ltd. Metal & Metal Products/FerrousMetal 541.02
164 Indo Rama Synthetics
(India) Ltd.
Textile Industru 538.92
165 Rallis India Ltd. Chemicals 535.97
APPENDICES
187
166 Amara Raja Batteries
Ltd.
Machinery/ Elecrical machinery 527.57
167 Grindwell Norton Ltd. Non Metalic Mineral Products 526.00
168 Amtek India Ltd. Metal & Metal Products / Ferrous
metal/ Casting & Forging
525.47
169 Kalyani Steels Ltd. Metal & Metal
Products/FerrousMetal/Steel
519.41
170 Cholamandalam
Investment & Finance
Co. Ltd.
Asset Financing/Financial Services 509.25
171 Jindal Poly Films Ltd. Chemicals 507.43
172 Sarda Energy & Minerals
Ltd.
Metal & Metal Products/FerrousMetal 504.50
173 Geojit B N P Paribas
Financial Services Ltd.
Fee Based Services/Securities
Broking/Financial Services
498.01
174 Tamil Nadu Newsprint &
Papers Ltd.
Misc. Manufacturing 497.28
175 Balmer Lawrie & Co.
Ltd.
Hospitality & Recreational Services 493.92
176 Tata Elxsi Ltd. Information Technology 486.33
177 Supreme Industries Ltd. Chemicals 481.21
178 F A G Bearings India
Ltd.
Machinery/Non Electrical Machinery 477.61
179 G H C L Ltd. Chemicals 472.64
180 Alembic Ltd. Chemicals 468.59
181 Godawari Power & Ispat
Ltd.
Metal & Metal
Products/FerrousMetal/Metal Products
466.21
182 Himatsingka Seide Ltd. Textile Industru 464.43
183 Taj G V K Hotels &
Resorts Ltd.
Hospitality & Recreational Services 459.25
184 Orient Paper & Inds. Ltd. Non Metalic Mineral Products/Cement 458.10
185 Sanwaria Agro Oils Ltd. Food & Beverage 455.49
186 J B Chemicals &
Pharmaceuticals Ltd.
Chemicals 441.75
187 K P I T Cummins
Infosystems Ltd.
Information Technology 430.30
188 O C L India Ltd. Non Metalic Mineral Products/Cement 429.05
189 K S B Pumps Ltd. Machinery/Non Electrical Machinery 426.58
190 S P M L Infra Ltd. Construction & Real Estate 423.89
191 Subex Ltd. Information Technology 423.60
192 Karuturi Global Ltd. Food & Beverage 423.43
193 H B L Power Systems
Ltd.
Machinery/Elerctrical Machinery 423.41
194 Hikal Ltd. Chemicals 419.09
195 Pratibha Industries Ltd. Construction & Real Estate 415.13
196 Bharat Bijlee Ltd. Machinery/ Electrical Machinery 414.39
197 Oriental Hotels Ltd. Hospitality & Recreational Services 403.83
198 P V R Ltd. Hospitality & Recreational Services 399.30
APPENDICES
188
199 Ratnamani Metals &
Tubes Ltd.
Metal & Metal Products/FerrousMetal 399.20
200 I L & F S Investment
Managers Ltd.
Other Financial Services 397.14
201 K C P Ltd. Non Metalic Mineral Products/Cement 394.87
202 Sanghvi Movers Ltd. Misc. Services 387.76
203 Dhanlaxmi Bank Ltd. Banking Services/ Financial Services 385.57
204 Esab India Ltd. Machinery/Elerctrical Machinery 382.53
205 J K Lakshmi Cement
Ltd.
Non Metalic Mineral Products/Cement 381.38
206 Nucleus Software
Exports Ltd.
Information Technology 374.95
207 Chemplast Sanmar Ltd. Chemicals 371.51
208 Gruh Finance Ltd. Asset Financing/Financial Services 368.44
209 Automotive Axles Ltd. Transport Equipments/ Automobile
ancillery
366.14
210 Elder Pharmaceuticals
Ltd.
Chemicals 364.24
211 Emco Ltd. Machinery/Elerctrical Machinery 361.10
212 Assam Company India
Ltd.
Food & Beverage 360.74
213 Indoco Remedies Ltd. Chemicals 347.72
214 Transport Corporation
Of India Ltd.
Transport Services/Transport &
Logistics
342.88
215 Magma Fincorp Ltd. Asset Financing/Financial Services 337.39
216 Tata Coffee Ltd. Food & Beverage 335.65
217 T R F Ltd. Machinery/Non Electrical Machinery 335.54
218 Elgi Equipments Ltd. Machinery/Non Electrical Machinery 329.41
219 Kewal Kiran Clothing
Ltd.
Textile Industru 321.75
220 Apar Industries Ltd. Diversified 317.86
221 P N B Gilts Ltd. Investment Services/Financial Services 315.63
222 Dynamatic Technologies
Ltd.
Transport Equipments/Automobile
Ancillery
310.97
223 Rico Auto Inds. Ltd. Transport Equipments/Automobile
Ancillery
304.07
224 Geometric Ltd. Information Technology 303.65
225 Zandu Realty Ltd. Construction & Real Estate 303.27
226 Sonata Software Ltd. Information Technology 301.89
227 M P S Ltd. Misc. Manufacturing 297.99
228 Aftek Ltd. Information Technology 290.80
229 Om Metals Infraprojects
Ltd.
Metal & Metal
Products/FerrousMetal/Metal Products
289.06
230 J K Tyre & Inds. Ltd. Chemicals 286.38
231 Shanthi Gears Ltd. Machinery/Non Electrical Machinery 282.81
232 Ahmednagar Forgings
Ltd.
Metal & Metal Products Ferrous Metal/
Casting & Forging
282.71
233 Savita Oil Technologies Chemicals 282.06
APPENDICES
189
Ltd.
234 K R B L Ltd. Food & Beverage 278.62
235 Ramco Industries Ltd. Non Metalic Mineral Products 275.50
236 Mirc Electronics Ltd. Machinery/Electronics 271.44
237 Jindal Worldwide Ltd. Textile Industry 268.37
238 J K Paper Ltd. Misc. Manufacturing 268.08
239 Paper Products Ltd. Chemicals 266.61
240 Asian Electronics Ltd. Wholesale & Retail Trading 261.02
241 Tide Water Oil Co.
(India) Ltd.
Chemicals 259.62
242 H S I L Ltd. Non Metalic Mineral Products 257.14
243 Ineos A B S (India) Ltd. Chemicals 255.50
244 Murli Industries Ltd. Food & Beverage 253.86
245 Easun Reyrolle Ltd. Machinery/Electronics 253.62
246 S M L Isuzu Ltd. Transport Equipments/Automobile 251.70
247 Hindustan Dorr-Oliver
Ltd.
Construction & Real Estate 249.06
248 Datamatics Global
Services Ltd.
Information Technology 246.57
249 Ruby Mills Ltd. Textile Industru 246.39
250 Gujarat Ambuja Exports
Ltd.
Food & Beverage 243.94
251 N R B Bearings Ltd. Machinery/Non Electrical Machinery 243.73
252 Binani Industries Ltd. Other Financial Services 237.90
253 Indraprastha Medical
Corpn. Ltd.
Health Services 236.19
254 Polyplex Corporation
Ltd.
Chemicals 232.02
255 Ramsarup Industries Ltd. Metal & Metal
Products/FerrousMetal/Metal Products
231.85
256 Natco Pharma Ltd. Chemicals 230.51
257 Smartlink Network
Systems Ltd.
Machinery/Electronics 229.80
258 Ceat Ltd. Chemicals 228.79
259 Genus Power
Infrastructures Ltd.
Diversified 227.92
260 K C P Sugar & Inds.
Corpn. Ltd.
Food & Beverage 227.53
261 T T K Prestige Ltd. Machinery/Elerctrical Machinery 225.58
262 Banco Products (India)
Ltd.
Transport Equipments/ Auto ancillery 224.10
263 Tata Sponge Iron Ltd. Metal & Metal Products/FerrousMetal 218.99
264 Shasun Pharmaceuticals
Ltd.
Chemicals 218.48
265 Maharashtra Scooters
Ltd.
Transport Equipments/Automobile 217.30
266 Tata Metaliks Ltd. Metal & Metal Products/FerrousMetal 216.01
267 G I C Housing Finance Asset Financing/Financial Services 212.21
APPENDICES
190
Ltd.
268 Greenply Industries Ltd. Misc. Manufacturing 211.19
269 Indian Hume Pipe Co.
Ltd.
Non Metalic Mineral Products 210.22
270 Aarti Industries Ltd. Chemicals 208.29
271 Kothari Products Ltd. Wholesale & Retail Trading 207.23
272 Navin Fluorine Intl. Ltd. Chemicals 206.87
273 Aegis Logistics Ltd. Misc. Services 206.78
274 Swaraj Engines Ltd. Machinery/Non Electrical Machinery 204.74
275 T I L Ltd. Wholesale & Retail Trading 203.53
276 Nahar Spinning Mills
Ltd.
Textile Industru 200.37
277 Zenith Infotech Ltd. Wholesale & Retail Trading 200.18
278 Global Offshore Services
Ltd.
Transport Services 197.82
279 Supreme Petrochem Ltd. Chemicals 197.74
280 Kei Industries Ltd. Machinery/Elerctrical Machinery 195.62
281 I T D Cementation India
Ltd.
Construction & Real Estate 186.91
282 Garden Silk Mills Ltd. Textile Industry 185.83
283 D C W Ltd. Diversified 185.31
284 Honda Siel Power
Products Ltd.
Machinery/Elerctrical Machinery 184.38
285 Zodiac Clothing Co. Ltd. Textile Industru 181.46
286 Kajaria Ceramics Ltd. Non Metalic Mineral Products 180.24
287 C C L Products (India)
Ltd.
Food & Beverage 180.14
288 K L G Systel Ltd. Information Technology 179.90
289 Selan Exploration
Technology Ltd.
Mining 177.72
290 Dolphin Offshore
Enterprises (India) Ltd.
Construction & Real Estate 175.90
291 Spanco Ltd. Information Technology 170.37
292 A B G Infralogistics Ltd. Misc. Services 169.99
293 Atul Ltd. Chemicals 169.99
294 Munjal Showa Ltd. Transport Equipments/Automobile
Ancillery
167.51
295 Foseco India Ltd. Chemicals 165.51
296 Numeric Power Systems
Ltd.
Machinery/Electronics 163.62
297 India Nippon Electricals
Ltd.
Transport Equipments/Automobile
Ancillery
162.85
298 A P L Apollo Tubes Ltd. Metal & Metal Products/ferrous metal 162.10
299 Hyderabad Industries
Ltd.
Non Metalic Mineral Products 160.95
300 Cosmo Films Ltd. Chemicals 160.29
301 Subros Ltd. Transport Equipments/Automobile
Ancillery
159.93
APPENDICES
191
302 Gemini Communication
Ltd.
Wholesale & Retail Trading 158.08
303 Excel Crop Care Ltd. Chemicals 153.68
304 Shrenuj & Co. Ltd. Non Metalic Mineral Products/Gemes
& Jewellery
153.51
305 R S W M Ltd. Textile Industru 150.59
306 Tantia Constructions Ltd. Construction & Real Estate 150.19
307 Sharyans Resources Ltd. Other Financial Services 149.75
308 F C S Software Solutions
Ltd.
Information Technology 149.47
309 Denso India Ltd. Transport Equipments/Automobile
Ancillery
148.58
310 Gabriel India Ltd. Transport Equipments/Automobile
Ancillery
147.86
311 Fedders Lloyd Corpn.
Ltd.
Machinery/Elerctrical Machinery 147.59
312 Sagar Cements Ltd. Non Metalic Mineral Products/Cement 147.37
313 Micro Technologies
(India) Ltd.
Information Technology 145.78
314 Rajapalayam Mills Ltd. Textile Industru 144.29
315 Bliss G V S Pharma Ltd. Chemicals 142.84
316 Nippo Batteries Co. Ltd. Machinery/Elerctrical Machinery 142.40
317 Ador Welding Ltd. Machinery/ Electrical Machinery 142.21
318 Manugraph India Ltd. Machinery/Non Electrical Machinery 142.08
319 Maxwell Industries Ltd. Wholesale & Retail Trading 142.03
320 Gujarat Apollo Inds. Ltd. Machinery/Non Electrical Machinery 141.45
321 Advani Hotels & Resorts
(India) Ltd.
Hospitality & Recreational Services 140.15
322 Heritage Foods (India)
Ltd.
Food & Beverage 139.80
323 Bhagyanagar India Ltd. Metal & Metal Products/Non Ferrous
Metal/Copper & Copper product
138.19
324 Sundaram Multi Pap Ltd. Misc. Manufacturing 138.05
325 Gillanders Arbuthnot &
Co. Ltd.
Diversified 137.78
326 Nilkamal Ltd. Chemicals 135.32
327 Kanoria Chemicals &
Inds. Ltd.
Chemicals 134.61
328 Lumax Industries Ltd. Transport Equipments/Automobile
Ancillery
134.23
329 Everest Industries Ltd. Non Metalic Mineral Products 133.41
330 L G Balakrishnan &
Bros. Ltd.
Metal & Metal
Products/FerrousMetal/Metal Products
130.34
331 Jupiter Bioscience Ltd. Chemicals 129.56
332 Dhanuka Agritech Ltd. Chemicals 129.22
333 Panoramic Universal
Ltd.
Information Technology 128.26
334 Mirza International Ltd. Misc. Manufacturing 127.33
335 D I C India Ltd. Chemicals 126.51
APPENDICES
192
336 India Motor Parts &
Accessories Ltd.
Wholesale & Retail Trading 125.98
337 Sudarshan Chemical
Inds. Ltd.
Chemicals 125.78
338 R Systems International
Ltd.
Information Technology 125.14
339 Rane Holdings Ltd. Other Financial Services 122.18
340 Garware-Wall Ropes
Ltd.
Textile Industry 119.64
341 Ansal Housing &
Construction Ltd.
Construction & Real Estate 119.44
342 Ucal Fuel Systems Ltd. Transport Equipments/Automobile
Ancillery
119.23
343 Bodal Chemicals Ltd. Chemicals 119.22
344 Manali Petrochemicals
Ltd.
Chemicals 118.72
345 Sandesh Ltd. Misc. Manufacturing 117.64
346 Eastern Silk Inds. Ltd. Textile Industru 117.22
347 Seshasayee Paper &
Boards Ltd.
Misc. Manufacturing 116.43
348 Universal Cables Ltd. Machinery/Elerctrical Machinery 116.07
349 Shri Lakshmi Cotsyn
Ltd.
Textile Industru 115.08
350 Bilpower Ltd. Machinery/ Elecrical Machinery 113.96
351 Can Fin Homes Ltd. Asset Financing/Financial Services 111.88
352 I F G L Refractories Ltd. Non Metalic Mineral Products 111.87
353 J V L Agro Inds. Ltd. Food & Beverage 110.11
354 Classic Diamonds (India)
Ltd.
Non Metalic Mineral Products/ Gemes
& Jewellery
110.07
355 Suprajit Engineering Ltd. Transport Equipments/Automobile
Ancillery
109.89
356 Blue Star Infotech Ltd. Information Technology 108.87
357 Repro India Ltd. Misc. Manufacturing 107.69
358 Kavveri Telecom
Products Ltd.
Machinery/Electronics 105.99
359 Ind-Swift Laboratories
Ltd.
Chemicals 105.86
360 Surya Roshni Ltd. Metal & Metal Products/FerrousMetal 105.71
361 Eimco Elecon (India)
Ltd.
Machinery/Non Electrical Machinery 105.54
362 Steel Strips Wheels Ltd. Transport Equipments/Automobile
Ancillery
104.64
363 Crew B O S Products
Ltd.
Misc. Manufacturing 103.70
364 Centum Electronics Ltd. Machinery/Electronics 102.15
365 E C E Industries Ltd. Machinery/ Electrical Machinery 102.02
366 Omax Autos Ltd. Transport Equipments/Automobile
Ancillery
99.99
367 Ajanta Pharma Ltd. Chemicals 97.39
368 Relaxo Footwears Ltd. Misc. Manufacturing 97.06
APPENDICES
193
369 Harrisons Malayalam
Ltd.
Chemicals 96.55
370 Aarvee Denims &
Exports Ltd.
Textile Industry 95.82
371 Dhunseri Petrochem &
Tea Ltd.
Chemicals 94.22
372 Zenith Birla (India) Ltd. Metal & Metal Products/FerrousMetal 94.14
373 Hi-Tech Gears Ltd. Transport Equipments/Automobile
Ancillery
92.92
374 Amrutanjan Health Care
Ltd.
Chemicals 91.95
375 Arihant Foundations &
Housing Ltd.
Construction & Real Estate 91.90
376 Goldiam International
Ltd.
Non Metalic Mineral Products/Gemes
& Jewellery
91.20
377 Rajshree Sugars &
Chemicals Ltd.
Food & Beverage 90.85
378 Jeypore Sugar Co. Ltd. Food & Beverage 90.57
379 Zicom Electronic
Security Systems Ltd.
Machinery/Electronics 89.58
380 Siyaram Silk Mills Ltd. Textile Industru 86.77
381 Deepak Nitrite Ltd. Chemicals 85.33
382 Kamat Hotels (India)
Ltd.
Hospitality & Recreational Services 85.24
383 Rainbow Papers Ltd. Misc. Manufacturing 84.18
384 Helios & Matheson
Information Technology
Ltd.
Information Technology 83.66
385 Prime Securities Ltd. Fee Based Services/Financial Services 82.45
386 Sundaram Brake Linings
Ltd.
Transport Equipments/Automobile
Ancillery
82.29
387 Deccan Cements Ltd. Non Metalic Mineral Products/ Cement 82.16
388 Shreyas Shipping &
Logistics Ltd.
Transport Services 81.92
389 Precision Wires India
Ltd.
Machinery/Elerctrical Machinery 80.86
390 Kale Consultants Ltd. Information Technology 80.26
391 Rane (Madras) Ltd. Transport Equipments/Automobile
Ancillery
79.77
392 S I L Investments Ltd. Investment Services/Financial Services 79.61
393 Alchemist Ltd. Wholesale & Retail Trading 79.23
394 First Leasing Co. Of
India Ltd.
Asset Financing/Financial Services 78.55
395 Jay Bharat Maruti Ltd. Transport Equipments/Automobile
Ancillery
77.06
396 Nahar Poly Films Ltd. Investment Services/Financial Services 76.99
397 Bimetal Bearings Ltd. Transport Equipments/Automobile
ancillery
76.67
398 Aarti Drugs Ltd. Chemicals 76.14
399 B L B Ltd. Investment Services/Financial Services 76.07
APPENDICES
194
400 Gandhi Special Tubes
Ltd.
Metal & Metal Products/FerrousMetal 75.79
401 T V S Srichakra Ltd. Chemicals 75.17
402 Ind-Swift Ltd. Wholesale & Retail Trading 74.28
403 Sah Petroleums Ltd. Chemicals 73.41
404 Jayant Agro-Organics
Ltd.
Food & Beverage 73.22
405 Tricom India Ltd. Information Technology 72.42
406 Anik Industries Ltd. Wholesale & Retail Trading 71.64
407 N C L Industries Ltd. Non Metalic Mineral Products/Cement 71.51
408 Lakshmi Mills Co. Ltd. Textile Industru 71.28
409 Ambika Cotton Mills
Ltd.
Textile Industru 71.13
410 T T K Healthcare Ltd. Chemicals 70.96
411 Cera Sanitaryware Ltd. Non Metalic Mineral Products 69.84
412 Excel Industries Ltd. Chemicals 68.43
413 Cura Technologies Ltd. Information Technology 67.77
414 Kabra Extrusiontechnik
Ltd.
Machinery/Non Electrical Machinery 66.96
415 Arvind Remedies Ltd. Chemicals 66.95
416 Shalimar Paints Ltd. Chemicals 66.93
417 Sirpur Paper Mills Ltd. Misc. Manufacturing 66.92
418 Salora International Ltd. Wholesale & Retail Trading 65.47
419 Plastiblends India Ltd. Chemicals 64.83
420 Harita Seating Systems
Ltd.
Transport Equipments/Automobile
Ancillery
63.11
421 M M Forgings Ltd. Metal & Metal
Products/FerrousMetal/Casting &
Forging
61.25
422 Banswara Syntex Ltd. Textile Industru 60.83
423 Suryalakshmi Cotton
Mills Ltd.
Textile Industru 60.13
424 Mro-Tek Ltd. Machinery/Electronics 59.57
425 Balaji Amines Ltd. Chemicals 57.36
426 Industrial Investment
Trust Ltd.
Other Financial Services 56.49
427 G M Breweries Ltd. Food & Beverage 53.62
428 Jagsonpal
Pharmaceuticals Ltd.
Chemicals 52.25
429 J B M Auto Ltd. Transport Equipments/Automobile
Ancillery
51.77
430 Pritish Nandy
Communications Ltd.
Hospitality & Recreational Services 51.05
431 A D F Foods Ltd. Food & Beverage 50.81
432 Sarla Performance Fibres
Ltd.
Textile Industry 50.73
433 Somany Ceramics Ltd. Non Metalic Mineral Products 50.42
APPENDICES
195
434 Panasonic Carbon India
Co. Ltd.
Machinery/Elerctrical Machinery 49.44
435 Alkyl Amines Chemicals
Ltd.
Chemicals 49.05
436 Pudumjee Pulp & Paper
Mills Ltd.
Misc. Manufacturing 47.07
437 I P Rings Ltd. Transport Equipments/Automobile
Ancillery
47.04
438 Surana Telecom &
Power Ltd.
Machinery/Elerctrical Machinery 46.08
439 Kakatiya Cement Sugar
& Inds. Ltd.
Non Metalic Mineral Products/Cement 45.66
440 Panama Petrochem Ltd. Chemicals 45.57
441 Soma Textiles & Inds.
Ltd.
Textile Industru 44.44
442 Indian Card Clothing Co.
Ltd.
Textile Industru 44.18
443 Compucom Software
Ltd.
Information Technology 43.93
444 Goa Carbon Ltd. Chemicals 43.65
445 A V T Natural Products
Ltd.
Chemicals 43.58
446 Talbros Automotive
Components Ltd.
Transport Equipments/Automobile
Ancillery
42.46
447 Chemfab Alkalis Ltd. Chemicals 41.25
448 Orient Ceramics & Inds.
Ltd.
Non Metalic Mineral Products 40.82
449 Sterling Tools Ltd. Metal & Metal
Products/FerrousMetal/Metal Products
39.35
450 Bhartiya International
Ltd.
Misc. Manufacturing 38.39
451 Zenith Computers Ltd. Machinery/Electronics 38.37
452 Atlas Cycles (Haryana)
Ltd.
Transport Equipments/Automobile 37.42
453 Kesar Enterprises Ltd. Food & Beverage 36.39
454 K S E Ltd. Food & Beverage 35.99
455 Patspin India Ltd. Textile Industru 35.96
456 Super Sales India Ltd. Textile Industry 34.49
457 Ponni Sugars (Erode)
Ltd.
Food & Beverage 34.40
458 Panasonic Home
Appliances India Co.
Ltd.
Machinery/Elerctrical Machinery 34.12
459 Aro Granite Inds. Ltd. Non Metalic Mineral Products 33.46
460 Xpro India Ltd. Chemicals 33.26
461 Pitti Laminations Ltd. Machinery/Elerctrical Machinery 32.74
462 Cheslind Textiles Ltd. Textile Industru 32.40
463 Madhav Marbles &
Granites Ltd.
Non Metalic Mineral Products 32.04
464 De Nora India Ltd. Misc. Services 31.76
APPENDICES
196
465 I V P Ltd. Chemicals 31.70
466 Sambandam Spinning
Mills Ltd.
Textile Industru 25.70
467 Tulsyan N E C Ltd. Metal & Metal
Products/FerrousMetal/Steel
25.56
468 Avanti Feeds Ltd. Food & Beverage 21.42
469 B S L Ltd. Textile Industru 21.11
470 Hydro S & S Inds. Ltd. Chemicals 20.96
471 Eurotex Industries &
Exports Ltd.
Textile Industru 19.91
472 Pondy Oxides &
Chemicals Ltd.
Chemicals 19.77
473 Pudumjee Industries Ltd. Misc. Manufacturing 15.79
474 Elnet Technologies Ltd. Information Technology 14.71
475 National Oxygen Ltd. Chemicals 12.24
476 Remsons Industries Ltd. Transport Equipments/Automobile
Ancillery
11.40
477 Zodiac-Jrd-Mkj Ltd. Non Metalic Mineral Products/Gemes
& Jewellery
8.82
Source: Prowess 3.1
APPENDICES
197
Appendix 3.2: Break –up of the 103 selected companies into respective market cap
category along with Industry representation identified being
common to the indices of NSE and BSE with at least ten dividend
events during the period 2001-02 to 2010-2011
Sr.
No.
Company Name Industry Classification Average Market
Capitalization
(2001-02to 2010-
11)
(Rs. Crores)
Large Caps: Total No. of Companies 24
1 Coal India Ltd. Mining 202165.51
2 Reliance
Industries Ltd.
Chemicals 175283.59
3 Oil & Natural Gas
Corpn. Ltd.
Mining 140417.55
4 N T P C Ltd. Electricity 138616.14
5 Tata Consultancy
Services Ltd.
Information Technology 99915.52
6 Infosys Ltd. Information Technology 73106.78
7 State Bank Of
India
Banking Services/ Financial
Services
64568.61
8 I T C Ltd. Food & Beverage 51355.27
9 Bharat Heavy
Electricals Ltd.
Machinery/ Non Electrical
machinery
51193.72
10 I C I C I Bank
Ltd.
Banking Services/ Financial
Services
50692.14
11 Hindustan
Unilever Ltd.
Chemicals 46048.87
12 Larsen & Toubro
Ltd.
Construction & Real Estate 44783.22
13 HDFC Ltd. Asset Financing/Financial
Services
38617.18
14 Sterlite Industries
(India) Ltd.
Metal & Metal Products/Non
Ferrous Metal/Copper &
Copper Products
25189.08
15 Tata Steel Ltd. Metal & Metal
Products/FerrousMetal/Steel
24868.90
16 G A I L (India)
Ltd.
Misc. Services 24415.07
17 Jindal Steel &
Power Ltd.
Metal & Metal
Products/Ferrous Metal/Steel
18669.85
18 Tata Motors Ltd. Transport
Equipments/Automobile
17821.52
19 Sun Chemicals 15774.36
APPENDICES
198
Pharmaceutical
Inds. Ltd.
20 Hero Motocorp
Ltd.
Transport
Equipments/Automobile
14680.55
21 Hindalco
Industries Ltd.
Metal & Metal Products/Non
Ferrous Metal/Copper &
Copper product
14566.68
22 Tata Power Co.
Ltd.
Electricity 13850.39
23 Cipla Ltd. Chemicals 13043.79
24 Mahindra &
Mahindra Ltd.
Transport
Equipments/Automobile
12198.83
Mid- Caps: Total No. of Companies 15
Company Name Industry Classification Average Market
Capitalization
(2001-02to 2010-
11)
(Rs. Crores)
1 Glenmark
Pharmaceuticals
Ltd.
Chemicals 4687.00
2 Aban Offshore
Ltd.
Construction & Real Estate 4267.79
3 Thermax Ltd. Machinery/Non Electrical
Machinery
3453.92
4 Pantaloon Retail
(India) Ltd.
Wholesale & Retail Trading 3441.97
5 Godrej Industries
Ltd.
Chemicals 3255.83
6 Pidilite Industries
Ltd.
Chemicals 2665.24
7 Marico Ltd. Food & Beverage 2664.09
8 Bhushan Steel
Ltd.
Metal & Metal Products/
Ferrous metal/Steel
2646.62
9 Shree Cement
Ltd.
Non Metalic Mineral
Products/Cement
2459.66
10 Motherson Sumi
Systems Ltd.
Transport
Equipments/Automobile
Ancillery
2372.72
11 C E S C Ltd. Electricity 2368.60
12 J M Financial
Ltd.
Investment
Services/Financial Services
2347.60
13 Jubilant Life
Sciences Ltd.
Chemicals 2329.96
14 B E M L Ltd. Machinery/ Non Electrical 2213.10
APPENDICES
199
machinery
15 Federal Bank Ltd. Banking Services/ Financial
Services
2153.56
Small- Caps: Total No. of Companies 64
Company Name Industry Classification Average Market
Capitalization
(2001-02to 2010-
11)
(Rs. Crores)
1 Gujarat Mineral
Devp. Corpn. Ltd.
Mining 1988.69
2 Apollo Hospitals
Enterprise Ltd.
Health Services 1955.17
3 Sintex Industries
Ltd.
Chemicals 1949.36
4 Coromandel
International Ltd.
Chemicals 1760.79
5 Hindustan
Construction Co.
Ltd.
Construction & Real Estate 1686.39
6 Gujarat Gas Co.
Ltd.
Misc. Services 1545.26
7 Bajaj Hindusthan
Ltd.
Food & Beverage 1498.94
8 Lakshmi Machine
Works Ltd.
Machinery/Non Electrical
Machinery
1493.01
9 Crisil Ltd. Misc. Services 1484.54
10 Maharashtra
Seamless Ltd.
Metal & Metal
Products/FerrousMetal
1476.89
11 Chambal
Fertilisers &
Chemicals Ltd.
Chemicals 1475.81
12 Jindal Stainless
Ltd.
Metal & Metal
Products/FerrousMetal/Steel
1461.27
13 Torrent
Pharmaceuticals
Ltd.
Chemicals 1444.78
14 Kansai Nerolac
Paints Ltd.
Chemicals 1375.26
15 Apollo Tyres Ltd. Chemicals 1324.39
16 Akzo Nobel India
Ltd.
Chemicals 1310.29
17 M R F Ltd. Chemicals 1274.44
18 Karnataka Bank
Ltd.
Banking Services/ Financial
Services
1233.11
APPENDICES
200
19 Nava Bharat
Ventures Ltd.
Electricity 1202.71
20 Praj Industries
Ltd.
Machinery/Non Electrical
Machinery
1200.38
21 Birla Corporation
Ltd.
Non Metalic Mineral
Products/ Cement
1194.17
22 E I D-Parry
(India) Ltd.
Food & Beverage 1185.63
23 Ipca Laboratories
Ltd.
Chemicals 1182.64
24 C M C Ltd. Information Technology 1139.61
25 Tata Investment
Corpn. Ltd.
Investment
Services/Financial Services
1135.17
26 Hindustan Oil
Exploration Co.
Ltd.
Mining 1062.75
27 Monnet Ispat &
Energy Ltd.
Metal & Metal
Products/FerrousMetal
1030.55
28 Berger Paints
India Ltd.
Chemicals 1017.05
29 S K F India Ltd. Machinery/Non Electrical
Machinery
1006.80
30 Honeywell
Automation India
Ltd.
Machinery/Electronics 1004.65
31 Godfrey Phillips
India Ltd.
Food & Beverage 951.43
32 Ruchi Soya Inds.
Ltd.
Food & Beverage 944.24
33 Strides Arcolab
Ltd.
Chemicals 919.87
34 Gujarat State
Fertilizers &
Chemicals Ltd.
Chemicals 916.42
35 Blue Dart Express
Ltd.
Transport Services/
Transport & Logistic
901.62
36 Prism Cement
Ltd.
Non Metalic Mineral
Products/Cement
885.47
37 Orchid Chemicals
&
Pharmaceuticals
Ltd.
Chemicals 853.14
38 Hexaware
Technologies Ltd.
Information Technology 816.96
39 Infotech
Enterprises Ltd.
Information Technology 809.78
APPENDICES
201
40 Carborundum
Universal Ltd.
Non Metalic Mineral
Products
794.28
41 Tube Investments
Of India Ltd.
Metal & Metal
Products/FerrousMetal/Metal
Products
776.44
42 Eicher Motors
Ltd.
Transport
Equipments/Automobile
775.21
43 B O C India Ltd. Chemicals 771.40
44 Geodesic Ltd. Information Technology 768.79
45 South Indian
Bank Ltd.
Banking Services/ Financial
Services
765.20
46 Mercator Ltd. Transport Services 747.43
47 Trent Ltd. Wholesale & Retail Trading 733.20
48 Bata India Ltd. Misc. Manufacturing 730.32
49 Reliance
Industrial
Infrastructure Ltd.
Misc. Services 709.37
50 Alok Industries
Ltd.
Textile Industru 704.73
51 F D C Ltd. Chemicals 693.27
52 Texmaco Ltd. Misc. Services 675.96
53 Graphite India
Ltd.
Non Metalic Mineral
Products
671.54
54 Finolex Industries
Ltd.
Chemicals 669.42
55 S R F Ltd. Textile Industru 611.86
56 Clariant
Chemicals (India)
Ltd.
Diversified 579.17
57 City Union Bank
Ltd.
Banking Services/ Financial
Services
577.07
58 Deepak Fertilisers
& Petrochemicals
Corpn. Ltd.
Chemicals 556.70
59 Rallis India Ltd. Chemicals 535.97
60 Supreme
Industries Ltd.
Chemicals 481.21
61 F A G Bearings
India Ltd.
Machinery/Non Electrical
Machinery
477.61
62 K P I T Cummins
Infosystems Ltd.
Information Technology 430.30
63 Karuturi Global
Ltd.
Food & Beverage 423.43
64 Magma Fincorp
Ltd.
Asset Financing/Financial
Services
337.39
APPENDICES
202
Appendix 3.3: No. of Dividend Related Events Announced by Large Cap. Sampled Companies
Industry Total No. of
Large Cap.
Companies
Events for Large Cap. Companies
Total
Event
@
10%
Total
Event@
-10%
Total
Event
@
15%
Total
Event
@ -
15%
Total
Event
@
20%
Total
Event@
-20%
Total
Event@
25%
Total
Event@
-25%
Total
Event@
50%
Total
Event
@ -
50%
Total
Event
Dividend
Initiation
Total
Event
Dividend
Omission
Total
Events
Auto Ancillary 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Automobile 3 2 2 1 1 1 0 1 2 12 7 1 0 30
Banking & Financial
Services 3 4 0 5 1 1 0 5 1 2 1 1 1 22
Cement 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Chemicals &
Pharmaceuticals 4 1 1 7 1 1 1 7 3 2 1 4 4 33
Construction & Real
Estate 1 0 0 1 0 0 0 1 3 3 1 0 0 9
Diversified 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Electrical Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Electricity 2 3 1 0 0 0 0 0 0 7 5 1 1 18
Electronics Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Ferrous Metal 2 0 0 0 2 1 0 2 5 8 2 1 1 22
Food & Beverage 1 2 1 1 0 2 0 2 0 1 0 0 0 9
APPENDICES
203
Gems & Jewellery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Health Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Hospitality &
Recreational Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Information Technology
& Telecommunication
Services 2 0 0 2 0 1 1 8 5 11 4 0 0 32
Mining 2 1 0 1 2 2 3 5 2 5 2 1 0 24
Misc. Manufacturing 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Misc. services 1 1 0 0 1 0 1 3 3 3 3 0 0 15
Non - Electrical
Machinery 1 1 2 1 0 0 0 5 1 2 2 0 0 14
Non - Ferrous Metal 2 1 2 1 0 2 1 0 2 1 0 2 2 14
Non - Metalic Mineral
Product 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Textile Industry 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Transport & Logistic
Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Whole Sale & Retail
Trading 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Total 24 16 9 20 8 11 7 39 27 57 28 11 9 242
Source: Computed from Prowess 3.1.
APPENDICES
204
Appendix 3.4: No. of Dividend Related Events Announced by Mid Cap. Sampled Companies
Industry Total
No. of
Mid Cap.
Compani
es
Events for Mid Cap. Companies
Total
Event
@10%
Total
Event@
-10%
Total
Event@
15%
Total
Event@
-15%
Total
Even
t@
20%
Total
Event@
-20%
Total
Event@
25%
Total
Event@
-25%
Total
Event
@
50%
Total
Event@
-50%
Total
Event
Divide
nd
Initiati
on
Total
Event
Dividen
d
Omissio
n
Total
Events
Auto Ancillary 1 1 0 0 0 1 0 4 0 0 0 0 0 6
Automobile 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Banking & Financial Services 2 3 0 1 0 2 0 1 0 5 2 0 0 14
Cement 1 0 0 2 0 1 1 1 1 2 0 1 1 10
Chemicals & Pharmaceuticals 4 1 0 5 1 6 0 3 3 5 1 4 4 33
Construction & Real Estate 1 0 0 2 0 1 0 4 0 0 0 0 0 7
Diversified 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Electrical Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Electricity 1 1 0 0 0 0 0 1 0 0 0 1 0 3
Electronics Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
APPENDICES
205
Ferrous Metal 1 0 0 0 0 0 0 1 0 2 0 0 0 3
Food & Beverage 1 5 0 7 3 3 1 2 3 2 2 2 2 32
Gems & Jewellery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Health Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Hospitality & Recreational
Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Information Technology &
Telecommunication Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Mining 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Misc. Manufacturing 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Misc. services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Non - Electrical Machinery 2 0 0 2 1 0 2 2 4 8 1 0 0 20
Non - Ferrous Metal 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Non - Metalic Mineral
Product 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Textile Industry 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Transport & Logistic Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Whole Sale & Retail Trading 1 0 0 1 0 0 0 2 0 1 0 1 0 5
Total 15 11 0 20 5 14 4 21 11 25 6 9 7 133
Source: Computed from Prowess 3.1.
APPENDICES
206
Appendix 3.5: No. of Dividend Related Events Announced by Small Cap. Sampled Companies Industry
Total No.
of Small
Cap.
Companie
s
Events: Small Cap. Companies
Total
Event
@10%
Total
Event
@ -
10%
Total
Event
@
15%
Total
Event
@-15%
Total
Event
@
20%
Total
Event
@-20%
Total
Event
@ 25%
Total
Event
@ -
25%
Total
Event
@50%
Total
Event
@-50%
Total
Event
Dividend
Initiation
Total
Event
Divide
nd
Omissi
on
Total
Event
s
Auto Ancillary 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Automobile 1 1 0 0 0 1 0 2 0 2 0 1 1 8
Banking & Financial
Services 5 1 0 4 0 0 1 6 6 8 2 3 3 34
Cement 2 2 0 0 0 0 0 4 4 2 0 3 1 16
Chemicals &
Pharmaceuticals 19 9 3 14 6 7 4 17 19 41 20 11 8 159
Construction & Real
Estate 1 0 0 3 0 2 0 1 0 0 0 0 0 6
Diversified 1 0 0 1 0 1 0 1 3 4 0 0 0 10
Electrical Machinery 4 5 2 0 0 2 3 5 4 8 2 4 3 38
Electricity 1 1 0 0 0 0 0 3 0 4 0 0 0 8
APPENDICES
207
Electronics Machinery 1 0 0 0 0 1 0 1 1 1 0 1 1 6
Ferrous Metal 4 2 0 1 0 3 0 5 8 8 3 6 4 40
Food & Beverage 5 2 0 5 1 3 0 3 4 7 3 1 0 29
Gems & Jewellery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Health Services 1 2 0 0 0 0 0 2 1 0 0 0 5
Hospitality &
Recreational Services 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Information
Technology &
Telecommunication
Services 5 3 1 3 1 1 1 11 3 8 0 3 1 36
Mining 2 2 1 1 0 2 0 0 1 2 0 2 2 13
Misc. Manufacturing 1 0 0 1 0 0 0 1 1 1 1 1 1 7
Misc. services 4 0 0 1 1 2 0 6 2 8 3 2 2 27
Non - Electrical
Machinery 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Non - Ferrous Metal 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Non - Metalic Mineral
Product 2 1 0 2 0 1 1 3 2 4 1 0 0 15
Textile Industry 2 1 0 2 1 1 0 2 2 2 0 3 3 17
APPENDICES
208
Transport & Logistic
Services 2 0 0 0 0 2 0 1 4 4 3 0 0 14
Whole Sale & Retail
Trading 1 0 0 1 1 0 1 0 0 0 0 3 3 9
Total 64 32 7 39 11 29 11 72 66 115 38 44 33 497
Source: Computed from Prowess 3.1
APPENDICES
209
Appendix 4.1: Calculated AAR, CAAR and corresponding t-values and p- values associated with 10% dividend increase/decrease decisions
along with declaration of financial results based on GARCH Model:
Large Cap. Dividend Increase along with financial results@10% Large Cap. Dividend Decrease along with financial results @10%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0188 0.0188 2.5169 1.0221 0.0145 0.3108 -0.0021 -0.0021 -0.2116 -0.0834 0.8332 0.9338
-29 -0.0023 0.0164 -0.3140 0.8946 0.7546 0.3746 0.0129 0.0109 1.3282 0.4402 0.1891 0.6614
-28 -0.0104 0.0061 -1.3900 0.3301 0.1697 0.7425 0.0117 0.0226 1.1983 0.9126 0.2355 0.3651
-27 -0.0081 -0.0020 -1.0812 -0.1090 0.2839 0.9136 0.0022 0.0247 0.2237 1.0008 0.8237 0.3209
-26 -0.0010 -0.0030 -0.1311 -0.1622 0.8962 0.8717 -0.0004 0.0243 -0.0411 0.9846 0.9674 0.3288
-25 0.0098 0.0068 1.3119 0.3706 0.1945 0.7123 -0.0002 0.0241 -0.0249 0.9748 0.9802 0.3336
-24 0.0115 0.0183 1.5352 0.9940 0.1300 0.3242 0.0016 0.0257 0.1647 1.0397 0.8698 0.3026
-23 0.0015 0.0198 0.1982 1.0745 0.8436 0.2869 0.0041 0.0298 0.4234 1.2066 0.6735 0.2323
-22 -0.0161 0.0037 -2.1556 0.1991 0.0351 0.8428 0.0108 0.0406 1.1064 1.6428 0.2730 0.1057
-21 -0.0107 -0.0070 -1.4303 -0.3817 0.1578 0.7040 0.0043 0.0449 0.4430 1.8175 0.6593 0.0741
-20 -0.0092 -0.0163 -1.2375 -0.8843 0.2207 0.3801 0.0079 0.0528 0.8060 2.1352 0.4234 0.0368
-19 0.0048 -0.0114 0.6459 -0.6220 0.5208 0.5363 -0.0040 0.0488 -0.4115 1.9730 0.6822 0.0531
-18 0.0093 -0.0021 1.2514 -0.1138 0.2157 0.9098 0.0160 0.0648 1.6465 2.6221 0.1049 0.0111
-17 -0.0021 -0.0042 -0.2846 -0.2294 0.7769 0.8193 -0.0122 0.0527 -1.2487 2.1298 0.2166 0.0373
-16 -0.0119 -0.0161 -1.5926 -0.8762 0.1165 0.3844 0.0004 0.0531 0.0402 2.1457 0.9680 0.0360
-15 0.0009 -0.0152 0.1160 -0.8291 0.9080 0.4104 -0.0127 0.0404 -1.2987 1.6337 0.1990 0.1076
-14 -0.0016 -0.0169 -0.2156 -0.9166 0.8300 0.3630 -0.0077 0.0327 -0.7864 1.3237 0.4347 0.1906
-13 0.0067 -0.0101 0.8987 -0.5517 0.3724 0.5832 -0.0036 0.0292 -0.3643 1.1801 0.7169 0.2426
-12 0.0100 -0.0002 1.3378 -0.0084 0.1860 0.9933 -0.0057 0.0235 -0.5857 0.9492 0.5603 0.3463
-11 0.0022 0.0020 0.2904 0.1095 0.7725 0.9132 0.0034 0.0269 0.3535 1.0885 0.7249 0.2807
-10 -0.0030 -0.0010 -0.3994 -0.0527 0.6910 0.9581 0.0149 0.0418 1.5297 1.6916 0.1314 0.0959
-9 -0.0028 -0.0038 -0.3806 -0.2072 0.7049 0.8365 -0.0174 0.0244 -1.7833 0.9886 0.0796 0.3269
-8 -0.0054 -0.0092 -0.7185 -0.4990 0.4753 0.6196 -0.0054 0.0190 -0.5591 0.7681 0.5782 0.4454
-7 0.0011 -0.0081 0.1493 -0.4384 0.8818 0.6627 0.0189 0.0379 1.9368 1.5317 0.0575 0.1309
-6 0.0048 -0.0033 0.6411 -0.1780 0.5239 0.8593 0.0208 0.0587 2.1373 2.3743 0.0367 0.0208
-5 0.0049 0.0017 0.6596 0.0898 0.5120 0.9287 -0.0141 0.0446 -1.4450 1.8046 0.1536 0.0762
-4 0.0018 0.0035 0.2473 0.1902 0.8055 0.8498 -0.0149 0.0297 -1.5272 1.2025 0.1320 0.2339
APPENDICES
210
-3 -0.0048 -0.0013 -0.6420 -0.0705 0.5233 0.9440 0.0034 0.0331 0.3474 1.3395 0.7295 0.1855
-2 -0.0023 -0.0036 -0.3024 -0.1933 0.7634 0.8474 0.0073 0.0404 0.7459 1.6335 0.4586 0.1076
-1 -0.0001 -0.0036 -0.0098 -0.1973 0.9922 0.8443 0.0065 0.0469 0.6697 1.8975 0.5056 0.0626
0 -0.0097 -0.0133 -1.2994 -0.7250 0.1988 0.4713 -0.0058 0.0411 -0.5928 1.6638 0.5556 0.1014
1 -0.0088 -0.0221 -1.1797 -1.2041 0.2428 0.2333 -0.0049 0.0363 -0.4992 1.4670 0.6194 0.1476
2 0.0010 -0.0211 0.1399 -1.1472 0.8892 0.2558 0.0214 0.0577 2.1980 2.3335 0.0318 0.0230
3 0.0139 -0.0071 1.8680 -0.3887 0.0666 0.6989 -0.0116 0.0461 -1.1897 1.8645 0.2388 0.0671
4 -0.0122 -0.0193 -1.6285 -1.0500 0.1087 0.2979 -0.0157 0.0304 -1.6123 1.2289 0.1122 0.2239
5 -0.0038 -0.0231 -0.5038 -1.2546 0.6162 0.2145 0.0171 0.0475 1.7545 1.9206 0.0845 0.0595
6 -0.0017 -0.0247 -0.2234 -1.3453 0.8240 0.1836 -0.0077 0.0397 -0.7938 1.6077 0.4305 0.1132
7 0.0076 -0.0171 1.0227 -0.9300 0.3106 0.3561 -0.0016 0.0381 -0.1691 1.5410 0.8663 0.1286
8 -0.0084 -0.0255 -1.1216 -1.3855 0.2665 0.1710 0.0045 0.0426 0.4642 1.7240 0.6442 0.0899
9 0.0076 -0.0178 1.0219 -0.9705 0.3109 0.3357 -0.0024 0.0402 -0.2471 1.6266 0.8056 0.1091
10 -0.0024 -0.0202 -0.3211 -1.1009 0.7493 0.2753 0.0137 0.0539 1.4028 2.1796 0.1658 0.0332
11 -0.0090 -0.0292 -1.2034 -1.5896 0.2335 0.1172 0.0005 0.0544 0.0484 2.1987 0.9615 0.0318
12 0.0060 -0.0232 0.8074 -1.2617 0.4226 0.2119 -0.0088 0.0455 -0.9079 1.8407 0.3675 0.0706
13 -0.0092 -0.0324 -1.2304 -1.7614 0.2234 0.0833 0.0137 0.0592 1.4043 2.3944 0.1654 0.0198
14 -0.0087 -0.0410 -1.1605 -2.2326 0.2504 0.0293 0.0058 0.0650 0.5924 2.6279 0.5558 0.0109
15 0.0015 -0.0395 0.2015 -2.1508 0.8410 0.0355 0.0019 0.0668 0.1914 2.7033 0.8489 0.0089
16 0.0020 -0.0375 0.2730 -2.0399 0.7858 0.0458 -0.0110 0.0558 -1.1289 2.2583 0.2634 0.0276
17 -0.0035 -0.0410 -0.4677 -2.2299 0.6417 0.0295 0.0032 0.0591 0.3308 2.3887 0.7419 0.0201
18 0.0051 -0.0359 0.6875 -1.9507 0.4944 0.0558 0.0146 0.0736 1.4945 2.9779 0.1403 0.0042
19 -0.0018 -0.0376 -0.2352 -2.0462 0.8148 0.0451 0.0077 0.0813 0.7862 3.2878 0.4348 0.0017
20 0.0071 -0.0305 0.9511 -1.6600 0.3454 0.1021 0.0007 0.0820 0.0726 3.3164 0.9424 0.0016
21 0.0031 -0.0274 0.4174 -1.4905 0.6779 0.1413 -0.0030 0.0790 -0.3123 3.1933 0.7559 0.0022
22 -0.0044 -0.0318 -0.5940 -1.7317 0.5548 0.0885 0.0102 0.0891 1.0433 3.6046 0.3010 0.0006
23 -0.0131 -0.0450 -1.7594 -2.4462 0.0836 0.0174 0.0130 0.1021 1.3361 4.1313 0.1866 0.0001
24 -0.0051 -0.0501 -0.6863 -2.7249 0.4951 0.0084 0.0049 0.1071 0.5047 4.3303 0.6156 0.0001
25 0.0091 -0.0410 1.2211 -2.2290 0.2268 0.0296 -0.0146 0.0924 -1.5011 3.7385 0.1386 0.0004
26 0.0031 -0.0379 0.4110 -2.0621 0.6825 0.0435 -0.0055 0.0870 -0.5595 3.5180 0.5779 0.0008
27 -0.0055 -0.0434 -0.7340 -2.3601 0.4658 0.0215 0.0029 0.0899 0.2968 3.6350 0.7676 0.0006
28 0.0040 -0.0394 0.5320 -2.1441 0.5967 0.0361 0.0011 0.0910 0.1119 3.6791 0.9113 0.0005
29 -0.0105 -0.0499 -1.4063 -2.7152 0.1648 0.0086 0.0037 0.0947 0.3838 3.8304 0.7025 0.0003
30 0.0066 -0.0433 0.8868 -2.3551 0.3787 0.0218 0.0040 0.0987 0.4076 3.9911 0.6850 0.0002
Mid Cap. Dividend Increase along with financial results @10% Mid. Cap. Dividend Decrease along with financial results @10%
APPENDICES
211
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0100 0.0100 0.8073 0.6649 0.4227 0.5087 Events are not sufficient to be included in final study
-29 -0.0089 0.0011 -0.7164 0.0748 0.4765 0.9406
-28 0.0089 0.0100 0.7179 0.6661 0.4756 0.5079
-27 0.0002 0.0102 0.0152 0.6786 0.9879 0.5000
-26 -0.0216 -0.0114 -1.7451 -0.7586 0.0861 0.4511
-25 0.0060 -0.0053 0.4884 -0.3563 0.6270 0.7229
-24 -0.0066 -0.0120 -0.5353 -0.7972 0.5944 0.4285
-23 0.0011 -0.0108 0.0913 -0.7221 0.9276 0.4731
-22 0.0027 -0.0081 0.2184 -0.5422 0.8279 0.5897
-21 0.0020 -0.0061 0.1658 -0.4056 0.8688 0.6865
-20 -0.0147 -0.0207 -1.1860 -1.3824 0.2403 0.1720
-19 -0.0057 -0.0265 -0.4638 -1.7644 0.6445 0.0827
-18 0.0031 -0.0234 0.2492 -1.5592 0.8040 0.1242
-17 0.0070 -0.0164 0.5689 -1.0907 0.5716 0.2798
-16 0.0092 -0.0071 0.7468 -0.4757 0.4581 0.6360
-15 -0.0025 -0.0097 -0.2051 -0.6446 0.8382 0.5217
-14 -0.0116 -0.0213 -0.9413 -1.4198 0.3503 0.1608
-13 0.0068 -0.0145 0.5472 -0.9691 0.5863 0.3364
-12 -0.0090 -0.0235 -0.7265 -1.5674 0.4704 0.1223
-11 -0.0090 -0.0325 -0.7243 -2.1640 0.4717 0.0345
-10 -0.0048 -0.0373 -0.3913 -2.4863 0.6969 0.0157
-9 0.0102 -0.0272 0.8213 -1.8099 0.4147 0.0753
-8 0.0035 -0.0236 0.2850 -1.5751 0.7766 0.1205
-7 0.0134 -0.0102 1.0839 -0.6824 0.2827 0.4976
-6 0.0128 0.0025 1.0324 0.1678 0.3061 0.8673
-5 -0.0266 -0.0241 -2.1541 -1.6063 0.0353 0.1135
-4 -0.0061 -0.0302 -0.4909 -2.0106 0.6253 0.0489
-3 -0.0047 -0.0349 -0.3843 -2.3271 0.7021 0.0234
-2 0.0215 -0.0134 1.7415 -0.8928 0.0867 0.3755
-1 0.0041 -0.0093 0.3294 -0.6215 0.7430 0.5366
0 0.0042 -0.0051 0.3388 -0.3425 0.7360 0.7331
1 0.0002 -0.0050 0.0150 -0.3302 0.9881 0.7424
APPENDICES
212
2 -0.0099 -0.0148 -0.7987 -0.9880 0.4276 0.3271
3 0.0212 0.0064 1.7178 0.4268 0.0910 0.6711
4 -0.0035 0.0029 -0.2802 0.1960 0.7803 0.8452
5 -0.0304 -0.0275 -2.4624 -1.8320 0.0167 0.0719
6 0.0160 -0.0115 1.2977 -0.7632 0.1994 0.4483
7 -0.0155 -0.0270 -1.2558 -1.7975 0.2141 0.0773
8 -0.0077 -0.0347 -0.6233 -2.3108 0.5355 0.0243
9 0.0087 -0.0259 0.7068 -1.7287 0.4824 0.0890
10 -0.0115 -0.0374 -0.9291 -2.4939 0.3566 0.0154
11 0.0037 -0.0337 0.3009 -2.2461 0.7645 0.0284
12 0.0044 -0.0293 0.3598 -1.9498 0.7202 0.0559
13 0.0003 -0.0289 0.0261 -1.9282 0.9792 0.0586
14 -0.0276 -0.0566 -2.2360 -3.7697 0.0291 0.0004
15 0.0329 -0.0236 2.6658 -1.5742 0.0099 0.1207
16 -0.0015 -0.0251 -0.1211 -1.6739 0.9040 0.0994
17 0.0005 -0.0247 0.0370 -1.6434 0.9706 0.1055
18 0.0219 -0.0028 1.7697 -0.1859 0.0819 0.8531
19 0.0054 0.0026 0.4390 0.1756 0.6623 0.8612
20 -0.0057 -0.0031 -0.4615 -0.2045 0.6461 0.8387
21 0.0020 -0.0010 0.1655 -0.0682 0.8691 0.9459
22 -0.0224 -0.0234 -1.8133 -1.5616 0.0748 0.1236
23 -0.0008 -0.0242 -0.0652 -1.6153 0.9483 0.1115
24 -0.0021 -0.0263 -0.1698 -1.7551 0.8657 0.0843
25 -0.0101 -0.0365 -0.8211 -2.4314 0.4148 0.0180
26 0.0171 -0.0194 1.3823 -1.2929 0.1720 0.2010
27 -0.0168 -0.0362 -1.3573 -2.4108 0.1798 0.0190
28 -0.0031 -0.0393 -0.2523 -2.6186 0.8017 0.0112
29 -0.0021 -0.0414 -0.1724 -2.7606 0.8637 0.0076
30 -0.0042 -0.0456 -0.3411 -3.0415 0.7342 0.0035
Small Cap. Dividend Increase along with financial results @10% Small Cap. Dividend Decrease along with financial results @10%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0002 -0.0002 -0.0259 -0.0137 0.9794 0.9891 -0.0095 -0.0095 -0.2727 -0.0531 0.7860 0.9579
-29 0.0001 -0.0001 0.0113 -0.0077 0.9910 0.9939 -0.0010 -0.0105 -0.0287 -0.0587 0.9772 0.9534
APPENDICES
213
-28 0.0076 0.0075 0.8201 0.4259 0.4154 0.6717 -0.0090 -0.0195 -0.2582 -0.1089 0.7971 0.9136
-27 0.0024 0.0098 0.2545 0.5604 0.8000 0.5773 -0.0183 -0.0378 -0.5262 -0.2113 0.6007 0.8333
-26 -0.0045 0.0053 -0.4895 0.3016 0.6263 0.7640 0.0195 -0.0183 0.5603 -0.1023 0.5774 0.9189
-25 0.0002 0.0055 0.0220 0.3133 0.9825 0.7552 0.0199 0.0016 0.5706 0.0088 0.5704 0.9930
-24 0.0096 0.0151 1.0416 0.8639 0.3018 0.3911 0.0667 0.0683 1.9147 0.3815 0.0603 0.7042
-23 0.0071 0.0222 0.7694 1.2706 0.4447 0.2088 0.0403 0.1086 1.1572 0.6067 0.2518 0.5463
-22 -0.0033 0.0190 -0.3522 1.0845 0.7259 0.2825 -0.0222 0.0864 -0.6372 0.4827 0.5264 0.6311
-21 0.0030 0.0219 0.3187 1.2529 0.7511 0.2151 -0.0278 0.0586 -0.7975 0.3275 0.4283 0.7445
-20 0.0004 0.0223 0.0418 1.2750 0.9668 0.2072 -0.0006 0.0580 -0.0176 0.3240 0.9860 0.7470
-19 0.0002 0.0225 0.0195 1.2854 0.9845 0.2036 -0.0077 0.0503 -0.2197 0.2813 0.8268 0.7795
-18 -0.0003 0.0223 -0.0271 1.2710 0.9784 0.2086 -0.0264 0.0240 -0.7566 0.1340 0.4522 0.8939
-17 0.0083 0.0305 0.8919 1.7425 0.3760 0.0865 0.0125 0.0365 0.3598 0.2040 0.7203 0.8390
-16 0.0002 0.0307 0.0167 1.7513 0.9868 0.0850 0.0324 0.0689 0.9298 0.3850 0.3562 0.7016
-15 -0.0102 0.0205 -1.1027 1.1684 0.2746 0.2473 -0.0276 0.0413 -0.7917 0.2309 0.4316 0.8182
-14 0.0083 0.0288 0.9012 1.6448 0.3711 0.1052 -0.0237 0.0176 -0.6800 0.0985 0.4991 0.9218
-13 0.0057 0.0345 0.6128 1.9688 0.5424 0.0536 -0.0231 -0.0055 -0.6643 -0.0308 0.5091 0.9756
-12 0.0072 0.0417 0.7778 2.3799 0.4397 0.0205 -0.0032 -0.0088 -0.0933 -0.0489 0.9260 0.9612
-11 0.0008 0.0425 0.0914 2.4283 0.9275 0.0182 0.1006 0.0918 2.8878 0.5132 0.0054 0.6097
-10 0.0105 0.0531 1.1391 3.0305 0.2592 0.0036 -0.0234 0.0685 -0.6715 0.3825 0.5045 0.7035
-9 0.0005 0.0536 0.0564 3.0603 0.9552 0.0033 0.0985 0.1670 2.8284 0.9330 0.0064 0.3546
-8 0.0080 0.0616 0.8665 3.5183 0.3897 0.0008 0.0693 0.2362 1.9881 1.3200 0.0514 0.1919
-7 -0.0041 0.0575 -0.4457 3.2827 0.6574 0.0017 0.0284 0.2647 0.8166 1.4789 0.4174 0.1444
-6 -0.0030 0.0545 -0.3251 3.1109 0.7462 0.0029 0.0054 0.2701 0.1561 1.5093 0.8765 0.1365
-5 0.0000 0.0544 -0.0037 3.1089 0.9971 0.0029 -0.0348 0.2353 -0.9996 1.3147 0.3215 0.1936
-4 0.0065 0.0609 0.7018 3.4799 0.4855 0.0009 0.0187 0.2540 0.5372 1.4193 0.5931 0.1610
-3 -0.0097 0.0512 -1.0490 2.9253 0.2984 0.0049 -0.0222 0.2318 -0.6368 1.2954 0.5267 0.2002
-2 0.0000 0.0512 0.0026 2.9267 0.9980 0.0048 -0.0279 0.2039 -0.8007 1.1395 0.4265 0.2590
-1 0.0055 0.0568 0.5977 3.2427 0.5523 0.0019 -0.0035 0.2004 -0.1007 1.1199 0.9202 0.2672
0 0.0255 0.0823 2.7587 4.7011 0.0077 0.0000 0.0143 0.2147 0.4110 1.1999 0.6825 0.2349
1 -0.0470 0.0354 -5.0735 2.0190 0.0000 0.0480 0.0743 0.2890 2.1328 1.6151 0.0370 0.1115
2 0.0077 0.0430 0.8290 2.4572 0.4104 0.0169 -0.0045 0.2845 -0.1294 1.5899 0.8975 0.1171
3 -0.0065 0.0365 -0.7045 2.0848 0.4839 0.0414 0.0085 0.2931 0.2449 1.6375 0.8074 0.1068
4 0.0080 0.0445 0.8635 2.5413 0.3913 0.0136 0.0140 0.3070 0.4012 1.7156 0.6897 0.0914
5 0.0011 0.0456 0.1240 2.6068 0.9018 0.0115 0.0251 0.3321 0.7194 1.8557 0.4747 0.0684
APPENDICES
214
6 0.0084 0.0540 0.9059 3.0857 0.3686 0.0031 0.0292 0.3613 0.8379 2.0188 0.4054 0.0480
7 -0.0010 0.0530 -0.1086 3.0283 0.9138 0.0036 -0.0114 0.3498 -0.3285 1.9548 0.7437 0.0553
8 -0.0057 0.0473 -0.6211 2.6999 0.5369 0.0090 -0.0023 0.3476 -0.0650 1.9422 0.9484 0.0568
9 0.0134 0.0606 1.4429 3.4627 0.1542 0.0010 0.0195 0.3671 0.5604 2.0513 0.5773 0.0446
10 0.0024 0.0630 0.2567 3.5984 0.7983 0.0006 0.0493 0.4164 1.4152 2.3267 0.1622 0.0234
11 -0.0086 0.0544 -0.9334 3.1050 0.3544 0.0029 -0.0114 0.4050 -0.3268 2.2631 0.7450 0.0273
12 -0.0069 0.0474 -0.7477 2.7097 0.4576 0.0088 -0.0416 0.3634 -1.1954 2.0304 0.2366 0.0468
13 -0.0050 0.0425 -0.5375 2.4256 0.5929 0.0183 -0.0086 0.3548 -0.2473 1.9823 0.8055 0.0520
14 0.0014 0.0439 0.1555 2.5078 0.8770 0.0149 -0.0275 0.3272 -0.7907 1.8284 0.4322 0.0725
15 -0.0108 0.0331 -1.1697 1.8894 0.2467 0.0637 0.0441 0.3713 1.2661 2.0748 0.2104 0.0423
16 0.0079 0.0410 0.8538 2.3408 0.3966 0.0226 0.0344 0.4058 0.9885 2.2672 0.3269 0.0270
17 -0.0024 0.0385 -0.2641 2.2012 0.7926 0.0316 -0.0370 0.3688 -1.0620 2.0605 0.2925 0.0437
18 0.0004 0.0390 0.0459 2.2254 0.9636 0.0298 0.0497 0.4184 1.4258 2.3380 0.1591 0.0227
19 0.0020 0.0410 0.2213 2.3424 0.8256 0.0225 0.0117 0.4301 0.3357 2.4034 0.7383 0.0194
20 -0.0062 0.0348 -0.6723 1.9870 0.5040 0.0515 0.0695 0.4996 1.9948 2.7917 0.0506 0.0070
21 -0.0038 0.0310 -0.4095 1.7705 0.6836 0.0817 -0.0014 0.4982 -0.0397 2.7839 0.9684 0.0072
22 -0.0067 0.0243 -0.7259 1.3867 0.4707 0.1707 -0.0218 0.4764 -0.6264 2.6620 0.5334 0.0100
23 -0.0055 0.0188 -0.5942 1.0726 0.5546 0.2877 -0.0018 0.4746 -0.0512 2.6520 0.9594 0.0102
24 -0.0036 0.0152 -0.3858 0.8686 0.7010 0.3885 0.0157 0.4904 0.4518 2.7400 0.6531 0.0081
25 0.0131 0.0283 1.4138 1.6161 0.1626 0.1113 -0.0375 0.4529 -1.0754 2.5307 0.2865 0.0140
26 0.0005 0.0288 0.0512 1.6431 0.9593 0.1056 0.0487 0.5016 1.3991 2.8030 0.1669 0.0068
27 0.0022 0.0309 0.2346 1.7671 0.8154 0.0823 0.0205 0.5222 0.5899 2.9178 0.5575 0.0050
28 0.0161 0.0470 1.7396 2.6868 0.0871 0.0093 -0.0411 0.4811 -1.1788 2.6883 0.2431 0.0093
29 -0.0017 0.0453 -0.1877 2.5876 0.8517 0.0121 0.0197 0.5008 0.5659 2.7985 0.5736 0.0069
30 0.0016 0.0469 0.1725 2.6788 0.8636 0.0095 -0.0522 0.4486 -1.4996 2.5066 0.1390 0.0149
APPENDICES
215
Appendix 4.2: Calculated AAR, CAAR and corresponding t-values and p- values associated with 15% dividend increase/decrease
decisions along with declaration of financial results based on GARCH Model:
Large Cap. Dividend Increase along with financial results @15% Large Cap. Dividend Decrease along with financial results @15%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0010 0.0010 0.1805 0.0497 0.8574 0.9605 -0.0033 -0.0033 -0.2706 -0.1359 0.7876 0.8923
-29 -0.0050 -0.0041 -0.9285 -0.2060 0.3569 0.8375 -0.0107 -0.0140 -0.8915 -0.5837 0.3762 0.5616
-28 -0.0031 -0.0072 -0.5805 -0.3658 0.5638 0.7158 0.0047 -0.0093 0.3893 -0.3881 0.6984 0.6993
-27 -0.0054 -0.0126 -0.9982 -0.6407 0.3222 0.5242 0.0061 -0.0031 0.5113 -0.1313 0.6110 0.8960
-26 0.0015 -0.0111 0.2839 -0.5625 0.7774 0.5759 0.0039 0.0008 0.3263 0.0326 0.7453 0.9741
-25 -0.0011 -0.0122 -0.2032 -0.6184 0.8396 0.5386 0.0046 0.0054 0.3830 0.2250 0.7031 0.8228
-24 0.0074 -0.0048 1.3645 -0.2427 0.1775 0.8090 -0.0139 -0.0085 -1.1548 -0.3551 0.2528 0.7238
-23 -0.0029 -0.0077 -0.5358 -0.3903 0.5941 0.6977 0.0094 0.0009 0.7831 0.0382 0.4367 0.9696
-22 -0.0029 -0.0106 -0.5277 -0.5356 0.5996 0.5942 0.0131 0.0140 1.0864 0.5840 0.2816 0.5614
-21 0.0051 -0.0054 0.9404 -0.2766 0.3508 0.7830 -0.0050 0.0089 -0.4195 0.3733 0.6764 0.7103
-20 0.0014 -0.0041 0.2571 -0.2058 0.7980 0.8376 -0.0015 0.0075 -0.1224 0.3118 0.9030 0.7563
-19 -0.0008 -0.0048 -0.1391 -0.2441 0.8898 0.8079 -0.0010 0.0065 -0.0838 0.2697 0.9335 0.7883
-18 -0.0067 -0.0115 -1.2346 -0.5841 0.2218 0.5613 0.0083 0.0147 0.6879 0.6152 0.4942 0.5407
-17 -0.0002 -0.0117 -0.0372 -0.5943 0.9704 0.5545 -0.0078 0.0069 -0.6520 0.2877 0.5169 0.7746
-16 0.0020 -0.0097 0.3696 -0.4926 0.7129 0.6241 0.0116 0.0185 0.9648 0.7723 0.3385 0.4429
-15 0.0055 -0.0042 1.0174 -0.2124 0.3131 0.8325 -0.0037 0.0148 -0.3081 0.6176 0.7591 0.5392
-14 -0.0005 -0.0047 -0.0924 -0.2379 0.9267 0.8128 -0.0249 -0.0101 -2.0689 -0.4217 0.0429 0.6748
-13 -0.0016 -0.0063 -0.3040 -0.3216 0.7622 0.7489 0.0029 -0.0072 0.2409 -0.3007 0.8105 0.7647
-12 -0.0048 -0.0111 -0.8811 -0.5642 0.3818 0.5747 -0.0015 -0.0087 -0.1286 -0.3652 0.8981 0.7162
-11 0.0036 -0.0075 0.6606 -0.3823 0.5114 0.7036 0.0055 -0.0033 0.4540 -0.1372 0.6515 0.8913
-10 0.0010 -0.0065 0.1926 -0.3293 0.8480 0.7431 0.0086 0.0053 0.7138 0.2214 0.4781 0.8255
-9 0.0030 -0.0034 0.5603 -0.1750 0.5773 0.8617 -0.0075 -0.0022 -0.6242 -0.0922 0.5349 0.9269
-8 -0.0085 -0.0120 -1.5728 -0.6081 0.1210 0.5454 0.0048 0.0026 0.3983 0.1079 0.6919 0.9144
-7 0.0027 -0.0093 0.4931 -0.4723 0.6237 0.6384 0.0006 0.0031 0.0465 0.1312 0.9631 0.8960
-6 -0.0028 -0.0121 -0.5147 -0.6140 0.6087 0.5415 0.0385 0.0417 3.2045 1.7409 0.0022 0.0868
-5 0.0058 -0.0063 1.0680 -0.3199 0.2898 0.7501 -0.0185 0.0232 -1.5391 0.9678 0.1290 0.3370
-4 0.0076 0.0013 1.3978 0.0650 0.1673 0.9484 -0.0060 0.0171 -0.5030 0.7151 0.6168 0.4773
APPENDICES
216
-3 0.0044 0.0057 0.8072 0.2872 0.4228 0.7749 0.0074 0.0245 0.6164 1.0247 0.5400 0.3096
-2 -0.0026 0.0031 -0.4777 0.1557 0.6346 0.8768 -0.0044 0.0201 -0.3659 0.8409 0.7157 0.4037
-1 -0.0055 -0.0024 -1.0125 -0.1231 0.3154 0.9024 0.0199 0.0400 1.6520 1.6708 0.1038 0.1000
0 -0.0190 -0.0214 -3.4947 -1.0854 0.0009 0.2821 -0.0202 0.0198 -1.6784 0.8277 0.0985 0.4111
1 -0.0194 -0.0408 -3.5751 -2.0698 0.0007 0.0428 0.0030 0.0228 0.2483 0.9524 0.8047 0.3447
2 0.0040 -0.0367 0.7464 -1.8643 0.4583 0.0672 0.0110 0.0338 0.9132 1.4111 0.3648 0.1634
3 -0.0038 -0.0405 -0.7014 -2.0574 0.4858 0.0440 0.0116 0.0453 0.9615 1.8941 0.3402 0.0630
4 -0.0012 -0.0417 -0.2233 -2.1189 0.8240 0.0382 -0.0176 0.0277 -1.4629 1.1593 0.1487 0.2509
5 -0.0027 -0.0444 -0.4911 -2.2541 0.6252 0.0279 0.0013 0.0290 0.1076 1.2133 0.9147 0.2298
6 0.0047 -0.0397 0.8744 -2.0133 0.3854 0.0486 0.0060 0.0350 0.4962 1.4626 0.6216 0.1488
7 0.0052 -0.0345 0.9597 -1.7491 0.3411 0.0854 -0.0033 0.0317 -0.2731 1.3254 0.7857 0.1901
8 0.0028 -0.0316 0.5229 -1.6051 0.6029 0.1137 0.0038 0.0356 0.3197 1.4859 0.7503 0.1425
9 -0.0003 -0.0319 -0.0514 -1.6192 0.9592 0.1106 -0.0057 0.0299 -0.4720 1.2489 0.6386 0.2166
10 -0.0064 -0.0383 -1.1817 -1.9446 0.2420 0.0565 -0.0062 0.0237 -0.5154 0.9900 0.6082 0.3262
11 -0.0097 -0.0480 -1.7933 -2.4384 0.0780 0.0177 -0.0132 0.0105 -1.0983 0.4383 0.2765 0.6628
12 0.0011 -0.0469 0.2021 -2.3828 0.8405 0.0204 -0.0315 -0.0210 -2.6234 -0.8795 0.0110 0.3826
13 0.0035 -0.0435 0.6370 -2.2074 0.5266 0.0311 0.0059 -0.0152 0.4889 -0.6339 0.6267 0.5285
14 -0.0019 -0.0454 -0.3576 -2.3059 0.7219 0.0246 -0.0001 -0.0153 -0.0124 -0.6402 0.9902 0.5245
15 -0.0045 -0.0499 -0.8223 -2.5323 0.4142 0.0140 0.0072 -0.0081 0.6004 -0.3386 0.5505 0.7361
16 0.0074 -0.0424 1.3717 -2.1546 0.1752 0.0352 -0.0022 -0.0103 -0.1820 -0.4300 0.8562 0.6687
17 -0.0022 -0.0446 -0.4034 -2.2656 0.6881 0.0271 0.0182 0.0079 1.5168 0.3319 0.1346 0.7411
18 0.0034 -0.0413 0.6215 -2.0945 0.5367 0.0404 -0.0056 0.0023 -0.4697 0.0960 0.6403 0.9239
19 -0.0076 -0.0488 -1.3951 -2.4787 0.1681 0.0160 0.0033 0.0056 0.2771 0.2352 0.7826 0.8149
20 -0.0023 -0.0511 -0.4195 -2.5942 0.6763 0.0119 0.0371 0.0428 3.0886 1.7866 0.0030 0.0791
21 0.0013 -0.0498 0.2333 -2.5300 0.8163 0.0141 0.0096 0.0524 0.8003 2.1886 0.4267 0.0325
22 0.0022 -0.0477 0.4011 -2.4195 0.6897 0.0186 0.0059 0.0582 0.4887 2.4341 0.6268 0.0179
23 0.0064 -0.0412 1.1883 -2.0923 0.2394 0.0406 0.0017 0.0600 0.1445 2.5067 0.8856 0.0149
24 -0.0009 -0.0421 -0.1570 -2.1356 0.8758 0.0368 -0.0009 0.0591 -0.0751 2.4690 0.9404 0.0164
25 -0.0050 -0.0471 -0.9226 -2.3896 0.3599 0.0200 0.0019 0.0610 0.1577 2.5482 0.8752 0.0134
26 -0.0050 -0.0521 -0.9266 -2.6447 0.3579 0.0104 -0.0128 0.0482 -1.0635 2.0140 0.2918 0.0485
27 -0.0036 -0.0557 -0.6625 -2.8272 0.5102 0.0064 0.0007 0.0488 0.0543 2.0413 0.9569 0.0456
28 0.0048 -0.0509 0.8836 -2.5839 0.3804 0.0122 0.0068 0.0557 0.5677 2.3264 0.5724 0.0234
29 0.0008 -0.0501 0.1393 -2.5455 0.8897 0.0135 0.0070 0.0627 0.5847 2.6201 0.5610 0.0111
30 0.0000 -0.0502 -0.0062 -2.5472 0.9950 0.0134 0.0106 0.0733 0.8855 3.0649 0.3794 0.0033
Mid. Cap. Dividend Increase along with financial results @15% Mid. Cap. Dividend Decrease along with financial results @15%
APPENDICES
217
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0166 -0.0166 -1.4836 -0.8212 0.1431 0.4148 Events are not sufficient for final study
-29 0.0041 -0.0125 0.3673 -0.6179 0.7147 0.5390
-28 -0.0063 -0.0188 -0.5643 -0.9302 0.5746 0.3560
-27 -0.0024 -0.0213 -0.2178 -1.0508 0.8283 0.2976
-26 0.0177 -0.0036 1.5762 -0.1784 0.1202 0.8590
-25 0.0151 0.0115 1.3438 0.5654 0.1841 0.5739
-24 -0.0076 0.0038 -0.6794 0.1893 0.4995 0.8505
-23 0.0018 0.0057 0.1643 0.2803 0.8700 0.7802
-22 0.0065 0.0122 0.5802 0.6014 0.5640 0.5498
-21 -0.0058 0.0064 -0.5154 0.3162 0.6081 0.7530
-20 0.0038 0.0102 0.3351 0.5017 0.7387 0.6177
-19 0.0197 0.0299 1.7570 1.4741 0.0840 0.1457
-18 0.0047 0.0346 0.4197 1.7064 0.6762 0.0931
-17 -0.0132 0.0213 -1.1803 1.0532 0.2425 0.2965
-16 -0.0031 0.0182 -0.2765 0.9001 0.7831 0.3717
-15 -0.0052 0.0131 -0.4616 0.6446 0.6460 0.5216
-14 0.0033 0.0164 0.2972 0.8091 0.7674 0.4217
-13 -0.0069 0.0095 -0.6182 0.4669 0.5388 0.6423
-12 0.0048 0.0143 0.4305 0.7052 0.6684 0.4834
-11 -0.0168 -0.0025 -1.4975 -0.1237 0.1395 0.9020
-10 0.0071 0.0046 0.6371 0.2289 0.5265 0.8197
-9 0.0093 0.0140 0.8338 0.6904 0.4077 0.4926
-8 0.0139 0.0279 1.2406 1.3771 0.2196 0.1736
-7 0.0071 0.0350 0.6331 1.7275 0.5290 0.0892
-6 0.0260 0.0610 2.3222 3.0128 0.0236 0.0038
-5 0.0040 0.0650 0.3559 3.2098 0.7232 0.0021
-4 -0.0095 0.0555 -0.8450 2.7421 0.4015 0.0080
-3 -0.0071 0.0484 -0.6339 2.3912 0.5285 0.0199
-2 -0.0003 0.0481 -0.0255 2.3771 0.9798 0.0207
-1 -0.0103 0.0379 -0.9154 1.8704 0.3636 0.0663
0 0.0049 0.0428 0.4341 2.1107 0.6658 0.0390
1 -0.0129 0.0299 -1.1499 1.4742 0.2547 0.1457
APPENDICES
218
2 -0.0102 0.0196 -0.9131 0.9688 0.3648 0.3366
3 -0.0216 -0.0020 -1.9276 -0.0982 0.0586 0.9221
4 -0.0088 -0.0108 -0.7844 -0.5323 0.4359 0.5965
5 0.0100 -0.0008 0.8904 -0.0395 0.3768 0.9686
6 0.0046 0.0038 0.4112 0.1881 0.6824 0.8514
7 0.0119 0.0157 1.0629 0.7764 0.2921 0.4406
8 0.0042 0.0199 0.3745 0.9837 0.7093 0.3292
9 -0.0039 0.0160 -0.3472 0.7915 0.7297 0.4318
10 -0.0012 0.0148 -0.1066 0.7325 0.9155 0.4667
11 -0.0018 0.0130 -0.1594 0.6443 0.8739 0.5218
12 0.0257 0.0388 2.2959 1.9151 0.0252 0.0603
13 -0.0163 0.0225 -1.4564 1.1089 0.1505 0.2719
14 0.0064 0.0289 0.5712 1.4251 0.5700 0.1593
15 -0.0133 0.0156 -1.1850 0.7692 0.2407 0.4448
16 -0.0096 0.0059 -0.8602 0.2931 0.3931 0.7705
17 -0.0083 -0.0023 -0.7368 -0.1147 0.4641 0.9090
18 -0.0047 -0.0070 -0.4210 -0.3477 0.6753 0.7292
19 -0.0063 -0.0134 -0.5648 -0.6604 0.5743 0.5115
20 0.0098 -0.0036 0.8725 -0.1774 0.3864 0.8598
21 0.0083 0.0047 0.7378 0.2310 0.4635 0.8181
22 -0.0075 -0.0028 -0.6668 -0.1381 0.5074 0.8906
23 -0.0153 -0.0181 -1.3629 -0.8925 0.1780 0.3757
24 0.0036 -0.0145 0.3213 -0.7146 0.7491 0.4776
25 -0.0007 -0.0152 -0.0653 -0.7508 0.9481 0.4557
26 0.0024 -0.0128 0.2162 -0.6311 0.8295 0.5304
27 0.0337 0.0209 3.0020 1.0305 0.0039 0.3069
28 -0.0064 0.0144 -0.5743 0.7126 0.5679 0.4789
29 -0.0002 0.0143 -0.0139 0.7049 0.9889 0.4836
30 -0.0069 0.0074 -0.6178 0.3629 0.5390 0.7179
Small Cap. Dividend Increase along with financial results @15% Small Cap. Dividend Decrease along with financial results @15%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0085 -0.0085 -1.0678 -0.6258 0.2899 0.5338 -0.0136 -0.0136 -0.8743 -0.2601 0.3854 0.7957
-29 -0.0046 -0.0131 -0.5735 -0.9620 0.5684 0.3399 0.0086 -0.0050 0.5532 -0.0955 0.5822 0.9242
APPENDICES
219
-28 -0.0030 -0.0161 -0.3828 -1.1863 0.7032 0.2402 -0.0105 -0.0155 -0.6763 -0.2967 0.5015 0.7677
-27 0.0106 -0.0055 1.3370 -0.4027 0.1863 0.6886 -0.0039 -0.0195 -0.2535 -0.3721 0.8008 0.7111
-26 0.0019 -0.0036 0.2362 -0.2643 0.8141 0.7925 0.0063 -0.0132 0.4047 -0.2517 0.6871 0.8021
-25 -0.0063 -0.0099 -0.7884 -0.7264 0.4336 0.4704 0.0224 0.0092 1.4380 0.1761 0.1556 0.8608
-24 -0.0364 -0.0462 -4.5656 -3.4022 0.0000 0.0012 0.0206 0.0298 1.3236 0.5699 0.1907 0.5709
-23 0.0033 -0.0429 0.4125 -3.1604 0.6814 0.0025 -0.0195 0.0103 -1.2515 0.1975 0.2156 0.8441
-22 -0.0060 -0.0489 -0.7474 -3.5985 0.4577 0.0006 -0.0231 -0.0128 -1.4874 -0.2450 0.1421 0.8073
-21 0.0081 -0.0407 1.0233 -2.9988 0.3103 0.0039 -0.0109 -0.0237 -0.6993 -0.4530 0.4871 0.6522
-20 -0.0092 -0.0499 -1.1494 -3.6724 0.2549 0.0005 0.0053 -0.0184 0.3408 -0.3516 0.7344 0.7264
-19 0.0053 -0.0446 0.6679 -3.2810 0.5068 0.0017 0.0120 -0.0064 0.7689 -0.1228 0.4449 0.9026
-18 -0.0005 -0.0451 -0.0657 -3.3195 0.9479 0.0015 -0.0299 -0.0363 -1.9211 -0.6944 0.0595 0.4901
-17 0.0127 -0.0324 1.5949 -2.3847 0.1160 0.0203 -0.0005 -0.0368 -0.0320 -0.7039 0.9745 0.4842
-16 0.0100 -0.0224 1.2585 -1.6471 0.2131 0.1048 -0.0003 -0.0371 -0.0187 -0.7095 0.9851 0.4808
-15 -0.0024 -0.0248 -0.3036 -1.8251 0.7625 0.0730 -0.0026 -0.0397 -0.1701 -0.7601 0.8655 0.4502
-14 0.0041 -0.0206 0.5209 -1.5198 0.6043 0.1338 0.0231 -0.0166 1.4859 -0.3180 0.1425 0.7516
-13 0.0079 -0.0128 0.9864 -0.9416 0.3279 0.3502 0.0156 -0.0010 1.0055 -0.0189 0.3187 0.9850
-12 0.0037 -0.0091 0.4661 -0.6684 0.6428 0.5064 -0.0024 -0.0033 -0.1519 -0.0641 0.8798 0.9491
-11 -0.0037 -0.0128 -0.4609 -0.9386 0.6465 0.3517 -0.0082 -0.0116 -0.5293 -0.2215 0.5986 0.8254
-10 0.0070 -0.0058 0.8782 -0.4239 0.3833 0.6732 -0.0063 -0.0178 -0.4025 -0.3413 0.6887 0.7341
-9 -0.0115 -0.0173 -1.4491 -1.2732 0.1525 0.2079 0.0277 0.0099 1.7839 0.1894 0.0795 0.8504
-8 -0.0031 -0.0204 -0.3846 -1.4986 0.7019 0.1392 0.0066 0.0165 0.4268 0.3164 0.6710 0.7528
-7 -0.0040 -0.0244 -0.5076 -1.7961 0.6136 0.0775 -0.0061 0.0104 -0.3923 0.1997 0.6962 0.8424
-6 0.0006 -0.0238 0.0712 -1.7544 0.9435 0.0845 -0.0087 0.0018 -0.5563 0.0342 0.5801 0.9728
-5 -0.0055 -0.0294 -0.6968 -2.1628 0.4886 0.0346 -0.0011 0.0007 -0.0688 0.0137 0.9454 0.9891
-4 -0.0118 -0.0412 -1.4858 -3.0336 0.1426 0.0036 0.0070 0.0078 0.4532 0.1486 0.6520 0.8824
-3 0.0083 -0.0329 1.0410 -2.4235 0.3021 0.0184 0.0034 0.0111 0.2174 0.2133 0.8287 0.8319
-2 0.0114 -0.0215 1.4326 -1.5838 0.1572 0.1185 -0.0056 0.0056 -0.3596 0.1063 0.7204 0.9157
-1 0.0060 -0.0155 0.7559 -1.1408 0.4527 0.2585 0.0224 0.0280 1.4413 0.5351 0.1547 0.5946
0 0.0030 -0.0125 0.3816 -0.9172 0.7041 0.3627 -0.0120 0.0160 -0.7700 0.3060 0.4443 0.7607
1 -0.0047 -0.0172 -0.5961 -1.2666 0.5533 0.2102 -0.0427 -0.0267 -2.7454 -0.5108 0.0080 0.6114
2 0.0136 -0.0036 1.7106 -0.2640 0.0923 0.7927 -0.0167 -0.0434 -1.0758 -0.8308 0.2863 0.4094
3 0.0002 -0.0034 0.0227 -0.2507 0.9820 0.8029 -0.0133 -0.0568 -0.8576 -1.0860 0.3945 0.2818
4 -0.0049 -0.0083 -0.6096 -0.6080 0.5444 0.5455 0.0017 -0.0550 0.1105 -1.0531 0.9123 0.2965
5 -0.0044 -0.0127 -0.5584 -0.9353 0.5787 0.3534 -0.0025 -0.0576 -0.1621 -1.1013 0.8718 0.2752
APPENDICES
220
6 -0.0030 -0.0157 -0.3772 -1.1563 0.7074 0.2521 0.0122 -0.0454 0.7826 -0.8685 0.4370 0.3886
7 0.0030 -0.0127 0.3751 -0.9365 0.7089 0.3528 -0.0059 -0.0513 -0.3788 -0.9812 0.7061 0.3304
8 -0.0042 -0.0170 -0.5325 -1.2486 0.5963 0.2167 -0.0197 -0.0710 -1.2672 -1.3582 0.2100 0.1795
9 0.0012 -0.0157 0.1539 -1.1584 0.8782 0.2513 -0.0088 -0.0798 -0.5664 -1.5267 0.5732 0.1321
10 -0.0045 -0.0202 -0.5604 -1.4869 0.5773 0.1423 -0.0025 -0.0823 -0.1612 -1.5747 0.8725 0.1206
11 -0.0051 -0.0253 -0.6432 -1.8638 0.5226 0.0672 -0.0249 -0.1072 -1.5992 -2.0504 0.1150 0.0447
12 -0.0028 -0.0281 -0.3507 -2.0694 0.7270 0.0428 -0.0049 -0.1120 -0.3125 -2.1434 0.7557 0.0361
13 -0.0070 -0.0351 -0.8812 -2.5859 0.3817 0.0122 -0.0035 -0.1156 -0.2266 -2.2109 0.8215 0.0309
14 -0.0043 -0.0394 -0.5404 -2.9026 0.5909 0.0052 0.0116 -0.1040 0.7449 -1.9892 0.4592 0.0512
15 0.0034 -0.0360 0.4305 -2.6503 0.6684 0.0103 -0.0034 -0.1074 -0.2179 -2.0541 0.8283 0.0443
16 -0.0018 -0.0378 -0.2227 -2.7808 0.8245 0.0072 -0.0043 -0.1117 -0.2784 -2.1369 0.7817 0.0367
17 -0.0156 -0.0534 -1.9564 -3.9274 0.0551 0.0002 -0.0048 -0.1165 -0.3063 -2.2280 0.7605 0.0296
18 0.0102 -0.0432 1.2808 -3.1767 0.2052 0.0024 0.0029 -0.1136 0.1844 -2.1731 0.8543 0.0337
19 -0.0003 -0.0435 -0.0430 -3.2020 0.9658 0.0022 0.0034 -0.1102 0.2171 -2.1086 0.8289 0.0392
20 0.0026 -0.0409 0.3243 -3.0119 0.7469 0.0038 -0.0125 -0.1228 -0.8066 -2.3485 0.4231 0.0222
21 0.0004 -0.0405 0.0553 -2.9795 0.9561 0.0042 -0.0050 -0.1278 -0.3227 -2.4445 0.7481 0.0175
22 0.0000 -0.0405 -0.0023 -2.9809 0.9982 0.0041 -0.0144 -0.1422 -0.9256 -2.7199 0.3584 0.0085
23 0.0107 -0.0298 1.3462 -2.1919 0.1833 0.0323 0.0242 -0.1180 1.5565 -2.2569 0.1249 0.0277
24 -0.0003 -0.0300 -0.0329 -2.2112 0.9738 0.0308 0.0083 -0.1097 0.5343 -2.0979 0.5951 0.0401
25 -0.0035 -0.0335 -0.4370 -2.4673 0.6637 0.0165 -0.0215 -0.1312 -1.3823 -2.5091 0.1720 0.0148
26 0.0084 -0.0252 1.0489 -1.8526 0.2984 0.0689 0.0455 -0.0857 2.9248 -1.6390 0.0049 0.1065
27 -0.0026 -0.0277 -0.3238 -2.0423 0.7472 0.0455 -0.0320 -0.1177 -2.0597 -2.2517 0.0438 0.0280
28 -0.0040 -0.0317 -0.4964 -2.3333 0.6214 0.0230 -0.0066 -0.1243 -0.4257 -2.3784 0.6719 0.0206
29 -0.0007 -0.0324 -0.0831 -2.3820 0.9340 0.0204 0.0117 -0.1126 0.7545 -2.1539 0.4535 0.0353
30 0.0041 -0.0283 0.5116 -2.0822 0.6108 0.0416 -0.0131 -0.1257 -0.8456 -2.4055 0.4012 0.0193
APPENDICES
221
Appendix 4.3: Calculated AAR, CAAR and corresponding t-values and p- values associated with 20% dividend increase/decrease decisions
along with declaration of financial results based on GARCH Model:
Large Cap. Dividend Increase along with financial results @20% Large Cap. Dividend Decrease along with financial results @20%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0029 -0.0029 -0.2688 -0.0878 0.7890 0.9303 -0.0102 -0.0102 -0.8158 -0.2718 0.4178 0.7867
-29 -0.0046 -0.0074 -0.4280 -0.2276 0.6702 0.8207 -0.0259 -0.0361 -2.0700 -0.9615 0.0428 0.3402
-28 -0.0080 -0.0154 -0.7506 -0.4727 0.4558 0.6381 -0.0114 -0.0475 -0.9084 -1.2641 0.3673 0.2111
-27 -0.0072 -0.0227 -0.6764 -0.6936 0.5014 0.4906 0.0121 -0.0354 0.9660 -0.9423 0.3379 0.3498
-26 -0.0047 -0.0273 -0.4384 -0.8368 0.6627 0.4060 0.0170 -0.0184 1.3596 -0.4893 0.1791 0.6264
-25 0.0139 -0.0134 1.3030 -0.4113 0.1976 0.6823 0.0015 -0.0169 0.1187 -0.4498 0.9059 0.6545
-24 0.0080 -0.0054 0.7522 -0.1656 0.4549 0.8690 0.0390 0.0221 3.1173 0.5889 0.0028 0.5582
-23 0.0040 -0.0014 0.3741 -0.0434 0.7097 0.9655 -0.0079 0.0142 -0.6306 0.3788 0.5307 0.7062
-22 -0.0145 -0.0159 -1.3556 -0.4862 0.1803 0.6286 0.0109 0.0252 0.8736 0.6698 0.3858 0.5055
-21 -0.0038 -0.0196 -0.3515 -0.6010 0.7264 0.5501 0.0024 0.0275 0.1898 0.7331 0.8501 0.4664
-20 -0.0059 -0.0255 -0.5505 -0.7808 0.5840 0.4380 0.0127 0.0403 1.0156 1.0715 0.3139 0.2882
-19 -0.0001 -0.0256 -0.0125 -0.7849 0.9901 0.4356 0.0039 0.0442 0.3141 1.1761 0.7545 0.2442
-18 0.0081 -0.0176 0.7577 -0.5374 0.4516 0.5930 0.0120 0.0562 0.9589 1.4956 0.3414 0.1400
-17 -0.0101 -0.0276 -0.9430 -0.8454 0.3495 0.4012 -0.0097 0.0465 -0.7723 1.2383 0.4430 0.2204
-16 0.0179 -0.0097 1.6766 -0.2978 0.0988 0.7669 0.0251 0.0716 2.0057 1.9066 0.0494 0.0614
-15 -0.0021 -0.0119 -0.1993 -0.3629 0.8427 0.7180 0.0207 0.0923 1.6547 2.4579 0.1032 0.0169
-14 0.0267 0.0149 2.5068 0.4558 0.0149 0.6501 0.0203 0.1126 1.6178 2.9969 0.1109 0.0040
-13 0.0040 0.0188 0.3703 0.5768 0.7125 0.5662 0.0022 0.1148 0.1781 3.0563 0.8592 0.0033
-12 -0.0104 0.0084 -0.9775 0.2575 0.3323 0.7976 -0.0280 0.0869 -2.2339 2.3120 0.0292 0.0242
-11 -0.0008 0.0076 -0.0725 0.2338 0.9424 0.8159 -0.0196 0.0673 -1.5651 1.7905 0.1228 0.0784
-10 -0.0063 0.0014 -0.5867 0.0422 0.5596 0.9664 -0.0104 0.0569 -0.8315 1.5135 0.4090 0.1354
-9 -0.0003 0.0011 -0.0290 0.0328 0.9770 0.9740 -0.0138 0.0430 -1.1036 1.1458 0.2742 0.2564
-8 0.0096 0.0106 0.8967 0.3256 0.3735 0.7458 0.0045 0.0476 0.3628 1.2667 0.7180 0.2102
-7 -0.0048 0.0059 -0.4468 0.1797 0.6566 0.8580 0.0143 0.0619 1.1457 1.6484 0.2565 0.1045
-6 -0.0008 0.0050 -0.0781 0.1542 0.9380 0.8780 0.0077 0.0697 0.6175 1.8542 0.5392 0.0686
APPENDICES
222
-5 0.0019 0.0069 0.1763 0.2118 0.8607 0.8330 -0.0046 0.0651 -0.3637 1.7330 0.7174 0.0882
-4 0.0013 0.0082 0.1207 0.2512 0.9044 0.8025 -0.0104 0.0547 -0.8313 1.4560 0.4091 0.1506
-3 0.0151 0.0233 1.4138 0.7129 0.1626 0.4787 0.0154 0.0701 1.2287 1.8654 0.2240 0.0670
-2 0.0063 0.0295 0.5861 0.9043 0.5600 0.3694 0.0163 0.0864 1.3029 2.2995 0.1976 0.0250
-1 -0.0070 0.0225 -0.6585 0.6893 0.5128 0.4933 0.0043 0.0907 0.3424 2.4136 0.7332 0.0189
0 -0.0045 0.0180 -0.4263 0.5501 0.6714 0.5843 -0.0083 0.0824 -0.6625 2.1928 0.5102 0.0322
1 0.0021 0.0201 0.2001 0.6154 0.8421 0.5406 -0.0035 0.0789 -0.2823 2.0988 0.7787 0.0401
2 -0.0027 0.0174 -0.2549 0.5322 0.7997 0.5966 -0.0063 0.0725 -0.5066 1.9300 0.6143 0.0583
3 -0.0103 0.0071 -0.9656 0.2168 0.3381 0.8291 -0.0029 0.0696 -0.2303 1.8533 0.8186 0.0688
4 -0.0114 -0.0043 -1.0662 -0.1314 0.2906 0.8959 -0.0008 0.0688 -0.0643 1.8318 0.9490 0.0719
5 -0.0020 -0.0063 -0.1855 -0.1920 0.8534 0.8484 -0.0061 0.0627 -0.4885 1.6691 0.6270 0.1003
6 0.0021 -0.0042 0.1947 -0.1284 0.8463 0.8983 0.0253 0.0880 2.0239 2.3434 0.0474 0.0224
7 0.0302 0.0260 2.8298 0.7958 0.0063 0.4293 -0.0051 0.0830 -0.4062 2.2081 0.6861 0.0311
8 -0.0118 0.0142 -1.1101 0.4332 0.2714 0.6664 0.0017 0.0847 0.1354 2.2532 0.8928 0.0279
9 -0.0086 0.0055 -0.8101 0.1687 0.4211 0.8666 0.0045 0.0891 0.3556 2.3717 0.7234 0.0209
10 0.0043 0.0098 0.4011 0.2996 0.6898 0.7655 -0.0080 0.0811 -0.6397 2.1585 0.5248 0.0349
11 -0.0070 0.0028 -0.6590 0.0844 0.5124 0.9330 -0.0071 0.0740 -0.5703 1.9685 0.5706 0.0536
12 -0.0165 -0.0137 -1.5429 -0.4195 0.1281 0.6763 -0.0024 0.0716 -0.1880 1.9059 0.8515 0.0615
13 0.0193 0.0056 1.8085 0.1712 0.0755 0.8647 0.0083 0.0799 0.6639 2.1271 0.5093 0.0375
14 0.0238 0.0294 2.2296 0.8994 0.0295 0.3720 -0.0003 0.0796 -0.0216 2.1199 0.9829 0.0382
15 -0.0038 0.0256 -0.3525 0.7842 0.7257 0.4360 0.0077 0.0873 0.6131 2.3242 0.5421 0.0235
16 0.0112 0.0368 1.0501 1.1272 0.2979 0.2641 0.0042 0.0915 0.3364 2.4363 0.7377 0.0178
17 -0.0076 0.0292 -0.7139 0.8941 0.4781 0.3749 0.0084 0.1000 0.6737 2.6608 0.5031 0.0100
18 -0.0043 0.0249 -0.4058 0.7615 0.6863 0.4493 -0.0007 0.0992 -0.0597 2.6409 0.9526 0.0105
19 0.0272 0.0521 2.5532 1.5954 0.0132 0.1159 -0.0069 0.0923 -0.5510 2.4573 0.5837 0.0169
20 0.0071 0.0593 0.6701 1.8142 0.5053 0.0746 0.0010 0.0933 0.0771 2.4830 0.9388 0.0158
21 0.0028 0.0621 0.2647 1.9007 0.7921 0.0621 0.0001 0.0933 0.0047 2.4845 0.9963 0.0158
22 -0.0035 0.0585 -0.3314 1.7925 0.7415 0.0781 -0.0027 0.0907 -0.2137 2.4133 0.8315 0.0189
23 0.0101 0.0686 0.9446 2.1010 0.3487 0.0399 0.0014 0.0921 0.1126 2.4508 0.9107 0.0172
24 -0.0033 0.0653 -0.3097 1.9998 0.7578 0.0501 0.0047 0.0967 0.3720 2.5748 0.7112 0.0125
25 0.0166 0.0819 1.5515 2.5066 0.1260 0.0149 -0.0036 0.0932 -0.2863 2.4794 0.7757 0.0160
26 0.0048 0.0866 0.4475 2.6527 0.6561 0.0102 -0.0037 0.0894 -0.2990 2.3798 0.7660 0.0205
27 0.0120 0.0987 1.1261 3.0205 0.2646 0.0037 0.0056 0.0950 0.4503 2.5298 0.6541 0.0141
28 -0.0112 0.0875 -1.0460 2.6789 0.2998 0.0095 -0.0114 0.0837 -0.9091 2.2269 0.3669 0.0297
29 -0.0064 0.0811 -0.5987 2.4833 0.5516 0.0158 -0.0106 0.0731 -0.8439 1.9457 0.4021 0.0564
APPENDICES
223
30 -0.0010 0.0801 -0.0920 2.4533 0.9270 0.0171 0.0253 0.0984 2.0238 2.6200 0.0475 0.0111
Mid Cap. Dividend Increase along with financial results @20% Mid Cap. Dividend Decrease along with financial results @20%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0028 0.0028 0.2269 0.0673 0.8213 0.9466 Events are insufficient for final study.
-29 0.0038 0.0065 0.3088 0.1588 0.7585 0.8743
-28 0.0106 0.0171 0.8696 0.4167 0.3880 0.6784
-27 0.0278 0.0449 2.2930 1.0966 0.0254 0.2772
-26 0.0086 0.0535 0.7106 1.3073 0.4801 0.1961
-25 -0.0144 0.0392 -1.1821 0.9568 0.2418 0.3425
-24 0.0140 0.0532 1.1503 1.2978 0.2546 0.1993
-23 -0.0107 0.0424 -0.8837 1.0358 0.3804 0.3045
-22 -0.0075 0.0349 -0.6170 0.8529 0.5396 0.3971
-21 0.0247 0.0596 2.0328 1.4556 0.0465 0.1507
-20 0.0019 0.0615 0.1587 1.5026 0.8745 0.1382
-19 0.0101 0.0716 0.8278 1.7481 0.4110 0.0856
-18 0.0070 0.0786 0.5782 1.9195 0.5653 0.0597
-17 0.0133 0.0920 1.0975 2.2449 0.2768 0.0285
-16 0.0015 0.0934 0.1203 2.2806 0.9046 0.0261
-15 -0.0148 0.0786 -1.2186 1.9193 0.2278 0.0597
-14 -0.0015 0.0771 -0.1222 1.8831 0.9031 0.0645
-13 -0.0046 0.0726 -0.3751 1.7718 0.7089 0.0815
-12 -0.0122 0.0603 -1.0068 1.4733 0.3181 0.1459
-11 0.0015 0.0619 0.1261 1.5107 0.9000 0.1361
-10 0.0087 0.0706 0.7185 1.7238 0.4753 0.0899
-9 0.0167 0.0873 1.3743 2.1312 0.1745 0.0372
-8 0.0043 0.0916 0.3532 2.2359 0.7252 0.0291
-7 0.0025 0.0941 0.2059 2.2970 0.8375 0.0251
-6 -0.0055 0.0886 -0.4558 2.1619 0.6502 0.0346
-5 0.0096 0.0982 0.7904 2.3962 0.4324 0.0197
-4 0.0168 0.1149 1.3831 2.8063 0.1718 0.0067
-3 -0.0103 0.1047 -0.8474 2.5550 0.4001 0.0132
-2 -0.0153 0.0894 -1.2561 2.1826 0.2139 0.0330
-1 0.0017 0.0911 0.1437 2.2252 0.8863 0.0298
APPENDICES
224
0 -0.0087 0.0825 -0.7128 2.0138 0.4787 0.0485
1 0.0100 0.0925 0.8266 2.2589 0.4117 0.0275
2 0.0129 0.1054 1.0611 2.5735 0.2929 0.0126
3 0.0011 0.1065 0.0879 2.5996 0.9302 0.0117
4 0.0246 0.1311 2.0243 3.1998 0.0474 0.0022
5 -0.0028 0.1282 -0.2334 3.1306 0.8163 0.0027
6 -0.0283 0.1000 -2.3269 2.4407 0.0234 0.0176
7 -0.0033 0.0966 -0.2746 2.3592 0.7846 0.0216
8 -0.0207 0.0759 -1.7048 1.8537 0.0934 0.0687
9 -0.0143 0.0616 -1.1785 1.5043 0.2433 0.1377
10 -0.0195 0.0421 -1.6086 1.0274 0.1130 0.3084
11 0.0039 0.0460 0.3219 1.1228 0.7486 0.2660
12 -0.0197 0.0263 -1.6250 0.6410 0.1094 0.5240
13 -0.0108 0.0155 -0.8877 0.3778 0.3782 0.7069
14 -0.0107 0.0048 -0.8817 0.1164 0.3815 0.9077
15 -0.0052 -0.0004 -0.4244 -0.0095 0.6728 0.9925
16 -0.0112 -0.0116 -0.9233 -0.2832 0.3596 0.7780
17 0.0164 0.0048 1.3466 0.1161 0.1832 0.9080
18 0.0013 0.0060 0.1033 0.1467 0.9181 0.8839
19 -0.0032 0.0028 -0.2602 0.0695 0.7956 0.9448
20 -0.0069 -0.0041 -0.5689 -0.0992 0.5715 0.9213
21 0.0093 0.0052 0.7623 0.1269 0.4489 0.8995
22 0.0074 0.0126 0.6071 0.3069 0.5461 0.7600
23 -0.0132 -0.0006 -1.0861 -0.0151 0.2818 0.9880
24 -0.0064 -0.0071 -0.5295 -0.1721 0.5984 0.8639
25 0.0112 0.0041 0.9217 0.1011 0.3604 0.9198
26 -0.0042 -0.0001 -0.3467 -0.0017 0.7300 0.9987
27 -0.0012 -0.0013 -0.1000 -0.0313 0.9207 0.9751
28 -0.0032 -0.0045 -0.2636 -0.1095 0.7930 0.9132
29 0.0171 0.0126 1.4054 0.3072 0.1650 0.7597
30 0.0120 0.0246 0.9886 0.6003 0.3268 0.5505
Small Cap. Dividend Increase along with financial results @20% Small Cap. Dividend Decrease along with financial results @20%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
APPENDICES
225
-30 -0.0032 -0.0032 -0.2706 -0.0906 0.7877 0.9281 -0.0096 -0.0096 -0.7029 -0.1548 0.4849 0.8775
-29 -0.0067 -0.0099 -0.5706 -0.2818 0.5704 0.7791 0.0132 0.0036 0.9666 0.0581 0.3376 0.9539
-28 -0.0047 -0.0146 -0.4008 -0.4160 0.6900 0.6789 -0.0059 -0.0023 -0.4297 -0.0366 0.6689 0.9710
-27 -0.0032 -0.0179 -0.2753 -0.5082 0.7840 0.6132 -0.0004 -0.0027 -0.0298 -0.0431 0.9764 0.9658
-26 -0.0085 -0.0264 -0.7237 -0.7506 0.4720 0.4558 0.0063 0.0036 0.4617 0.0586 0.6459 0.9535
-25 0.0011 -0.0253 0.0940 -0.7192 0.9254 0.4748 0.0173 0.0210 1.2670 0.3376 0.2100 0.7368
-24 0.0096 -0.0157 0.8130 -0.4468 0.4194 0.6566 -0.0004 0.0205 -0.0301 0.3310 0.9761 0.7418
-23 0.0038 -0.0119 0.3219 -0.3390 0.7487 0.7358 -0.0214 -0.0008 -1.5625 -0.0131 0.1234 0.9896
-22 -0.0055 -0.0174 -0.4706 -0.4967 0.6396 0.6213 0.0133 0.0125 0.9751 0.2016 0.3334 0.8409
-21 0.0048 -0.0127 0.4072 -0.3603 0.6853 0.7199 -0.0018 0.0107 -0.1320 0.1726 0.8954 0.8636
-20 -0.0038 -0.0165 -0.3261 -0.4695 0.7455 0.6404 0.0083 0.0190 0.6064 0.3061 0.5466 0.7606
-19 0.0036 -0.0129 0.3021 -0.3683 0.7636 0.7139 0.0012 0.0202 0.0909 0.3261 0.9278 0.7455
-18 -0.0073 -0.0203 -0.6246 -0.5775 0.5346 0.5658 -0.0005 0.0198 -0.0329 0.3189 0.9738 0.7509
-17 -0.0096 -0.0299 -0.8145 -0.8503 0.4186 0.3985 -0.0118 0.0080 -0.8645 0.1285 0.3908 0.8982
-16 0.0092 -0.0207 0.7818 -0.5885 0.4374 0.5584 0.0216 0.0296 1.5831 0.4771 0.1187 0.6350
-15 0.0071 -0.0136 0.6005 -0.3873 0.5504 0.6999 0.0058 0.0354 0.4209 0.5698 0.6753 0.5709
-14 0.0085 -0.0051 0.7256 -0.1443 0.4709 0.8858 -0.0248 0.0105 -1.8164 0.1698 0.0743 0.8657
-13 0.0039 -0.0011 0.3336 -0.0325 0.7398 0.9742 0.0384 0.0489 2.8090 0.7884 0.0067 0.4335
-12 0.0063 0.0051 0.5339 0.1463 0.5954 0.8842 -0.0015 0.0474 -0.1102 0.7642 0.9126 0.4478
-11 0.0019 0.0070 0.1599 0.1999 0.8735 0.8423 0.0061 0.0535 0.4455 0.8623 0.6575 0.3920
-10 0.0023 0.0093 0.1939 0.2648 0.8469 0.7921 0.0058 0.0593 0.4212 0.9550 0.6751 0.3434
-9 0.0015 0.0108 0.1276 0.3075 0.8989 0.7595 -0.0106 0.0487 -0.7771 0.7839 0.4402 0.4362
-8 -0.0016 0.0092 -0.1352 0.2623 0.8929 0.7940 0.0042 0.0528 0.3056 0.8512 0.7609 0.3980
-7 0.0080 0.0173 0.6839 0.4913 0.4967 0.6250 0.0123 0.0652 0.9021 1.0499 0.3706 0.2980
-6 -0.0056 0.0117 -0.4748 0.3323 0.6367 0.7408 -0.0156 0.0496 -1.1396 0.7989 0.2590 0.4275
-5 -0.0033 0.0083 -0.2836 0.2373 0.7777 0.8132 0.0092 0.0588 0.6713 0.9468 0.5046 0.3476
-4 -0.0127 -0.0044 -1.0835 -0.1256 0.2829 0.9005 -0.0150 0.0438 -1.0977 0.7050 0.2767 0.4835
-3 0.0110 0.0066 0.9326 0.1868 0.3548 0.8525 -0.0024 0.0414 -0.1727 0.6670 0.8635 0.5073
-2 0.0137 0.0203 1.1640 0.5767 0.2490 0.5663 0.0094 0.0508 0.6902 0.8190 0.4927 0.4160
-1 0.0019 0.0221 0.1588 0.6299 0.8744 0.5312 0.0244 0.0752 1.7819 1.2114 0.0798 0.2305
0 0.0139 0.0360 1.1797 1.0250 0.2428 0.3095 -0.0207 0.0545 -1.5159 0.8776 0.1348 0.3837
1 0.0238 0.0598 2.0201 1.7016 0.0478 0.0940 0.0155 0.0700 1.1367 1.1279 0.2602 0.2638
2 0.0125 0.0723 1.0663 2.0588 0.2906 0.0439 -0.0067 0.0633 -0.4878 1.0205 0.6275 0.3116
3 -0.0017 0.0706 -0.1449 2.0103 0.8853 0.0489 0.0139 0.0773 1.0203 1.2452 0.3117 0.2179
APPENDICES
226
4 0.0080 0.0786 0.6768 2.2370 0.5011 0.0290 0.0105 0.0878 0.7657 1.4138 0.4469 0.1626
5 -0.0019 0.0767 -0.1630 2.1824 0.8711 0.0330 0.0196 0.1073 1.4304 1.7288 0.1578 0.0890
6 -0.0044 0.0722 -0.3774 2.0560 0.7072 0.0441 0.0251 0.1324 1.8376 2.1335 0.0711 0.0370
7 -0.0002 0.0720 -0.0212 2.0489 0.9832 0.0449 0.0003 0.1327 0.0228 2.1385 0.9819 0.0366
8 0.0144 0.0863 1.2211 2.4579 0.2268 0.0169 -0.0150 0.1177 -1.1000 1.8963 0.2757 0.0627
9 -0.0001 0.0863 -0.0066 2.4557 0.9948 0.0170 0.0077 0.1254 0.5599 2.0196 0.5776 0.0479
10 -0.0116 0.0746 -0.9895 2.1242 0.3264 0.0378 0.0040 0.1294 0.2925 2.0840 0.7709 0.0414
11 -0.0003 0.0743 -0.0287 2.1146 0.9772 0.0386 0.0199 0.1493 1.4560 2.4047 0.1506 0.0193
12 0.0025 0.0768 0.2106 2.1851 0.8339 0.0328 -0.0157 0.1335 -1.1502 2.1514 0.2546 0.0355
13 0.0057 0.0825 0.4841 2.3473 0.6301 0.0222 -0.0124 0.1211 -0.9085 1.9513 0.3672 0.0557
14 -0.0707 0.0117 -6.0101 0.3342 0.0000 0.7394 0.0207 0.1419 1.5179 2.2856 0.1343 0.0258
15 0.0044 0.0161 0.3734 0.4593 0.7102 0.6477 -0.0007 0.1411 -0.0536 2.2738 0.9574 0.0266
16 0.0075 0.0236 0.6346 0.6718 0.5281 0.5043 0.0037 0.1449 0.2724 2.3338 0.7862 0.0230
17 0.0152 0.0388 1.2926 1.1048 0.2011 0.2737 -0.0031 0.1418 -0.2234 2.2846 0.8240 0.0259
18 -0.0024 0.0364 -0.2030 1.0368 0.8398 0.3040 0.0101 0.1519 0.7355 2.4466 0.4649 0.0174
19 0.0095 0.0459 0.8079 1.3074 0.4224 0.1961 -0.0039 0.1479 -0.2861 2.3835 0.7758 0.0203
20 0.0057 0.0516 0.4809 1.4685 0.6323 0.1472 0.0208 0.1688 1.5245 2.7193 0.1326 0.0085
21 -0.0021 0.0495 -0.1767 1.4092 0.8603 0.1639 -0.0070 0.1618 -0.5112 2.6067 0.6111 0.0115
22 0.0029 0.0524 0.2476 1.4922 0.8053 0.1409 -0.0093 0.1525 -0.6811 2.4567 0.4985 0.0169
23 -0.0019 0.0505 -0.1620 1.4379 0.8718 0.1557 0.0044 0.1569 0.3231 2.5279 0.7477 0.0141
24 -0.0084 0.0421 -0.7169 1.1978 0.4762 0.2357 0.0057 0.1626 0.4187 2.6201 0.6769 0.0111
25 0.0030 0.0451 0.2529 1.2825 0.8012 0.2046 0.0117 0.1744 0.8582 2.8091 0.3942 0.0067
26 -0.0016 0.0435 -0.1338 1.2377 0.8940 0.2206 -0.0116 0.1627 -0.8499 2.6219 0.3988 0.0111
27 0.0025 0.0459 0.2086 1.3076 0.8355 0.1960 -0.0092 0.1535 -0.6748 2.4733 0.5024 0.0162
28 -0.0023 0.0436 -0.1981 1.2412 0.8436 0.2194 0.0088 0.1623 0.6454 2.6155 0.5212 0.0113
29 0.0006 0.0442 0.0533 1.2591 0.9577 0.2129 0.0357 0.1980 2.6089 3.1900 0.0114 0.0023
30 0.0083 0.0525 0.7066 1.4957 0.4826 0.1400 0.0160 0.2140 1.1684 3.4474 0.2473 0.0010
APPENDICES
227
Appendix 4.4: Calculated AAR, CAAR and corresponding t-values and p- values associated with 25% dividend increase/decrease
decisions along with declaration of financial results based on GARCH Model:
Large Cap. Dividend Increase along with financial results @25% Large Cap. Dividend Decrease along with financial results @25%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0077 -0.0077 -1.8489 -0.7890 0.0694 0.4332 -0.0011 -0.0011 -0.1942 -0.0495 0.8467 0.9607
-29 -0.0002 -0.0079 -0.0502 -0.8104 0.9602 0.4209 0.0144 0.0132 2.4498 0.5745 0.0172 0.5678
-28 0.0045 -0.0035 1.0716 -0.3531 0.2882 0.7252 0.0011 0.0143 0.1793 0.6202 0.8583 0.5375
-27 0.0035 0.0001 0.8469 0.0083 0.4004 0.9934 -0.0093 0.0050 -1.5890 0.2154 0.1173 0.8302
-26 0.0041 0.0041 0.9676 0.4212 0.3371 0.6751 -0.0006 0.0043 -0.1103 0.1874 0.9126 0.8520
-25 0.0037 0.0079 0.8902 0.8010 0.3769 0.4263 0.0057 0.0101 0.9785 0.4366 0.3317 0.6640
-24 -0.0028 0.0051 -0.6659 0.5169 0.5080 0.6071 0.0063 0.0163 1.0668 0.7083 0.2903 0.4815
-23 0.0010 0.0061 0.2382 0.6185 0.8126 0.5386 -0.0054 0.0109 -0.9138 0.4756 0.3645 0.6361
-22 0.0046 0.0107 1.0956 1.0860 0.2776 0.2818 0.0069 0.0179 1.1836 0.7770 0.2412 0.4402
-21 0.0075 0.0182 1.8015 1.8548 0.0767 0.0685 -0.0004 0.0175 -0.0700 0.7592 0.9445 0.4507
-20 -0.0014 0.0168 -0.3436 1.7082 0.7323 0.0928 0.0019 0.0194 0.3314 0.8436 0.7415 0.4022
-19 0.0049 0.0217 1.1794 2.2114 0.2429 0.0308 -0.0036 0.0158 -0.6195 0.6858 0.5380 0.4954
-18 -0.0029 0.0188 -0.6842 1.9195 0.4965 0.0597 -0.0123 0.0035 -2.0988 0.1513 0.0400 0.8803
-17 -0.0011 0.0177 -0.2621 1.8076 0.7941 0.0757 -0.0026 0.0009 -0.4376 0.0398 0.6633 0.9684
-16 0.0021 0.0198 0.4947 2.0187 0.6226 0.0480 -0.0028 -0.0019 -0.4752 -0.0812 0.6364 0.9355
-15 0.0000 0.0198 0.0117 2.0237 0.9907 0.0475 -0.0020 -0.0039 -0.3457 -0.1693 0.7308 0.8662
-14 0.0056 0.0254 1.3369 2.5942 0.1863 0.0119 -0.0021 -0.0060 -0.3616 -0.2614 0.7189 0.7947
-13 -0.0065 0.0189 -1.5632 1.9271 0.1233 0.0587 0.0073 0.0013 1.2435 0.0554 0.2185 0.9560
-12 -0.0001 0.0188 -0.0282 1.9151 0.9776 0.0603 0.0085 0.0097 1.4446 0.4233 0.1538 0.6736
-11 -0.0001 0.0186 -0.0354 1.9000 0.9719 0.0622 -0.0019 0.0078 -0.3317 0.3388 0.7413 0.7359
-10 -0.0022 0.0164 -0.5224 1.6771 0.6033 0.0987 0.0003 0.0081 0.0559 0.3530 0.9556 0.7253
-9 -0.0014 0.0150 -0.3425 1.5309 0.7332 0.1310 -0.0096 -0.0015 -1.6412 -0.0650 0.1060 0.9484
-8 -0.0037 0.0113 -0.8895 1.1513 0.3773 0.2542 0.0017 0.0002 0.2943 0.0100 0.7695 0.9921
-7 -0.0005 0.0108 -0.1093 1.1047 0.9133 0.2737 0.0012 0.0015 0.2100 0.0635 0.8344 0.9496
-6 0.0029 0.0137 0.6853 1.3971 0.4958 0.1675 -0.0015 -0.0001 -0.2631 -0.0035 0.7934 0.9972
-5 -0.0030 0.0107 -0.7164 1.0914 0.4766 0.2794 -0.0051 -0.0052 -0.8754 -0.2265 0.3848 0.8216
-4 -0.0024 0.0083 -0.5645 0.8505 0.5745 0.3984 0.0021 -0.0031 0.3666 -0.1331 0.7152 0.8945
APPENDICES
228
-3 -0.0049 0.0035 -1.1608 0.3552 0.2503 0.7237 0.0000 -0.0031 -0.0079 -0.1352 0.9937 0.8929
-2 0.0007 0.0042 0.1692 0.4274 0.8662 0.6706 -0.0080 -0.0111 -1.3704 -0.4842 0.1757 0.6300
-1 0.0026 0.0068 0.6232 0.6934 0.5355 0.4908 -0.0056 -0.0167 -0.9524 -0.7268 0.3447 0.4702
0 -0.0069 -0.0001 -1.6373 -0.0053 0.1068 0.9958 0.0070 -0.0098 1.1866 -0.4245 0.2400 0.6727
1 -0.0058 -0.0058 -1.3766 -0.5927 0.1738 0.5556 -0.0053 -0.0150 -0.8957 -0.6527 0.3740 0.5165
2 -0.0008 -0.0066 -0.1993 -0.6778 0.8427 0.5005 0.0039 -0.0112 0.6586 -0.4849 0.5127 0.6295
3 0.0044 -0.0023 1.0425 -0.2329 0.3014 0.8166 -0.0001 -0.0112 -0.0087 -0.4871 0.9931 0.6279
4 0.0007 -0.0016 0.1602 -0.1646 0.8733 0.8698 -0.0031 -0.0143 -0.5281 -0.6216 0.5994 0.5365
5 0.0045 0.0028 1.0645 0.2897 0.2914 0.7731 0.0030 -0.0114 0.5035 -0.4934 0.6165 0.6235
6 0.0098 0.0126 2.3418 1.2890 0.0225 0.2024 0.0070 -0.0043 1.1984 -0.1882 0.2355 0.8514
7 -0.0024 0.0102 -0.5739 1.0441 0.5682 0.3006 0.0040 -0.0003 0.6886 -0.0128 0.4937 0.9898
8 0.0020 0.0122 0.4754 1.2469 0.6362 0.2173 0.0051 0.0048 0.8681 0.2083 0.3888 0.8357
9 -0.0005 0.0117 -0.1228 1.1945 0.9027 0.2370 0.0008 0.0056 0.1316 0.2418 0.8957 0.8097
10 -0.0023 0.0094 -0.5509 0.9594 0.5837 0.3412 0.0093 0.0149 1.5832 0.6451 0.1186 0.5213
11 -0.0027 0.0067 -0.6466 0.6835 0.5204 0.4969 0.0085 0.0234 1.4540 1.0154 0.1511 0.3140
12 0.0012 0.0079 0.2877 0.8063 0.7746 0.4233 -0.0093 0.0141 -1.5861 0.6114 0.1180 0.5432
13 0.0006 0.0085 0.1457 0.8685 0.8847 0.3886 0.0056 0.0197 0.9608 0.8561 0.3405 0.3953
14 -0.0044 0.0041 -1.0526 0.4193 0.2967 0.6765 0.0079 0.0277 1.3540 1.2010 0.1808 0.2345
15 -0.0050 -0.0009 -1.2041 -0.0945 0.2333 0.9250 -0.0067 0.0209 -1.1470 0.9088 0.2559 0.3671
16 0.0016 0.0007 0.3774 0.0665 0.7072 0.9472 -0.0023 0.0186 -0.3883 0.8099 0.6992 0.4212
17 0.0026 0.0032 0.6183 0.3303 0.5387 0.7423 0.0077 0.0264 1.3205 1.1463 0.1917 0.2562
18 0.0027 0.0059 0.6422 0.6044 0.5232 0.5479 -0.0017 0.0246 -0.2977 1.0704 0.7669 0.2887
19 -0.0065 -0.0006 -1.5572 -0.0601 0.1247 0.9523 0.0072 0.0319 1.2301 1.3837 0.2235 0.1716
20 -0.0064 -0.0070 -1.5212 -0.7093 0.1335 0.4809 0.0024 0.0343 0.4113 1.4885 0.6824 0.1419
21 -0.0075 -0.0145 -1.7969 -1.4760 0.0774 0.1452 0.0151 0.0493 2.5677 2.1425 0.0127 0.0362
22 -0.0036 -0.0181 -0.8546 -1.8407 0.3962 0.0706 0.0043 0.0536 0.7338 2.3294 0.4660 0.0232
23 0.0091 -0.0090 2.1677 -0.9157 0.0342 0.3635 -0.0002 0.0535 -0.0271 2.3225 0.9785 0.0236
24 -0.0020 -0.0110 -0.4811 -1.1210 0.6322 0.2668 0.0078 0.0613 1.3366 2.6629 0.1864 0.0099
25 0.0042 -0.0068 1.0003 -0.6942 0.3212 0.4903 0.0025 0.0638 0.4236 2.7708 0.6734 0.0074
26 -0.0002 -0.0070 -0.0576 -0.7187 0.9543 0.4751 -0.0003 0.0635 -0.0525 2.7574 0.9583 0.0077
27 0.0070 -0.0001 1.6701 -0.0061 0.1001 0.9952 -0.0015 0.0620 -0.2495 2.6939 0.8038 0.0091
28 0.0059 0.0058 1.4033 0.5927 0.1657 0.5556 0.0021 0.0641 0.3524 2.7836 0.7258 0.0072
29 -0.0024 0.0034 -0.5653 0.3515 0.5740 0.7264 -0.0084 0.0557 -1.4282 2.4199 0.1584 0.0186
30 -0.0023 0.0011 -0.5576 0.1136 0.5792 0.9099 0.0055 0.0613 0.9452 2.6606 0.3483 0.0100
Mid Cap. Dividend Increase along with financial results @25% Mid. Cap. Dividend Decrease along with financial results @25%
APPENDICES
229
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0033 0.0033 0.3796 0.0577 0.7056 0.9541 0.0172 0.0172 1.3719 0.2431 0.1752 0.8088
-29 0.0090 0.0123 1.0318 0.2147 0.3063 0.8307 0.0016 0.0188 0.1280 0.2658 0.8986 0.7913
-28 0.0045 0.0167 0.5169 0.2933 0.6071 0.7703 -0.0116 0.0072 -0.9220 0.1024 0.3602 0.9188
-27 -0.0023 0.0145 -0.2600 0.2538 0.7958 0.8005 0.0188 0.0261 1.5020 0.3686 0.1383 0.7138
-26 0.0065 0.0210 0.7468 0.3674 0.4581 0.7146 0.0113 0.0373 0.8989 0.5278 0.3723 0.5996
-25 0.0116 0.0325 1.3306 0.5698 0.1884 0.5709 0.0243 0.0617 1.9407 0.8717 0.0570 0.3868
-24 -0.0006 0.0319 -0.0696 0.5592 0.9448 0.5781 0.0299 0.0916 2.3893 1.2951 0.0200 0.2003
-23 0.0008 0.0328 0.0973 0.5740 0.9228 0.5681 0.0009 0.0925 0.0687 1.3072 0.9455 0.1961
-22 0.0091 0.0418 1.0433 0.7327 0.3010 0.4666 -0.0055 0.0870 -0.4361 1.2300 0.6643 0.2235
-21 0.0128 0.0546 1.4766 0.9573 0.1450 0.3422 -0.0022 0.0847 -0.1791 1.1982 0.8585 0.2355
-20 -0.0015 0.0531 -0.1754 0.9307 0.8614 0.3558 -0.0011 0.0837 -0.0862 1.1830 0.9316 0.2415
-19 -0.0064 0.0467 -0.7366 0.8186 0.4642 0.4162 0.0070 0.0906 0.5547 1.2812 0.5811 0.2050
-18 0.0061 0.0528 0.7036 0.9256 0.4844 0.3583 0.0055 0.0961 0.4402 1.3592 0.6614 0.1792
-17 0.0013 0.0542 0.1553 0.9493 0.8771 0.3463 0.0257 0.1219 2.0546 1.7233 0.0443 0.0900
-16 0.0143 0.0685 1.6523 1.2006 0.1037 0.2346 0.0086 0.1305 0.6891 1.8454 0.4934 0.0699
-15 0.0033 0.0718 0.3828 1.2588 0.7032 0.2130 -0.0078 0.1227 -0.6262 1.7344 0.5336 0.0880
-14 0.0045 0.0763 0.5139 1.3370 0.6092 0.1863 -0.0050 0.1177 -0.3955 1.6644 0.6939 0.1013
-13 0.0193 0.0956 2.2227 1.6752 0.0300 0.0991 -0.0275 0.0902 -2.1939 1.2756 0.0321 0.2070
-12 0.0189 0.1145 2.1729 2.0057 0.0337 0.0494 -0.0054 0.0848 -0.4332 1.1989 0.6664 0.2353
-11 0.0177 0.1321 2.0347 2.3152 0.0463 0.0240 0.0098 0.0946 0.7806 1.3372 0.4381 0.1862
-10 -0.0181 0.1140 -2.0876 1.9976 0.0411 0.0503 0.0058 0.1004 0.4617 1.4190 0.6460 0.1611
-9 0.0024 0.1164 0.2725 2.0391 0.7862 0.0459 -0.0036 0.0968 -0.2837 1.3687 0.7776 0.1762
-8 0.0010 0.1174 0.1166 2.0568 0.9076 0.0441 0.0047 0.1015 0.3743 1.4350 0.7095 0.1565
-7 0.0204 0.1378 2.3521 2.4146 0.0220 0.0188 0.0078 0.1093 0.6226 1.5454 0.5359 0.1275
-6 0.0192 0.1570 2.2102 2.7508 0.0309 0.0078 0.0171 0.1264 1.3664 1.7875 0.1769 0.0789
-5 -0.0103 0.1466 -1.1914 2.5696 0.2382 0.0127 0.0221 0.1485 1.7643 2.1001 0.0828 0.0399
-4 0.0205 0.1671 2.3583 2.9283 0.0216 0.0048 -0.0024 0.1461 -0.1914 2.0662 0.8489 0.0431
-3 0.0049 0.1721 0.5689 3.0149 0.5716 0.0038 0.0031 0.1492 0.2452 2.1096 0.8072 0.0391
-2 -0.0053 0.1667 -0.6147 2.9214 0.5411 0.0049 0.0144 0.1636 1.1479 2.3131 0.2555 0.0242
-1 -0.0017 0.1650 -0.1947 2.8917 0.8462 0.0053 0.0199 0.1835 1.5865 2.5942 0.1179 0.0119
0 0.0032 0.1683 0.3727 2.9484 0.7107 0.0045 -0.0034 0.1801 -0.2693 2.5465 0.7887 0.0135
1 -0.0103 0.1580 -1.1878 2.7678 0.2396 0.0075 0.0164 0.1965 1.3106 2.7787 0.1950 0.0073
APPENDICES
230
2 0.0050 0.1630 0.5792 2.8559 0.5646 0.0059 -0.0115 0.1850 -0.9175 2.6161 0.3625 0.0112
3 -0.0013 0.1617 -0.1451 2.8338 0.8851 0.0063 -0.0138 0.1712 -1.0998 2.4212 0.2758 0.0185
4 -0.0008 0.1610 -0.0874 2.8205 0.9306 0.0065 -0.0077 0.1636 -0.6126 2.3127 0.5424 0.0242
5 -0.0061 0.1549 -0.7008 2.7139 0.4862 0.0087 0.0104 0.1740 0.8329 2.4603 0.4082 0.0168
6 -0.0001 0.1548 -0.0134 2.7119 0.9893 0.0087 0.0057 0.1797 0.4584 2.5415 0.6483 0.0136
7 0.0054 0.1601 0.6177 2.8058 0.5391 0.0068 0.0193 0.1990 1.5387 2.8141 0.1291 0.0066
8 -0.0052 0.1549 -0.6037 2.7140 0.5483 0.0087 -0.0181 0.1810 -1.4414 2.5587 0.1547 0.0130
9 -0.0040 0.1509 -0.4652 2.6432 0.6435 0.0105 0.0232 0.2042 1.8525 2.8870 0.0689 0.0054
10 -0.0029 0.1480 -0.3338 2.5924 0.7397 0.0120 -0.0080 0.1962 -0.6361 2.7743 0.5272 0.0074
11 0.0067 0.1547 0.7754 2.7104 0.4412 0.0087 -0.0047 0.1915 -0.3780 2.7073 0.7067 0.0088
12 0.0049 0.1596 0.5695 2.7970 0.5711 0.0069 0.0026 0.1941 0.2089 2.7443 0.8353 0.0080
13 -0.0023 0.1574 -0.2618 2.7572 0.7943 0.0077 -0.0064 0.1877 -0.5088 2.6542 0.6128 0.0102
14 0.0016 0.1589 0.1804 2.7846 0.8574 0.0072 0.0244 0.2121 1.9470 2.9992 0.0562 0.0039
15 0.0059 0.1648 0.6793 2.8880 0.4995 0.0054 0.0027 0.2148 0.2179 3.0378 0.8283 0.0035
16 -0.0146 0.1503 -1.6772 2.6329 0.0987 0.0108 0.0065 0.2214 0.5225 3.1303 0.6033 0.0027
17 -0.0030 0.1473 -0.3431 2.5807 0.7327 0.0123 0.0218 0.2432 1.7434 3.4393 0.0864 0.0011
18 0.0060 0.1532 0.6865 2.6851 0.4950 0.0094 -0.0050 0.2383 -0.3968 3.3690 0.6929 0.0013
19 0.0049 0.1581 0.5610 2.7704 0.5769 0.0074 0.0105 0.2488 0.8395 3.5177 0.4045 0.0008
20 0.0247 0.1828 2.8405 3.2025 0.0061 0.0022 -0.0075 0.2413 -0.5985 3.4117 0.5517 0.0012
21 0.0024 0.1852 0.2796 3.2451 0.7808 0.0019 -0.0083 0.2329 -0.6656 3.2937 0.5082 0.0017
22 -0.0035 0.1817 -0.4013 3.1840 0.6896 0.0023 -0.0097 0.2233 -0.7704 3.1572 0.4441 0.0025
23 0.0063 0.1881 0.7301 3.2951 0.4682 0.0017 0.0026 0.2259 0.2049 3.1935 0.8383 0.0022
24 -0.0065 0.1815 -0.7523 3.1806 0.4548 0.0023 -0.0062 0.2196 -0.4982 3.1053 0.6201 0.0029
25 -0.0041 0.1774 -0.4691 3.1093 0.6407 0.0029 0.0032 0.2228 0.2575 3.1509 0.7977 0.0025
26 0.0004 0.1779 0.0499 3.1169 0.9603 0.0028 0.0078 0.2306 0.6187 3.2605 0.5385 0.0018
27 -0.0061 0.1717 -0.7072 3.0093 0.4822 0.0038 0.0142 0.2447 1.1292 3.4606 0.2633 0.0010
28 0.0060 0.1778 0.6962 3.1152 0.4890 0.0028 0.0297 0.2745 2.3719 3.8809 0.0209 0.0003
29 0.0019 0.1797 0.2212 3.1488 0.8257 0.0026 0.0081 0.2826 0.6451 3.9952 0.5213 0.0002
30 0.0043 0.1840 0.4902 3.2234 0.6258 0.0021 -0.0047 0.2779 -0.3718 3.9293 0.7113 0.0002
Small Cap. Dividend Increase along with financial results @25% Small Cap. Dividend Decrease along with financial results @25%
Days AAR
CAA
R
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0085 0.0085 1.7392 0.3122 0.0871 0.7560 0.0075 0.0075 1.0276 0.4750 0.3083 0.6365
-29 -0.0018 0.0066 -0.3758 0.2448 0.7084 0.8075 0.0033 0.0108 0.4551 0.6853 0.6506 0.4958
APPENDICES
231
-28 0.0018 0.0085 0.3754 0.3121 0.7087 0.7560 0.0163 0.0271 2.2427 1.7219 0.0286 0.0902
-27 0.0003 0.0088 0.0617 0.3232 0.9510 0.7477 0.0012 0.0283 0.1701 1.8005 0.8655 0.0768
-26 0.0021 0.0109 0.4301 0.4004 0.6686 0.6903 0.0102 0.0385 1.4055 2.4501 0.1650 0.0172
-25 -0.0041 0.0068 -0.8425 0.2492 0.4029 0.8041 -0.0095 0.0290 -1.3082 1.8455 0.1958 0.0699
-24 -0.0102
-
0.0035 -2.1014 -0.1281 0.0398 0.8985 -0.0057 0.0233 -0.7902 1.4803 0.4325 0.1440
-23 -0.0045
-
0.0080 -0.9344 -0.2958 0.3538 0.7684 0.0057 0.0289 0.7800 1.8408 0.4385 0.0706
-22 0.0008
-
0.0073 0.1559 -0.2678 0.8766 0.7898 -0.0050 0.0240 -0.6858 1.5238 0.4955 0.1328
-21 0.0013
-
0.0060 0.2626 -0.2207 0.7938 0.8261 0.0009 0.0248 0.1182 1.5785 0.9063 0.1197
-20 -0.0005
-
0.0065 -0.1075 -0.2400 0.9148 0.8112 -0.0098 0.0150 -1.3512 0.9539 0.1817 0.3439
-19 0.0048
-
0.0017 0.9895 -0.0623 0.3264 0.9505 -0.0033 0.0117 -0.4493 0.7463 0.6549 0.4584
-18 -0.0004
-
0.0021 -0.0861 -0.0778 0.9317 0.9383 -0.0036 0.0082 -0.4915 0.5191 0.6248 0.6056
-17 -0.0013
-
0.0034 -0.2635 -0.1251 0.7931 0.9009 0.0112 0.0194 1.5442 1.2329 0.1278 0.2224
-16 0.0099 0.0065 2.0409 0.2413 0.0457 0.8102 0.0124 0.0318 1.7053 2.0210 0.0933 0.0477
-15 -0.0004 0.0061 -0.0827 0.2264 0.9344 0.8216 0.0051 0.0368 0.6967 2.3431 0.4887 0.0225
-14 -0.0030 0.0031 -0.6202 0.1151 0.5375 0.9087 0.0004 0.0372 0.0502 2.3663 0.9602 0.0212
-13 0.0011 0.0043 0.2332 0.1570 0.8164 0.8758 0.0004 0.0376 0.0579 2.3930 0.9540 0.0199
-12 0.0010 0.0052 0.1963 0.1922 0.8450 0.8482 -0.0119 0.0258 -1.6322 1.6386 0.1079 0.1065
-11 -0.0076
-
0.0024 -1.5618 -0.0882 0.1236 0.9301 0.0106 0.0364 1.4598 2.3133 0.1496 0.0241
-10 0.0001
-
0.0023 0.0205 -0.0845 0.9837 0.9330 0.0023 0.0387 0.3168 2.4597 0.7525 0.0168
-9 0.0034 0.0011 0.6963 0.0405 0.4889 0.9678 0.0022 0.0409 0.3073 2.6018 0.7596 0.0117
-8 0.0103 0.0114 2.1191 0.4209 0.0382 0.6753 0.0020 0.0430 0.2816 2.7319 0.7792 0.0083
-7 0.0043 0.0157 0.8745 0.5779 0.3854 0.5655 0.0023 0.0453 0.3177 2.8788 0.7518 0.0055
-6 0.0043 0.0200 0.8917 0.7380 0.3761 0.4634 0.0003 0.0455 0.0345 2.8947 0.9726 0.0053
-5 0.0044 0.0244 0.9031 0.9001 0.3701 0.3717 0.0016 0.0471 0.2191 2.9960 0.8273 0.0040
-4 0.0096 0.0340 1.9626 1.2524 0.0543 0.2153 0.0007 0.0478 0.0971 3.0408 0.9230 0.0035
APPENDICES
232
-3 -0.0014 0.0326 -0.2819 1.2018 0.7790 0.2341 -0.0008 0.0470 -0.1068 2.9915 0.9153 0.0040
-2 0.0037 0.0363 0.7584 1.3380 0.4512 0.1860 0.0005 0.0475 0.0625 3.0204 0.9504 0.0037
-1 0.0082 0.0445 1.6888 1.6411 0.0965 0.1060 -0.0062 0.0413 -0.8563 2.6246 0.3952 0.0110
0 0.0043 0.0488 0.8752 1.7982 0.3850 0.0772 0.0141 0.0554 1.9409 3.5217 0.0570 0.0008
1 0.0126 0.0614 2.5981 2.2646 0.0118 0.0272 0.0018 0.0572 0.2487 3.6366 0.8044 0.0006
2 0.0021 0.0635 0.4343 2.3426 0.6656 0.0225 -0.0159 0.0413 -2.1878 2.6254 0.0326 0.0110
3 0.0038 0.0673 0.7810 2.4828 0.4378 0.0158 0.0036 0.0449 0.5002 2.8566 0.6187 0.0059
4 -0.0074 0.0599 -1.5222 2.2096 0.1332 0.0310 0.0047 0.0496 0.6469 3.1556 0.5202 0.0025
5 -0.0079 0.0520 -1.6192 1.9189 0.1106 0.0598 0.0088 0.0584 1.2074 3.7137 0.2320 0.0004
6 0.0001 0.0522 0.0305 1.9244 0.9758 0.0591 -0.0087 0.0497 -1.1905 3.1634 0.2385 0.0024
7 -0.0006 0.0516 -0.1195 1.9029 0.9053 0.0619 0.0045 0.0542 0.6131 3.4468 0.5421 0.0010
8 -0.0005 0.0511 -0.1108 1.8830 0.9121 0.0645 -0.0025 0.0517 -0.3419 3.2888 0.7336 0.0017
9 -0.0044 0.0467 -0.9022 1.7211 0.3705 0.0904 -0.0084 0.0433 -1.1582 2.7535 0.2514 0.0078
10 -0.0004 0.0463 -0.0815 1.7064 0.9353 0.0931 -0.0091 0.0342 -1.2547 2.1736 0.2145 0.0337
11 0.0060 0.0523 1.2304 1.9273 0.2234 0.0587 0.0152 0.0494 2.0883 3.1387 0.0410 0.0026
12 0.0045 0.0568 0.9272 2.0938 0.3575 0.0405 0.0013 0.0507 0.1817 3.2227 0.8564 0.0021
13 0.0026 0.0594 0.5403 2.1907 0.5910 0.0324 0.0022 0.0529 0.3080 3.3651 0.7591 0.0013
14 -0.0068 0.0526 -1.4014 1.9392 0.1663 0.0572 -0.0143 0.0387 -1.9622 2.4582 0.0544 0.0169
15 -0.0015 0.0511 -0.3160 1.8825 0.7531 0.0646 -0.0112 0.0274 -1.5422 1.7454 0.1283 0.0860
16 0.0058 0.0568 1.1865 2.0955 0.2401 0.0404 -0.0082 0.0193 -1.1254 1.2252 0.2649 0.2253
17 0.0013 0.0582 0.2735 2.1446 0.7854 0.0360 0.0023 0.0216 0.3192 1.3728 0.7507 0.1749
18 0.0020 0.0602 0.4205 2.2200 0.6756 0.0302 -0.0085 0.0131 -1.1709 0.8316 0.2463 0.4089
19 -0.0049 0.0553 -1.0044 2.0397 0.3192 0.0458 0.0022 0.0153 0.3055 0.9728 0.7610 0.3346
20 -0.0016 0.0537 -0.3276 1.9809 0.7443 0.0522 -0.0052 0.0101 -0.7106 0.6443 0.4801 0.5218
21 0.0073 0.0610 1.4939 2.2491 0.1405 0.0282 -0.0015 0.0086 -0.2098 0.5474 0.8345 0.5862
22 0.0022 0.0632 0.4473 2.3294 0.6562 0.0232 0.0112 0.0198 1.5417 1.2599 0.1284 0.2126
23 0.0025 0.0657 0.5228 2.4232 0.6030 0.0184 -0.0059 0.0139 -0.8129 0.8842 0.4195 0.3801
24 -0.0035 0.0623 -0.7113 2.2956 0.4797 0.0252 -0.0014 0.0126 -0.1863 0.7981 0.8528 0.4280
25 -0.0012 0.0611 -0.2403 2.2524 0.8109 0.0280 -0.0063 0.0063 -0.8626 0.3994 0.3918 0.6910
26 -0.0054 0.0557 -1.1169 2.0519 0.2685 0.0446 0.0023 0.0086 0.3204 0.5475 0.7498 0.5861
27 0.0054 0.0611 1.1159 2.2522 0.2689 0.0280 0.0016 0.0102 0.2192 0.6488 0.8272 0.5189
28 0.0069 0.0680 1.4226 2.5076 0.1600 0.0149 0.0000 0.0102 -0.0036 0.6472 0.9972 0.5200
29 -0.0020 0.0660 -0.4138 2.4333 0.6805 0.0180 0.0053 0.0154 0.7241 0.9819 0.4718 0.3301
30 0.0061 0.0721 1.2568 2.6589 0.2137 0.0100 0.0032 0.0186 0.4394 1.1850 0.6620 0.2407
APPENDICES
233
Appendix 4.5: Calculated AAR, CAAR and corresponding t-values and p- values associated with 50% dividend increase/decrease or more
decisions along with declaration of financial results based on GARCH Model:
Large Cap. Dividend Increase along with financial results @50% Large Cap. Dividend Decrease along with financial results @50%
Days AAR
CAA
R
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0060 0.0060 1.0679 0.5148 0.2898 0.6086 -0.0060 -0.0060 -0.9658 -0.4863 0.337999 0.628524
-29 -0.0014 0.0046 -0.2440 0.3972 0.8081 0.6927 0.0018 -0.0042 0.2941 -0.3382 0.769728 0.73636
-28 -0.0102
-
0.0055 -1.8081 -0.4744 0.0756 0.6369 0.0068 0.0027 1.1029 0.2170 0.274493 0.82891
-27 0.0041
-
0.0014 0.7281 -0.1235 0.4694 0.9022 -0.0068 -0.0041 -1.0981 -0.3359 0.276538 0.738147
-26 0.0025 0.0010 0.4429 0.0901 0.6594 0.9285 -0.0056 -0.0097 -0.8967 -0.7874 0.373462 0.434176
-25 0.0034 0.0045 0.6128 0.3855 0.5423 0.7012 -0.0024 -0.0121 -0.3798 -0.9786 0.705467 0.331728
-24 -0.0050
-
0.0005 -0.8900 -0.0436 0.3770 0.9654 0.0012 -0.0109 0.1869 -0.8845 0.852386 0.379976
-23 0.0007 0.0002 0.1282 0.0182 0.8984 0.9855 -0.0063 -0.0172 -1.0106 -1.3933 0.316273 0.168671
-22 0.0022 0.0025 0.4007 0.2114 0.6901 0.8333 -0.0091 -0.0262 -1.4590 -2.1279 0.149785 0.037464
-21 0.0088 0.0112 1.5582 0.9625 0.1244 0.3396 0.0070 -0.0193 1.1216 -1.5632 0.266488 0.123277
-20 0.0028 0.0140 0.4975 1.2024 0.6206 0.2339 0.0042 -0.0151 0.6784 -1.2216 0.500117 0.226649
-19 0.0081 0.0221 1.4439 1.8984 0.1540 0.0625 0.0080 -0.0071 1.2838 -0.5752 0.204141 0.56733
-18 -0.0040 0.0181 -0.7158 1.5533 0.4769 0.1256 0.0078 0.0007 1.2554 0.0569 0.21421 0.9548
-17 0.0034 0.0215 0.6032 1.8441 0.5487 0.0701 -0.0071 -0.0064 -1.1515 -0.5229 0.254083 0.602985
-16 0.0043 0.0258 0.7674 2.2141 0.4458 0.0306 -0.0041 -0.0105 -0.6579 -0.8541 0.51311 0.396426
-15 -0.0016 0.0242 -0.2809 2.0787 0.7797 0.0419 -0.0039 -0.0144 -0.6232 -1.1679 0.535544 0.247469
-14 0.0047 0.0289 0.8377 2.4825 0.4055 0.0159 -0.0085 -0.0229 -1.3636 -1.8545 0.17779 0.068589
-13 -0.0058 0.0231 -1.0278 1.9870 0.3082 0.0515 -0.0007 -0.0236 -0.1180 -1.9139 0.906426 0.060406
-12 0.0007 0.0238 0.1159 2.0429 0.9082 0.0455 0.0016 -0.0220 0.2605 -1.7827 0.795344 0.079691
APPENDICES
234
-11 -0.0005 0.0233 -0.0809 2.0039 0.9358 0.0496 -0.0012 -0.0232 -0.1925 -1.8797 0.847978 0.065013
-10 -0.0052 0.0181 -0.9341 1.5536 0.3540 0.1255 -0.0073 -0.0305 -1.1746 -2.4710 0.244813 0.016329
-9 -0.0054 0.0127 -0.9663 1.0878 0.3378 0.2811 -0.0004 -0.0308 -0.0578 -2.5002 0.954098 0.015165
-8 -0.0010 0.0117 -0.1742 1.0038 0.8623 0.3195 -0.0020 -0.0328 -0.3228 -2.6627 0.747933 0.009936
-7 -0.0068 0.0049 -1.2132 0.4190 0.2298 0.6767 -0.0048 -0.0376 -0.7657 -3.0482 0.446843 0.003421
-6 -0.0013 0.0036 -0.2335 0.3064 0.8162 0.7604 -0.0049 -0.0425 -0.7956 -3.4488 0.429407 0.001036
-5 0.0122 0.0157 2.1667 1.3508 0.0342 0.1818 -0.0084 -0.0509 -1.3555 -4.1313 0.180326 0.000113
-4 -0.0040 0.0117 -0.7145 1.0064 0.4777 0.3183 0.0070 -0.0440 1.1214 -3.5667 0.266605 0.000717
-3 -0.0044 0.0073 -0.7875 0.6268 0.4341 0.5332 -0.0004 -0.0444 -0.0664 -3.6002 0.947305 0.000646
-2 -0.0080
-
0.0007 -1.4318 -0.0634 0.1574 0.9496 0.0099 -0.0345 1.5981 -2.7955 0.115276 0.00695
-1 -0.0026
-
0.0034 -0.4665 -0.2883 0.6426 0.7741 0.0000 -0.0344 0.0069 -2.7920 0.994489 0.007016
0 0.0133 0.0100 2.3759 0.8570 0.0207 0.3948 0.0058 -0.0287 0.9286 -2.3245 0.356826 0.023502
1 0.0054 0.0154 0.9584 1.3190 0.3417 0.1922 0.0017 -0.0270 0.2659 -2.1906 0.791231 0.032377
2 -0.0050 0.0103 -0.8948 0.8877 0.3745 0.3782 -0.0048 -0.0318 -0.7774 -2.5820 0.439963 0.012281
3 -0.0027 0.0076 -0.4863 0.6533 0.6285 0.5161 -0.0065 -0.0383 -1.0452 -3.1083 0.300102 0.002875
4 0.0051 0.0127 0.9073 1.0906 0.3679 0.2798 0.0042 -0.0341 0.6807 -2.7656 0.498672 0.00754
5 0.0032 0.0159 0.5644 1.3627 0.5746 0.1781 0.0237 -0.0104 3.8118 -0.8463 0.000328 0.400737
6 -0.0019 0.0140 -0.3345 1.2015 0.7392 0.2343 0.0038 -0.0066 0.6129 -0.5377 0.542227 0.592772
7 -0.0048 0.0092 -0.8481 0.7926 0.3998 0.4311 0.0011 -0.0055 0.1794 -0.4474 0.858214 0.656223
8 0.0012 0.0105 0.2221 0.8997 0.8250 0.3719 0.0048 -0.0007 0.7772 -0.0560 0.44007 0.95551
9 -0.0023 0.0081 -0.4174 0.6985 0.6779 0.4876 -0.0053 -0.0060 -0.8503 -0.4841 0.398546 0.630047
10 0.0046 0.0128 0.8277 1.0975 0.4111 0.2768 -0.0051 -0.0110 -0.8141 -0.8940 0.418804 0.37487
11 -0.0010 0.0118 -0.1739 1.0137 0.8625 0.3148 -0.0099 -0.0209 -1.5924 -1.6958 0.116556 0.095106
12 0.0051 0.0169 0.9078 1.4513 0.3676 0.1519 -0.0043 -0.0253 -0.6999 -2.0482 0.486691 0.044923
13 0.0208 0.0377 3.7108 3.2401 0.0005 0.0020 0.0032 -0.0221 0.5115 -1.7907 0.610867 0.078393
14 -0.0064 0.0314 -1.1333 2.6938 0.2616 0.0091 0.0028 -0.0192 0.4561 -1.5610 0.649941 0.123784
15 -0.0027 0.0286 -0.4880 2.4585 0.6273 0.0169 -0.0029 -0.0222 -0.4699 -1.7976 0.640162 0.077278
16 -0.0047 0.0239 -0.8438 2.0518 0.4021 0.0446 0.0025 -0.0197 0.3963 -1.5980 0.693269 0.115293
17 -0.0034 0.0205 -0.6001 1.7625 0.5507 0.0831 0.0019 -0.0178 0.3024 -1.4457 0.763364 0.153454
18 0.0003 0.0208 0.0460 1.7847 0.9635 0.0794 0.0024 -0.0154 0.3841 -1.2523 0.702257 0.215305
19 -0.0014 0.0194 -0.2478 1.6652 0.8051 0.1011 -0.0013 -0.0168 -0.2151 -1.3606 0.83043 0.178718
20 -0.0005 0.0189 -0.0958 1.6190 0.9240 0.1107 -0.0128 -0.0296 -2.0631 -2.3994 0.043442 0.019545
21 0.0080 0.0269 1.4255 2.3062 0.1592 0.0246 -0.0085 -0.0381 -1.3663 -3.0873 0.176939 0.003056
APPENDICES
235
22 -0.0008 0.0260 -0.1511 2.2334 0.8804 0.0293 0.0053 -0.0328 0.8477 -2.6605 0.399957 0.009994
23 -0.0013 0.0248 -0.2248 2.1250 0.8229 0.0377 0.0038 -0.0290 0.6175 -2.3496 0.539212 0.022104
24 0.0090 0.0338 1.6074 2.8999 0.1132 0.0052 0.0010 -0.0280 0.1607 -2.2687 0.872883 0.0269
25 0.0020 0.0358 0.3645 3.0756 0.7167 0.0032 -0.0012 -0.0291 -0.1871 -2.3629 0.852191 0.021393
26 -0.0013 0.0345 -0.2315 2.9640 0.8177 0.0044 -0.0026 -0.0317 -0.4121 -2.5704 0.68172 0.012659
27 -0.0020 0.0325 -0.3632 2.7889 0.7178 0.0071 0.0084 -0.0233 1.3573 -1.8870 0.179777 0.064002
28 0.0073 0.0398 1.2974 3.4143 0.1994 0.0012 0.0071 -0.0162 1.1464 -1.3098 0.256161 0.195272
29 -0.0024 0.0373 -0.4352 3.2046 0.6650 0.0022 0.0017 -0.0144 0.2772 -1.1702 0.782576 0.246555
30 0.0010 0.0383 0.1769 3.2898 0.8602 0.0017 -0.0032 -0.0176 -0.5129 -1.4284 0.609887 0.158351
Mid Cap. Dividend Increase along with financial results @50% Mid Cap. Dividend Decrease along with financial results @50%
Days AAR
CAA
R
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0052 0.0052 0.4007 0.1652 0.6901 0.8694 0.0162 0.0162 0.6882 0.2131 0.4940 0.8320
-29 -0.0017 0.0035 -0.1339 0.1100 0.8939 0.9128 0.0756 0.0918 3.2081 1.2065 0.0021 0.2324
-28 -0.0097
-
0.0063 -0.7507 -0.1995 0.4558 0.8425 0.0363 0.1281 1.5403 1.6834 0.1287 0.0975
-27 0.0080 0.0017 0.6171 0.0549 0.5395 0.9564 0.0265 0.1545 1.1229 2.0311 0.2659 0.0467
-26 0.0138 0.0155 1.0632 0.4932 0.2920 0.6236 0.0102 0.1647 0.4309 2.1645 0.6681 0.0344
-25 0.0119 0.0274 0.9188 0.8720 0.3619 0.3867 0.0470 0.2117 1.9971 2.7829 0.0504 0.0072
-24 0.0034 0.0308 0.2659 0.9817 0.7912 0.3302 -0.0274 0.1844 -1.1613 2.4233 0.2501 0.0184
-23 0.0005 0.0313 0.0355 0.9963 0.9718 0.3231 0.0205 0.2048 0.8691 2.6925 0.3883 0.0092
-22 0.0067 0.0380 0.5179 1.2099 0.6064 0.2311 -0.0131 0.1918 -0.5543 2.5208 0.5814 0.0144
-21 -0.0029 0.0350 -0.2261 1.1166 0.8219 0.2686 -0.0322 0.1596 -1.3670 2.0975 0.1767 0.0402
-20 -0.0092 0.0259 -0.7086 0.8245 0.4813 0.4129 -0.0080 0.1516 -0.3400 1.9922 0.7350 0.0509
-19 0.0041 0.0300 0.3207 0.9567 0.7496 0.3426 -0.0251 0.1265 -1.0638 1.6628 0.2917 0.1016
-18 0.0121 0.0422 0.9385 1.3436 0.3517 0.1841 0.0347 0.1612 1.4715 2.1185 0.1464 0.0383
-17 -0.0145 0.0277 -1.1192 0.8822 0.2675 0.3812 0.0988 0.2600 4.1943 3.4172 0.0001 0.0011
-16 0.0018 0.0295 0.1428 0.9411 0.8869 0.3504 0.0253 0.2853 1.0747 3.7500 0.2868 0.0004
-15 0.0181 0.0477 1.4018 1.5191 0.1661 0.1340 -0.0141 0.2712 -0.5967 3.5652 0.5529 0.0007
-14 0.0007 0.0484 0.0563 1.5423 0.9553 0.1283 -0.0087 0.2626 -0.3676 3.4514 0.7145 0.0010
-13 -0.0049 0.0435 -0.3756 1.3874 0.7085 0.1704 -0.0248 0.2378 -1.0511 3.1259 0.2974 0.0027
-12 -0.0009 0.0426 -0.0731 1.3573 0.9419 0.1798 -0.0156 0.2222 -0.6630 2.9206 0.5099 0.0049
-11 -0.0062 0.0364 -0.4781 1.1602 0.6343 0.2506 -0.0168 0.2054 -0.7130 2.6998 0.4786 0.0090
-10 0.0165 0.0530 1.2782 1.6871 0.2061 0.0968 -0.0149 0.1905 -0.6334 2.5037 0.5289 0.0150
APPENDICES
236
-9 0.0031 0.0561 0.2404 1.7863 0.8108 0.0791 0.0082 0.1987 0.3479 2.6114 0.7292 0.0114
-8 0.0049 0.0610 0.3779 1.9421 0.7069 0.0568 0.0002 0.1989 0.0090 2.6142 0.9929 0.0113
-7 0.0076 0.0686 0.5894 2.1851 0.5578 0.0328 -0.0168 0.1821 -0.7127 2.3935 0.4788 0.0198
-6 -0.0076 0.0610 -0.5861 1.9434 0.5600 0.0567 -0.0120 0.1701 -0.5084 2.2361 0.6130 0.0291
-5 0.0000 0.0610 0.0012 1.9439 0.9991 0.0566 -0.0037 0.1664 -0.1564 2.1877 0.8762 0.0326
-4 0.0050 0.0660 0.3883 2.1040 0.6992 0.0396 -0.0285 0.1380 -1.2079 1.8137 0.2318 0.0747
-3 -0.0174 0.0486 -1.3485 1.5480 0.1826 0.1269 0.0107 0.1487 0.4554 1.9547 0.6505 0.0553
-2 0.0143 0.0629 1.1078 2.0048 0.2724 0.0495 -0.0033 0.1454 -0.1420 1.9107 0.8875 0.0608
-1 0.0086 0.0715 0.6648 2.2789 0.5087 0.0262 -0.0160 0.1293 -0.6809 1.6999 0.4985 0.0943
0 0.0159 0.0875 1.2321 2.7869 0.2227 0.0071 -0.0087 0.1206 -0.3680 1.5859 0.7142 0.1180
1 0.0137 0.1012 1.0576 3.2229 0.2945 0.0021 -0.0325 0.0882 -1.3792 1.1588 0.1730 0.2511
2 0.0087 0.1099 0.6734 3.5006 0.5033 0.0009 0.0001 0.0883 0.0050 1.1604 0.9960 0.2505
3 -0.0075 0.1023 -0.5809 3.2610 0.5635 0.0018 0.0149 0.1031 0.6310 1.3558 0.5304 0.1802
4 -0.0042 0.0981 -0.3246 3.1272 0.7466 0.0027 -0.0073 0.0959 -0.3090 1.2601 0.7584 0.2125
5 -0.0757 0.0225 -5.8488 0.7158 0.0000 0.4769 -0.0177 0.0781 -0.7531 1.0269 0.4543 0.3086
6 -0.0026 0.0199 -0.2002 0.6332 0.8420 0.5290 -0.0133 0.0648 -0.5648 0.8520 0.5743 0.3976
7 0.0029 0.0227 0.2212 0.7245 0.8257 0.4716 -0.0124 0.0524 -0.5252 0.6894 0.6014 0.4932
8 0.0131 0.0359 1.0160 1.1433 0.3137 0.2574 -0.0093 0.0431 -0.3949 0.5671 0.6943 0.5727
9 -0.0077 0.0281 -0.5983 0.8967 0.5519 0.3735 0.0039 0.0471 0.1669 0.6188 0.8680 0.5384
10 -0.0021 0.0260 -0.1651 0.8286 0.8694 0.4106 -0.0165 0.0305 -0.7025 0.4013 0.4851 0.6896
11 0.0008 0.0268 0.0630 0.8546 0.9500 0.3962 0.0043 0.0348 0.1821 0.4577 0.8561 0.6488
12 0.0040 0.0308 0.3106 0.9827 0.7572 0.3297 0.0159 0.0508 0.6767 0.6672 0.5012 0.5072
13 -0.0044 0.0264 -0.3434 0.8411 0.7325 0.4036 0.0201 0.0709 0.8550 0.9320 0.3960 0.3551
14 -0.0150 0.0114 -1.1605 0.3626 0.2504 0.7182 -0.0113 0.0596 -0.4785 0.7838 0.6340 0.4362
15 -0.0056 0.0058 -0.4346 0.1835 0.6654 0.8551 -0.0042 0.0554 -0.1783 0.7286 0.8591 0.4691
16 -0.0049 0.0009 -0.3780 0.0276 0.7068 0.9781 -0.0120 0.0435 -0.5076 0.5714 0.6136 0.5699
17 -0.0073
-
0.0064 -0.5649 -0.2053 0.5743 0.8381 -0.0069 0.0366 -0.2915 0.4812 0.7717 0.6322
18 0.0051
-
0.0014 0.3934 -0.0431 0.6954 0.9658 -0.0021 0.0345 -0.0884 0.4538 0.9298 0.6516
19 -0.0147
-
0.0160 -1.1338 -0.5105 0.2614 0.6115 -0.0020 0.0326 -0.0829 0.4281 0.9342 0.6701
20 0.0150
-
0.0010 1.1582 -0.0330 0.2514 0.9738 0.0161 0.0487 0.6846 0.6401 0.4962 0.5245
21 0.0020 0.0010 0.1574 0.0319 0.8755 0.9747 -0.0139 0.0348 -0.5906 0.4572 0.5570 0.6492
APPENDICES
237
22 0.0006 0.0016 0.0468 0.0512 0.9628 0.9594 -0.0020 0.0328 -0.0856 0.4307 0.9320 0.6682
23 -0.0096
-
0.0080 -0.7421 -0.2548 0.4609 0.7998 0.0032 0.0360 0.1372 0.4732 0.8913 0.6378
24 -0.0016
-
0.0096 -0.1214 -0.3048 0.9038 0.7615 -0.0101 0.0259 -0.4269 0.3410 0.6710 0.7343
25 0.0069
-
0.0027 0.5330 -0.0851 0.5960 0.9325 0.0181 0.0441 0.7691 0.5792 0.4448 0.5646
26 0.0011
-
0.0016 0.0830 -0.0509 0.9341 0.9596 0.0093 0.0534 0.3947 0.7014 0.6945 0.4858
27 -0.0011
-
0.0027 -0.0821 -0.0847 0.9349 0.9328 -0.0182 0.0351 -0.7729 0.4620 0.4426 0.6457
28 -0.0043
-
0.0069 -0.3313 -0.2213 0.7415 0.8256 -0.0011 0.0340 -0.0470 0.4475 0.9626 0.6561
29 -0.0006
-
0.0076 -0.0499 -0.2419 0.9604 0.8097 -0.0025 0.0315 -0.1069 0.4144 0.9153 0.6801
30 -0.0009
-
0.0085 -0.0676 -0.2698 0.9463 0.7882 0.0158 0.0473 0.6714 0.6223 0.5045 0.5361
Small Cap. Dividend Increase along with financial results @50% Small Cap. Dividend Decrease along with financial results @50%
Days AAR
CAA
R
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0050
-
0.0050 -1.4172 -0.2710 0.1616 0.7873 0.0009 0.0009 0.1790 0.0436 0.8586 0.9654
-29 0.0083 0.0033 2.3302 0.1746 0.0232 0.8620 0.0014 0.0024 0.2707 0.1096 0.7875 0.9131
-28 0.0017 0.0050 0.4777 0.2660 0.6346 0.7912 -0.0009 0.0015 -0.1725 0.0676 0.8636 0.9464
-27 -0.0018 0.0031 -0.5125 0.1679 0.6102 0.8672 0.0049 0.0064 0.9295 0.2941 0.3563 0.7697
-26 -0.0012 0.0020 -0.3231 0.1062 0.7477 0.9158 -0.0038 0.0026 -0.7139 0.1201 0.4780 0.9048
-25 0.0005 0.0025 0.1408 0.1331 0.8885 0.8946 0.0044 0.0070 0.8206 0.3201 0.4151 0.7500
-24 -0.0024 0.0001 -0.6758 0.0038 0.5018 0.9970 0.0155 0.0224 2.9138 1.0304 0.0050 0.3070
-23 0.0010 0.0011 0.2753 0.0565 0.7840 0.9551 -0.0073 0.0151 -1.3759 0.6950 0.1740 0.4897
-22 0.0049 0.0060 1.3892 0.3221 0.1699 0.7485 0.0046 0.0198 0.8729 0.9078 0.3862 0.3676
-21 0.0021 0.0081 0.5975 0.4364 0.5525 0.6641 -0.0048 0.0150 -0.9008 0.6882 0.3713 0.4940
-20 0.0030 0.0111 0.8392 0.5969 0.4047 0.5528 -0.0049 0.0101 -0.9252 0.4627 0.3586 0.6453
-19 0.0029 0.0140 0.8055 0.7509 0.4237 0.4556 0.0076 0.0177 1.4391 0.8135 0.1553 0.4192
-18 0.0028 0.0167 0.7730 0.8988 0.4425 0.3724 -0.0033 0.0144 -0.6191 0.6626 0.5382 0.5101
APPENDICES
238
-17 0.0032 0.0199 0.8880 1.0686 0.3781 0.2895 -0.0010 0.0134 -0.1892 0.6164 0.8506 0.5399
-16 0.0008 0.0207 0.2163 1.1099 0.8295 0.2715 0.0001 0.0135 0.0142 0.6199 0.9887 0.5377
-15 0.0042 0.0249 1.1784 1.3353 0.2433 0.1868 -0.0013 0.0122 -0.2488 0.5593 0.8044 0.5781
-14 0.0043 0.0292 1.2143 1.5675 0.2294 0.1223 -0.0112 0.0010 -2.1095 0.0451 0.0391 0.9642
-13 0.0002 0.0294 0.0673 1.5804 0.9465 0.1193 0.0018 0.0028 0.3415 0.1283 0.7339 0.8983
-12 -0.0024 0.0270 -0.6803 1.4503 0.4989 0.1522 -0.0036 -0.0008 -0.6844 -0.0385 0.4964 0.9694
-11 -0.0010 0.0260 -0.2689 1.3989 0.7889 0.1670 -0.0022 -0.0030 -0.4109 -0.1387 0.6826 0.8902
-10 -0.0027 0.0233 -0.7601 1.2535 0.4502 0.2149 0.0060 0.0030 1.1389 0.1389 0.2593 0.8900
-9 0.0048 0.0281 1.3448 1.5107 0.1838 0.1361 0.0069 0.0100 1.3074 0.4576 0.1961 0.6489
-8 0.0030 0.0311 0.8344 1.6702 0.4074 0.1001 0.0044 0.0144 0.8324 0.6605 0.4085 0.5115
-7 0.0048 0.0359 1.3479 1.9280 0.1828 0.0586 0.0035 0.0179 0.6662 0.8229 0.5078 0.4138
-6 0.0014 0.0373 0.3830 2.0012 0.7031 0.0499 -0.0086 0.0093 -1.6270 0.4263 0.1090 0.6714
-5 0.0053 0.0426 1.4992 2.2879 0.1391 0.0257 0.0045 0.0137 0.8421 0.6316 0.4031 0.5300
-4 0.0013 0.0439 0.3709 2.3588 0.7120 0.0216 -0.0015 0.0122 -0.2871 0.5616 0.7750 0.5765
-3 0.0034 0.0473 0.9411 2.5388 0.3504 0.0137 0.0055 0.0177 1.0363 0.8142 0.3042 0.4187
-2 0.0074 0.0546 2.0684 2.9344 0.0429 0.0047 0.0101 0.0278 1.8992 1.2772 0.0624 0.2065
-1 -0.0047 0.0499 -1.3237 2.6812 0.1906 0.0095 0.0136 0.0414 2.5627 1.9018 0.0129 0.0620
0 0.0018 0.0518 0.5177 2.7802 0.6066 0.0072 -0.0003 0.0411 -0.0626 1.8866 0.9503 0.0641
1 0.0091 0.0609 2.5672 3.2712 0.0128 0.0018 0.0086 0.0496 1.6172 2.2808 0.1111 0.0261
2 -0.0012 0.0597 -0.3422 3.2057 0.7334 0.0022 0.0024 0.0520 0.4519 2.3910 0.6529 0.0200
3 0.0017 0.0614 0.4901 3.2995 0.6259 0.0016 -0.0029 0.0492 -0.5445 2.2582 0.5881 0.0276
4 -0.0022 0.0592 -0.6135 3.1821 0.5419 0.0023 0.0022 0.0514 0.4154 2.3595 0.6793 0.0216
5 -0.0047 0.0546 -1.3072 2.9322 0.1961 0.0048 0.0010 0.0524 0.1943 2.4069 0.8466 0.0192
6 -0.0074 0.0472 -2.0772 2.5349 0.0421 0.0139 0.0015 0.0539 0.2816 2.4755 0.7792 0.0161
7 0.0037 0.0509 1.0421 2.7342 0.3016 0.0082 -0.0009 0.0530 -0.1644 2.4354 0.8700 0.0179
8 -0.0023 0.0486 -0.6590 2.6082 0.5124 0.0115 -0.0050 0.0480 -0.9419 2.2058 0.3500 0.0312
9 0.0065 0.0550 1.8191 2.9561 0.0739 0.0044 0.0064 0.0544 1.2108 2.5010 0.2307 0.0151
10 -0.0042 0.0508 -1.1801 2.7304 0.2426 0.0083 0.0050 0.0595 0.9462 2.7316 0.3478 0.0083
11 -0.0020 0.0489 -0.5546 2.6244 0.5812 0.0110 -0.0047 0.0548 -0.8864 2.5155 0.3789 0.0146
12 0.0014 0.0503 0.3952 2.6999 0.6941 0.0090 0.0015 0.0562 0.2797 2.5837 0.7807 0.0122
13 0.0016 0.0519 0.4511 2.7862 0.6535 0.0071 0.0008 0.0570 0.1530 2.6210 0.8789 0.0111
14 -0.0013 0.0506 -0.3541 2.7185 0.7245 0.0086 0.0086 0.0656 1.6132 3.0142 0.1120 0.0038
15 0.0012 0.0518 0.3362 2.7828 0.7379 0.0072 0.0008 0.0664 0.1523 3.0514 0.8795 0.0034
16 0.0006 0.0524 0.1634 2.8140 0.8707 0.0066 -0.0065 0.0600 -1.2167 2.7548 0.2285 0.0078
17 -0.0048 0.0476 -1.3566 2.5546 0.1800 0.0132 0.0006 0.0606 0.1112 2.7819 0.9118 0.0072
APPENDICES
239
18 -0.0050 0.0426 -1.3953 2.2877 0.1681 0.0257 -0.0040 0.0565 -0.7554 2.5977 0.4529 0.0118
19 -0.0004 0.0422 -0.1126 2.2662 0.9107 0.0271 -0.0042 0.0523 -0.7922 2.4046 0.4314 0.0193
20 -0.0006 0.0416 -0.1640 2.2349 0.8703 0.0292 0.0007 0.0530 0.1234 2.4347 0.9022 0.0179
21 0.0007 0.0423 0.1956 2.2723 0.8456 0.0267 -0.0101 0.0429 -1.9028 1.9709 0.0619 0.0534
22 -0.0061 0.0362 -1.7261 1.9422 0.0895 0.0568 -0.0017 0.0412 -0.3231 1.8922 0.7477 0.0633
23 0.0006 0.0367 0.1645 1.9736 0.8699 0.0530 0.0008 0.0420 0.1540 1.9297 0.8781 0.0584
24 0.0041 0.0408 1.1527 2.1941 0.2536 0.0321 0.0009 0.0429 0.1710 1.9714 0.8648 0.0533
25 0.0021 0.0430 0.5951 2.3079 0.5540 0.0245 0.0066 0.0495 1.2513 2.2764 0.2157 0.0264
26 0.0019 0.0448 0.5287 2.4090 0.5990 0.0191 -0.0007 0.0489 -0.1279 2.2452 0.8986 0.0285
27 0.0007 0.0455 0.1926 2.4458 0.8480 0.0174 -0.0041 0.0447 -0.7774 2.0557 0.4400 0.0442
28 0.0021 0.0476 0.5762 2.5560 0.5666 0.0131 -0.0026 0.0421 -0.4964 1.9347 0.6214 0.0577
29 -0.0036 0.0440 -1.0211 2.3607 0.3113 0.0215 0.0026 0.0448 0.4979 2.0561 0.6204 0.0441
30 -0.0005 0.0435 -0.1371 2.3345 0.8914 0.0229 0.0034 0.0481 0.6367 2.2113 0.5268 0.0308
APPENDICES
240
Appendix 4.6: Calculated AAR, CAAR and corresponding t-values and p- values associated with 10% dividend increase/decrease
decisions alone based on GARCH Model:
Small Cap. Dividend Increase alone@10% Small Cap. Dividend Decrease alone@10%
Days AAR
CAA
R
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0024
-
0.0024 -0.1436 -0.0451 0.8863 0.9642 Events are not sufficient to be included in final study
-29 -0.0380
-
0.0404 -2.2682 -0.7572 0.0269 0.4519
-28 0.0184
-
0.0220 1.0990 -0.4122 0.2762 0.6817
-27 0.0116
-
0.0104 0.6913 -0.1951 0.4920 0.8460
-26 0.0009
-
0.0095 0.0558 -0.1776 0.9557 0.8596
-25 -0.0028
-
0.0123 -0.1675 -0.2302 0.8675 0.8187
-24 0.0395 0.0273 2.3605 0.5109 0.0215 0.6113
-23 0.0084 0.0357 0.5033 0.6689 0.6166 0.5061
-22 -0.0370
-
0.0013 -2.2112 -0.0253 0.0308 0.9799
-21 0.0042 0.0029 0.2526 0.0540 0.8015 0.9571
-20 0.0148 0.0177 0.8844 0.3317 0.3800 0.7413
-19 -0.0090 0.0087 -0.5371 0.1631 0.5932 0.8710
-18 -0.0415
-
0.0329 -2.4809 -0.6158 0.0159 0.5403
-17 0.0058
-
0.0270 0.3475 -0.5067 0.7294 0.6142
-16 0.0018
-
0.0253 0.1045 -0.4739 0.9171 0.6373
-15 0.0012
-
0.0241 0.0704 -0.4518 0.9441 0.6530
APPENDICES
241
-14 0.0047
-
0.0194 0.2795 -0.3641 0.7808 0.7171
-13 -0.0006
-
0.0201 -0.0384 -0.3761 0.9695 0.7081
-12 0.0069
-
0.0132 0.4099 -0.2474 0.6833 0.8054
-11 0.0099
-
0.0033 0.5909 -0.0619 0.5568 0.9508
-10 0.0224 0.0191 1.3369 0.3578 0.1863 0.7218
-9 0.0110 0.0301 0.6586 0.5646 0.5127 0.5745
-8 0.0088 0.0389 0.5232 0.7288 0.6028 0.4689
-7 0.0275 0.0663 1.6391 1.2434 0.1064 0.2185
-6 -0.0296 0.0367 -1.7676 0.6885 0.0822 0.4938
-5 -0.0100 0.0268 -0.5942 0.5019 0.5546 0.6175
-4 0.0051 0.0319 0.3038 0.5973 0.7623 0.5525
-3 -0.0028 0.0291 -0.1670 0.5449 0.8679 0.5878
-2 -0.0001 0.0289 -0.0084 0.5423 0.9934 0.5896
-1 -0.0233 0.0056 -1.3940 0.1046 0.1684 0.9170
0 0.0395 0.0451 2.3612 0.8459 0.0215 0.4010
1 0.0135 0.0586 0.8046 1.0985 0.4242 0.2764
2 0.0101 0.0687 0.6013 1.2873 0.5499 0.2029
3 -0.0012 0.0674 -0.0732 1.2643 0.9419 0.2110
4 0.0028 0.0702 0.1642 1.3159 0.8701 0.1932
5 0.0271 0.0973 1.6159 1.8232 0.1114 0.0733
6 0.0058 0.1030 0.3453 1.9316 0.7310 0.0581
7 -0.0134 0.0897 -0.7993 1.6807 0.4273 0.0980
8 0.0143 0.1040 0.8555 1.9493 0.3957 0.0559
9 -0.0161 0.0879 -0.9585 1.6483 0.3417 0.1045
10 -0.0141 0.0738 -0.8415 1.3841 0.4034 0.1714
11 0.0175 0.0914 1.0478 1.7131 0.2989 0.0919
12 -0.0131 0.0783 -0.7822 1.4675 0.4372 0.1475
13 -0.0058 0.0725 -0.3473 1.3585 0.7296 0.1794
14 0.0075 0.0799 0.4459 1.4985 0.6572 0.1392
15 0.0011 0.0811 0.0679 1.5198 0.9461 0.1338
16 0.0392 0.1202 2.3383 2.2539 0.0227 0.0279
APPENDICES
242
17 0.0038 0.1240 0.2260 2.3249 0.8219 0.0235
18 0.0140 0.1380 0.8346 2.5869 0.4073 0.0121
19 -0.0126 0.1254 -0.7545 2.3501 0.4535 0.0221
20 0.0026 0.1279 0.1536 2.3983 0.8785 0.0196
21 -0.0066 0.1214 -0.3916 2.2754 0.6968 0.0265
22 0.0041 0.1255 0.2458 2.3525 0.8067 0.0219
23 -0.0020 0.1235 -0.1193 2.3151 0.9054 0.0240
24 0.0043 0.1278 0.2579 2.3961 0.7973 0.0197
25 0.0054 0.1332 0.3210 2.4968 0.7493 0.0153
26 -0.0217 0.1115 -1.2957 2.0900 0.2000 0.0409
27 -0.0155 0.0960 -0.9271 1.7990 0.3576 0.0771
28 -0.0013 0.0946 -0.0801 1.7738 0.9364 0.0812
29 0.0050 0.0996 0.2996 1.8679 0.7655 0.0667
30 -0.0012 0.0984 -0.0740 1.8446 0.9412 0.0700
APPENDICES
243
Appendix 4.7: Calculated AAR, CAAR and corresponding t-values and p- values associated with dividend increase/decrease decisions
alone based on GARCH Model:
Mid. Cap. Dividend Increase alone@15% Mid. Cap. Dividend Decrease alone@15%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0077 -0.0077 -0.4229 -0.1922 0.6739 0.8482 Event are not sufficient for final study
-29 -0.0131 -0.0207 -0.7188 -0.5190 0.4751 0.6057
-28 0.0134 -0.0073 0.7373 -0.1838 0.4638 0.8548
-27 0.0038 -0.0036 0.2087 -0.0890 0.8354 0.9294
-26 -0.0044 -0.0079 -0.2407 -0.1984 0.8106 0.8434
-25 -0.0134 -0.0214 -0.7397 -0.5347 0.4624 0.5949
-24 0.0034 -0.0180 0.1864 -0.4499 0.8528 0.6544
-23 -0.0122 -0.0302 -0.6727 -0.7557 0.5037 0.4528
-22 -0.0054 -0.0356 -0.2954 -0.8900 0.7687 0.3770
-21 0.0034 -0.0322 0.1863 -0.8053 0.8528 0.4238
-20 -0.0113 -0.0435 -0.6242 -1.0891 0.5349 0.2805
-19 0.0058 -0.0377 0.3200 -0.9436 0.7501 0.3492
-18 -0.0193 -0.0570 -1.0596 -1.4253 0.2936 0.1592
-17 0.0169 -0.0400 0.9318 -1.0017 0.3552 0.3205
-16 -0.0125 -0.0525 -0.6887 -1.3148 0.4937 0.1936
-15 0.0007 -0.0519 0.0373 -1.2978 0.9704 0.1993
-14 0.0538 0.0019 2.9615 0.0485 0.0044 0.9615
-13 -0.0197 -0.0178 -1.0859 -0.4452 0.2818 0.6578
-12 -0.0122 -0.0300 -0.6738 -0.7515 0.5030 0.4553
-11 0.0053 -0.0248 0.2890 -0.6201 0.7736 0.5375
-10 -0.0010 -0.0258 -0.0535 -0.6445 0.9575 0.5217
-9 0.0045 -0.0213 0.2458 -0.5327 0.8067 0.5962
-8 0.0246 0.0034 1.3566 0.0840 0.1800 0.9333
-7 0.0203 0.0237 1.1193 0.5928 0.2675 0.5555
-6 0.0145 0.0382 0.7979 0.9556 0.4281 0.3431
-5 -0.0190 0.0191 -1.0485 0.4790 0.2986 0.6337
-4 0.0020 0.0211 0.1073 0.5278 0.9149 0.5996
-3 -0.0213 -0.0002 -1.1706 -0.0044 0.2464 0.9965
APPENDICES
244
-2 -0.0433 -0.0435 -2.3845 -1.0885 0.0203 0.2807
-1 -0.0327 -0.0762 -1.7993 -1.9065 0.0770 0.0614
0 0.0007 -0.0755 0.0394 -1.8886 0.9687 0.0638
1 -0.0204 -0.0958 -1.1202 -2.3979 0.2671 0.0196
2 -0.0077 -0.1036 -0.4250 -2.5911 0.6724 0.0120
3 -0.0066 -0.1101 -0.3615 -2.7554 0.7190 0.0078
4 0.0184 -0.0918 1.0104 -2.2961 0.3163 0.0252
5 0.0346 -0.0571 1.9066 -1.4293 0.0614 0.1581
6 -0.0260 -0.0831 -1.4312 -2.0800 0.1575 0.0418
7 -0.0230 -0.1062 -1.2681 -2.6565 0.2097 0.0101
8 0.0078 -0.0983 0.4319 -2.4601 0.6674 0.0168
9 0.0121 -0.0863 0.6640 -2.1583 0.5092 0.0349
10 -0.0132 -0.0994 -0.7257 -2.4882 0.4709 0.0156
11 -0.0192 -0.1186 -1.0570 -2.9687 0.2947 0.0043
12 -0.0047 -0.1234 -0.2594 -3.0867 0.7962 0.0031
13 0.0104 -0.1130 0.5718 -2.8267 0.5696 0.0064
14 -0.0033 -0.1162 -0.1801 -2.9086 0.8577 0.0051
15 0.0378 -0.0785 2.0793 -1.9633 0.0419 0.0543
16 0.0254 -0.0531 1.3974 -1.3280 0.1674 0.1892
17 -0.0125 -0.0656 -0.6886 -1.6410 0.4937 0.1060
18 0.0330 -0.0326 1.8167 -0.8151 0.0743 0.4182
19 -0.0201 -0.0527 -1.1063 -1.3181 0.2730 0.1925
20 0.0015 -0.0512 0.0800 -1.2817 0.9365 0.2049
21 0.0103 -0.0409 0.5658 -1.0244 0.5736 0.3097
22 0.0007 -0.0403 0.0370 -1.0076 0.9706 0.3177
23 -0.0040 -0.0443 -0.2207 -1.1079 0.8261 0.2723
24 0.0263 -0.0180 1.4448 -0.4511 0.1537 0.6536
25 0.0126 -0.0054 0.6933 -0.1359 0.4908 0.8924
26 -0.0037 -0.0091 -0.2037 -0.2285 0.8393 0.8200
27 0.0082 -0.0009 0.4527 -0.0227 0.6524 0.9820
28 -0.0194 -0.0204 -1.0704 -0.5093 0.2887 0.6124
29 0.0118 -0.0086 0.6485 -0.2145 0.5191 0.8309
30 -0.0094 -0.0179 -0.5148 -0.4485 0.6086 0.6554
APPENDICES
245
Small Cap. Dividend Increase alone@15% Small Cap. Dividend Decrease alone@15%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0082 -0.0082 -0.6416 -0.2310 0.5236 0.8181 -0.0041 -0.0041 -0.2467 -0.1248 0.8060 0.9011
-29 0.0176 0.0094 1.3773 0.2648 0.1735 0.7920 0.0032 -0.0009 0.1904 -0.0285 0.8496 0.9774
-28 0.0160 0.0254 1.2526 0.7158 0.2152 0.4769 -0.0179 -0.0189 -1.0726 -0.5712 0.2877 0.5700
-27 0.0024 0.0278 0.1897 0.7841 0.8502 0.4361 -0.0015 -0.0204 -0.0908 -0.6172 0.9279 0.5395
-26 0.0027 0.0305 0.2135 0.8609 0.8317 0.3927 0.0561 0.0358 3.3612 1.0835 0.0014 0.2829
-25 -0.0054 0.0251 -0.4235 0.7085 0.6735 0.4814 -0.0133 0.0225 -0.7964 0.6805 0.4289 0.4988
-24 -0.0091 0.0160 -0.7136 0.4516 0.4783 0.6532 -0.0013 0.0212 -0.0763 0.6419 0.9394 0.5234
-23 -0.0154 0.0006 -1.2039 0.0182 0.2334 0.9855 0.0018 0.0229 0.1054 0.6952 0.9164 0.4896
-22 0.0105 0.0112 0.8251 0.3152 0.4126 0.7537 0.0221 0.0451 1.3245 1.3653 0.1904 0.1772
-21 -0.0123 -0.0011 -0.9645 -0.0320 0.3387 0.9746 0.0296 0.0747 1.7745 2.2632 0.0811 0.0273
-20 0.0172 0.0160 1.3444 0.4520 0.1839 0.6529 -0.0064 0.0683 -0.3854 2.0682 0.7013 0.0429
-19 -0.0135 0.0026 -1.0538 0.0726 0.2962 0.9423 0.0166 0.0849 0.9963 2.5723 0.3231 0.0126
-18 -0.0009 0.0017 -0.0723 0.0466 0.9426 0.9630 -0.0173 0.0676 -1.0352 2.0485 0.3047 0.0449
-17 -0.0032 -0.0015 -0.2475 -0.0425 0.8054 0.9663 0.0150 0.0826 0.8960 2.5019 0.3738 0.0151
-16 0.0089 0.0074 0.6972 0.2085 0.4884 0.8355 0.0121 0.0947 0.7273 2.8698 0.4699 0.0057
-15 -0.0080 -0.0006 -0.6242 -0.0162 0.5348 0.9871 0.0021 0.0968 0.1253 2.9332 0.9007 0.0047
-14 -0.0153 -0.0158 -1.1949 -0.4464 0.2368 0.6569 0.0028 0.0996 0.1693 3.0189 0.8661 0.0037
-13 0.0228 0.0070 1.7851 0.1962 0.0793 0.8451 -0.0071 0.0925 -0.4263 2.8032 0.6714 0.0068
-12 0.0142 0.0211 1.1104 0.5960 0.2713 0.5534 0.0257 0.1182 1.5404 3.5825 0.1287 0.0007
-11 -0.0172 0.0039 -1.3508 0.1097 0.1818 0.9130 -0.0063 0.1119 -0.3794 3.3906 0.7057 0.0012
-10 0.0180 0.0219 1.4134 0.6185 0.1627 0.5386 -0.0175 0.0944 -1.0497 2.8595 0.2981 0.0058
-9 -0.0073 0.0146 -0.5725 0.4124 0.5691 0.6815 0.0012 0.0956 0.0719 2.8959 0.9429 0.0053
-8 0.0336 0.0482 2.6320 1.3599 0.0108 0.1789 -0.0158 0.0798 -0.9452 2.4176 0.3483 0.0187
-7 -0.0214 0.0268 -1.6767 0.7563 0.0988 0.4524 0.0109 0.0906 0.6500 2.7465 0.5182 0.0079
-6 0.0029 0.0297 0.2267 0.8379 0.8214 0.4054 -0.0167 0.0740 -0.9982 2.2415 0.3222 0.0287
-5 -0.0040 0.0257 -0.3143 0.7248 0.7544 0.4714 -0.0054 0.0686 -0.3243 2.0774 0.7468 0.0421
-4 0.0231 0.0488 1.8081 1.3757 0.0756 0.1740 0.0120 0.0806 0.7206 2.4420 0.4740 0.0176
-3 0.0018 0.0505 0.1381 1.4254 0.8906 0.1592 0.0132 0.0938 0.7905 2.8419 0.4324 0.0061
-2 -0.0187 0.0319 -1.4618 0.8992 0.1490 0.3722 0.0088 0.1025 0.5241 3.1071 0.6021 0.0029
-1 0.0164 0.0483 1.2878 1.3628 0.2028 0.1780 -0.0162 0.0863 -0.9705 2.6161 0.3357 0.0112
APPENDICES
246
0 0.0041 0.0524 0.3207 1.4782 0.7496 0.1446 -0.0128 0.0736 -0.7659 2.2286 0.4467 0.0296
1 0.0408 0.0932 3.1958 2.6287 0.0022 0.0109 -0.0362 0.0374 -2.1662 1.1325 0.0343 0.2619
2 -0.0062 0.0870 -0.4840 2.4545 0.6301 0.0170 0.0001 0.0374 0.0037 1.1344 0.9971 0.2611
3 -0.0003 0.0867 -0.0236 2.4460 0.9812 0.0174 0.0253 0.0627 1.5136 1.9002 0.1354 0.0622
4 0.0104 0.0971 0.8149 2.7394 0.4183 0.0081 -0.0102 0.0525 -0.6089 1.5921 0.5449 0.1166
5 -0.0204 0.0767 -1.5970 2.1645 0.1155 0.0344 0.0000 0.0526 0.0017 1.5930 0.9987 0.1164
6 -0.0081 0.0686 -0.6370 1.9352 0.5266 0.0577 -0.0395 0.0130 -2.3674 0.3952 0.0212 0.6941
7 0.0163 0.0849 1.2780 2.3952 0.2062 0.0197 -0.0023 0.0107 -0.1389 0.3249 0.8900 0.7464
8 -0.0028 0.0821 -0.2196 2.3162 0.8270 0.0240 -0.0107 0.0001 -0.6379 0.0021 0.5259 0.9983
9 0.0001 0.0823 0.0114 2.3203 0.9910 0.0237 0.0193 0.0193 1.1530 0.5855 0.2535 0.5604
10 -0.0117 0.0706 -0.9139 1.9913 0.3644 0.0510 0.0191 0.0385 1.1460 1.1653 0.2563 0.2485
11 -0.0014 0.0692 -0.1131 1.9506 0.9104 0.0558 0.0074 0.0459 0.4459 1.3909 0.6573 0.1694
12 0.0128 0.0820 1.0027 2.3116 0.3200 0.0243 -0.0188 0.0271 -1.1280 0.8202 0.2638 0.4154
13 0.0033 0.0852 0.2577 2.4043 0.7975 0.0193 0.0240 0.0511 1.4385 1.5480 0.1555 0.1269
14 -0.0001 0.0851 -0.0098 2.4008 0.9923 0.0195 0.0074 0.0584 0.4404 1.7708 0.6612 0.0817
15 -0.0060 0.0791 -0.4690 2.2320 0.6408 0.0294 0.0092 0.0677 0.5520 2.0501 0.5830 0.0447
16 -0.0056 0.0735 -0.4418 2.0729 0.6602 0.0425 0.0003 0.0680 0.0179 2.0592 0.9858 0.0438
17 0.0156 0.0891 1.2232 2.5133 0.2260 0.0147 0.0068 0.0747 0.4050 2.2641 0.6869 0.0272
18 0.0098 0.0989 0.7665 2.7892 0.4464 0.0071 -0.0181 0.0567 -1.0816 1.7169 0.2838 0.0912
19 -0.0034 0.0955 -0.2678 2.6928 0.7898 0.0092 -0.0146 0.0420 -0.8773 1.2730 0.3838 0.2079
20 -0.0094 0.0861 -0.7360 2.4278 0.4646 0.0182 -0.0206 0.0214 -1.2341 0.6486 0.2220 0.5191
21 -0.0041 0.0819 -0.3237 2.3113 0.7473 0.0243 0.0211 0.0425 1.2609 1.2866 0.2122 0.2032
22 0.0059 0.0879 0.4644 2.4785 0.6440 0.0160 0.0094 0.0519 0.5648 1.5723 0.5743 0.1211
23 -0.0034 0.0845 -0.2671 2.3823 0.7903 0.0204 -0.0166 0.0353 -0.9945 1.0692 0.3240 0.2893
24 0.0014 0.0859 0.1115 2.4225 0.9116 0.0185 0.0026 0.0379 0.1581 1.1492 0.8749 0.2551
25 0.0034 0.0893 0.2660 2.5182 0.7912 0.0145 -0.0081 0.0298 -0.4869 0.9028 0.6281 0.3702
26 -0.0069 0.0824 -0.5380 2.3245 0.5926 0.0235 -0.0085 0.0213 -0.5114 0.6440 0.6109 0.5220
27 -0.0049 0.0775 -0.3833 2.1865 0.7029 0.0327 0.0207 0.0420 1.2401 1.2715 0.2197 0.2085
28 0.0035 0.0810 0.2729 2.2848 0.7858 0.0259 -0.0105 0.0315 -0.6283 0.9536 0.5322 0.3441
29 -0.0054 0.0757 -0.4197 2.1337 0.6762 0.0370 0.0017 0.0332 0.1007 1.0045 0.9201 0.3192
30 0.0010 0.0767 0.0808 2.1628 0.9359 0.0346 -0.0058 0.0274 -0.3448 0.8301 0.7315 0.4098
APPENDICES
247
Appendix 4.8: Calculated AAR, CAAR and corresponding t-values and p- values associated with 20% dividend increase/decrease decisions
alone based on GARCH Model:
Large Cap. Dividend Increase alone@20% Large Cap. Dividend Decrease alone@20%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0200 -0.0200 -1.5060 -0.4850 0.1373 0.6295 No Event
Is Selected Under This
Category
-29 0.0094 -0.0106 0.7091 -0.2566 0.4810 0.7984
-28 -0.0119 -0.0225 -0.8930 -0.5442 0.3754 0.5883
-27 0.0120 -0.0105 0.9017 -0.2538 0.3708 0.8005
-26 0.0046 -0.0059 0.3426 -0.1435 0.7331 0.8865
-25 0.0038 -0.0021 0.2886 -0.0506 0.7739 0.9599
-24 -0.0050 -0.0070 -0.3727 -0.1706 0.7107 0.8652
-23 0.0011 -0.0059 0.0843 -0.1435 0.9331 0.8865
-22 0.0002 -0.0057 0.0173 -0.1379 0.9863 0.8909
-21 -0.0087 -0.0143 -0.6508 -0.3475 0.5177 0.7295
-20 -0.0030 -0.0174 -0.2262 -0.4203 0.8218 0.6758
-19 -0.0001 -0.0175 -0.0100 -0.4236 0.9921 0.6734
-18 0.0067 -0.0108 0.5044 -0.2611 0.6158 0.7949
-17 0.0010 -0.0098 0.0765 -0.2365 0.9393 0.8139
-16 -0.0011 -0.0109 -0.0825 -0.2631 0.9345 0.7935
-15 -0.0043 -0.0152 -0.3251 -0.3678 0.7463 0.7144
-14 0.0012 -0.0140 0.0926 -0.3379 0.9265 0.7366
-13 0.0116 -0.0024 0.8711 -0.0574 0.3872 0.9545
-12 0.0067 0.0043 0.5007 0.1039 0.6184 0.9176
-11 -0.0044 -0.0001 -0.3314 -0.0029 0.7416 0.9978
-10 0.0105 0.0104 0.7910 0.2519 0.4321 0.8020
-9 0.0026 0.0130 0.1987 0.3159 0.8431 0.7532
-8 -0.0037 0.0093 -0.2776 0.2265 0.7824 0.8216
-7 -0.0030 0.0063 -0.2271 0.1534 0.8212 0.8786
-6 0.0146 0.0209 1.0962 0.5064 0.2774 0.6144
-5 -0.0125 0.0084 -0.9407 0.2034 0.3506 0.8395
APPENDICES
248
-4 -0.0040 0.0044 -0.3039 0.1056 0.7623 0.9163
-3 0.0065 0.0108 0.4878 0.2626 0.6275 0.7937
-2 0.0044 0.0153 0.3341 0.3702 0.7394 0.7125
-1 0.0231 0.0384 1.7379 0.9299 0.0874 0.3562
0 0.0211 0.0595 1.5857 1.4405 0.1181 0.1549
1 0.0089 0.0684 0.6710 1.6566 0.5048 0.1028
2 -0.0131 0.0553 -0.9868 1.3388 0.3278 0.1857
3 0.0041 0.0594 0.3120 1.4393 0.7561 0.1553
4 0.0037 0.0632 0.2817 1.5300 0.7791 0.1313
5 -0.0164 0.0467 -1.2370 1.1317 0.2209 0.2623
6 -0.0005 0.0462 -0.0405 1.1186 0.9678 0.2678
7 0.0086 0.0547 0.6445 1.3262 0.3011 0.1898
8 -0.0139 0.0409 -1.0431 0.9903 0.3011 0.3260
9 0.0003 0.0412 0.0260 0.9987 0.9793 0.3220
10 0.0023 0.0435 0.1734 1.0545 0.8630 0.2959
11 0.0011 0.0447 0.0850 1.0819 0.9325 0.2836
12 0.0122 0.0569 0.9192 1.3779 0.4441 0.1734
13 0.0102 0.0671 0.7703 1.6260 0.4441 0.1092
14 0.0203 0.0874 1.5241 2.1168 0.1327 0.0384
15 0.0024 0.0898 0.1781 2.1741 0.8592 0.0337
16 0.0007 0.0904 0.0496 2.1901 0.9606 0.0324
17 -0.0157 0.0747 -1.1782 1.8107 0.2434 0.0752
18 -0.0057 0.0690 -0.4312 1.6718 0.6679 0.0998
19 0.0378 0.1068 2.8421 2.5871 0.0061 0.0121
20 0.0021 0.1089 0.1605 2.6387 0.8730 0.0106
21 -0.0060 0.1029 -0.4533 2.4928 0.6520 0.0155
22 0.0033 0.1062 0.2448 2.5716 0.8075 0.0126
23 -0.0157 0.0905 -1.1805 2.1914 0.2425 0.0323
24 -0.0032 0.0872 -0.2426 2.1133 0.8091 0.0387
25 0.0134 0.1006 1.0081 2.4379 0.3174 0.0178
26 0.0004 0.1010 0.0280 2.4470 0.9777 0.0174
27 -0.0096 0.0914 -0.7244 2.2137 0.4717 0.0307
28 -0.0620 0.0294 -4.6657 0.7112 0.0000 0.4797
29 0.0051 0.0345 0.3862 0.8355 0.7007 0.4067
30 -0.0143 0.0202 -1.0736 0.4898 0.2873 0.6261
APPENDICES
249
Small Cap. Dividend Increase alone@20% Small Cap. Dividend Decrease alone@20%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0374 -0.0374 -1.2857 -0.3782 0.2035 0.7066 Events are not sufficient for final study
-29 0.0138 -0.0236 0.4732 -0.2390 0.6378 0.8119
-28 0.0006 -0.0230 0.0219 -0.2326 0.9826 0.8169
-27 -0.0068 -0.0298 -0.2355 -0.3018 0.8147 0.7638
-26 0.0055 -0.0243 0.1900 -0.2460 0.8500 0.8066
-25 0.0264 0.0021 0.9091 0.0215 0.3669 0.9829
-24 0.0900 0.0921 3.0937 0.9315 0.0030 0.3553
-23 -0.0076 0.0845 -0.2628 0.8542 0.7936 0.3964
-22 -0.0163 0.0682 -0.5607 0.6893 0.5771 0.4933
-21 -0.0124 0.0558 -0.4255 0.5641 0.6720 0.5748
-20 -0.0003 0.0555 -0.0115 0.5607 0.9909 0.5771
-19 -0.0117 0.0437 -0.4029 0.4422 0.6884 0.6599
-18 0.0117 0.0554 0.4005 0.5600 0.6902 0.5776
-17 -0.0093 0.0461 -0.3183 0.4664 0.7514 0.6426
-16 0.0038 0.0500 0.1319 0.5052 0.8955 0.6153
-15 0.0851 0.1350 2.9237 1.3652 0.0049 0.1773
-14 -0.0033 0.1317 -0.1151 1.3313 0.9087 0.1881
-13 -0.0387 0.0929 -1.3316 0.9397 0.1880 0.3512
-12 0.0220 0.1149 0.7570 1.1623 0.4520 0.2497
-11 0.0235 0.1384 0.8067 1.3996 0.4230 0.1668
-10 -0.0017 0.1367 -0.0596 1.3821 0.9527 0.1721
-9 0.0014 0.1381 0.0496 1.3967 0.9606 0.1677
-8 0.0133 0.1514 0.4576 1.5313 0.6489 0.1310
-7 0.0023 0.1538 0.0802 1.5549 0.9363 0.1252
-6 0.0909 0.2447 3.1246 2.4740 0.0027 0.0162
-5 -0.0411 0.2036 -1.4123 2.0585 0.1630 0.0439
-4 0.0313 0.2348 1.0743 2.3746 0.2870 0.0208
-3 -0.0191 0.2157 -0.6560 2.1816 0.5143 0.0331
-2 0.0433 0.2591 1.4888 2.6195 0.1418 0.0111
-1 0.0462 0.3053 1.5894 3.0870 0.1172 0.0031
0 -0.0066 0.2987 -0.2261 3.0205 0.8219 0.0037
APPENDICES
250
1 -0.0601 0.2386 -2.0656 2.4129 0.0432 0.0189
2 0.0108 0.2495 0.3725 2.5225 0.7109 0.0143
3 0.0199 0.2694 0.6855 2.7241 0.4957 0.0084
4 -0.0128 0.2566 -0.4394 2.5949 0.6619 0.0119
5 -0.0224 0.2342 -0.7703 2.3683 0.4441 0.0211
6 0.0025 0.2367 0.0856 2.3935 0.9321 0.0198
7 -0.0356 0.2011 -1.2243 2.0333 0.2256 0.0465
8 -0.0098 0.1913 -0.3359 1.9345 0.7381 0.0578
9 -0.0030 0.1883 -0.1043 1.9038 0.9172 0.0617
10 -0.0033 0.1850 -0.1142 1.8702 0.9094 0.0663
11 -0.0048 0.1802 -0.1646 1.8218 0.8698 0.0735
12 0.0094 0.1895 0.3225 1.9167 0.7482 0.0600
13 -0.0093 0.1803 -0.3185 1.8230 0.7512 0.0733
14 0.0213 0.2016 0.7311 2.0380 0.4675 0.0460
15 -0.0070 0.1946 -0.2400 1.9674 0.8111 0.0538
16 -0.0062 0.1883 -0.2140 1.9045 0.8313 0.0616
17 0.0677 0.2561 2.3281 2.5893 0.0233 0.0121
18 -0.0097 0.2464 -0.3334 2.4912 0.7400 0.0155
19 0.0053 0.2517 0.1823 2.5449 0.8560 0.0135
20 0.0090 0.2606 0.3081 2.6355 0.7591 0.0107
21 -0.0231 0.2375 -0.7945 2.4018 0.4301 0.0194
22 0.0065 0.2441 0.2251 2.4680 0.8227 0.0165
23 0.0179 0.2620 0.6148 2.6488 0.5410 0.0103
24 0.0287 0.2907 0.9873 2.9393 0.3275 0.0047
25 -0.0201 0.2705 -0.6923 2.7356 0.4914 0.0082
26 0.0173 0.2878 0.5934 2.9102 0.5551 0.0051
27 0.0175 0.3053 0.6012 3.0870 0.5500 0.0031
28 -0.0012 0.3041 -0.0417 3.0747 0.9669 0.0032
29 -0.0278 0.2762 -0.9567 2.7933 0.3426 0.0070
30 -0.0096 0.2666 -0.3308 2.6960 0.7420 0.0091
APPENDICES
251
Appendix 4.9: Calculated AAR, CAAR and corresponding t-values and p- values associated with dividend increase/decrease decisions alone
based on GARCH Model:
Large Cap. Dividend Increase alone@25% Large Cap. Dividend Decrease alone@25%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0152 0.0152 1.5687 1.5687 0.1220 0.2390 -0.0037 -0.0037 -0.3929 -0.0923 0.6958 0.9268
-29 0.0106 0.0258 1.0997 1.0997 0.2759 0.0475 -0.0062 -0.0099 -0.6667 -0.2490 0.5075 0.8042
-28 -0.0045 0.0213 -0.4691 0.4691 0.6407 0.1007 0.0066 -0.0033 0.7062 -0.0830 0.4828 0.9341
-27 -0.0095 0.0118 -0.9790 0.9790 0.3315 0.3586 0.0009 -0.0024 0.1003 -0.0594 0.9204 0.9528
-26 0.0144 0.0262 1.4848 1.4848 0.1428 0.0447 -0.0031 -0.0054 -0.3291 -0.1368 0.7432 0.8917
-25 -0.0001 0.0261 -0.0057 0.0057 0.9955 0.0451 0.0064 0.0010 0.6860 0.0244 0.4954 0.9806
-24 0.0003 0.0264 0.0300 0.0300 0.9762 0.0429 0.0090 0.0100 0.9648 0.2511 0.3385 0.8026
-23 -0.0155 0.0109 -1.6062 1.6062 0.1135 0.3979 0.0131 0.0231 1.4024 0.5806 0.1659 0.5637
-22 0.0075 0.0183 0.7728 0.7728 0.4426 0.1558 -0.0011 0.0220 -0.1216 0.5520 0.9036 0.5830
-21 -0.0079 0.0105 -0.8116 0.8116 0.4202 0.4143 0.0083 0.0303 0.8924 0.7617 0.3758 0.4492
-20 0.0024 0.0129 0.2506 0.2506 0.8030 0.3156 0.0113 0.0417 1.2113 1.0463 0.2305 0.2996
-19 0.0159 0.0288 1.6447 1.6447 0.1053 0.0275 -0.0010 0.0407 -0.1017 1.0224 0.9194 0.3107
-18 -0.0041 0.0247 -0.4220 0.4220 0.6746 0.0572 0.0140 0.0547 1.4949 1.3737 0.1402 0.1747
-17 -0.0069 0.0179 -0.7101 0.7101 0.4804 0.1665 0.0031 0.0578 0.3302 1.4513 0.7424 0.1519
-16 0.0093 0.0271 0.9561 0.9561 0.3429 0.0377 0.0180 0.0758 1.9237 1.9033 0.0591 0.0618
-15 0.0010 0.0281 0.0995 0.0995 0.9211 0.0316 0.0068 0.0825 0.7235 2.0732 0.4722 0.0425
-14 -0.0035 0.0246 -0.3584 0.3584 0.7213 0.0585 -0.0090 0.0735 -0.9647 1.8466 0.3386 0.0697
-13 -0.0056 0.0190 -0.5804 0.5804 0.5638 0.1417 0.0097 0.0832 1.0319 2.0890 0.3063 0.0410
-12 -0.0148 0.0042 -1.5339 1.5339 0.1303 0.7453 0.0051 0.0883 0.5505 2.2184 0.5841 0.0303
-11 0.0036 0.0077 0.3679 0.3679 0.7142 0.5473 -0.0116 0.0767 -1.2400 1.9270 0.2198 0.0587
-10 0.0004 0.0082 0.0447 0.0447 0.9645 0.5252 0.0045 0.0812 0.4799 2.0398 0.6331 0.0458
-9 -0.0020 0.0062 -0.2054 0.2054 0.8380 0.6306 -0.0047 0.0765 -0.5073 1.9206 0.6138 0.0595
-8 -0.0085 -0.0024 -0.8818 0.8818 0.3814 0.8538 -0.0008 0.0757 -0.0862 1.9003 0.9316 0.0622
-7 -0.0045 -0.0069 -0.4640 0.4640 0.6443 0.5934 0.0115 0.0871 1.2282 2.1889 0.2242 0.0325
-6 -0.0049 -0.0118 -0.5065 0.5065 0.6144 0.3608 0.0047 0.0918 0.5018 2.3068 0.6176 0.0245
-5 -0.0080 -0.0197 -0.8260 0.8260 0.4121 0.1271 0.0173 0.1091 1.8481 2.7410 0.0695 0.0081
APPENDICES
252
-4 0.0277 0.0079 2.8576 2.8576 0.0059 0.5381 -0.0090 0.1001 -0.9626 2.5149 0.3396 0.0146
-3 0.0194 0.0273 2.0026 2.0026 0.0497 0.0367 0.0042 0.1044 0.4533 2.6214 0.6519 0.0111
-2 0.0080 0.0352 0.8233 0.8233 0.4136 0.0076 0.0003 0.1047 0.0363 2.6299 0.9711 0.0108
-1 0.0073 0.0425 0.7514 0.7514 0.4553 0.0015 -0.0090 0.0957 -0.9659 2.4030 0.3380 0.0194
0 -0.0101 0.0325 -1.0391 1.0391 0.3029 0.0136 -0.0040 0.0917 -0.4262 2.3028 0.6715 0.0248
1 0.0097 0.0421 0.9973 0.9973 0.3226 0.0016 0.0038 0.0954 0.4021 2.3973 0.6891 0.0196
2 -0.0172 0.0249 -1.7780 1.7780 0.0805 0.0557 0.0109 0.1064 1.1689 2.6719 0.2471 0.0097
3 -0.0152 0.0097 -1.5706 1.5706 0.1215 0.4496 -0.0100 0.0964 -1.0652 2.4217 0.2911 0.0185
4 0.0042 0.0139 0.4377 0.4377 0.6632 0.2788 -0.0039 0.0925 -0.4166 2.3238 0.6785 0.0235
5 -0.0041 0.0098 -0.4279 0.4279 0.6702 0.4453 -0.0042 0.0883 -0.4460 2.2190 0.6572 0.0303
6 0.0010 0.0108 0.0986 0.0986 0.9217 0.4025 0.0113 0.0997 1.2124 2.5038 0.2301 0.0150
7 -0.0077 0.0031 -0.7914 0.7914 0.4319 0.8086 0.0013 0.1010 0.1391 2.5365 0.8898 0.0138
8 0.0003 0.0035 0.0359 0.0359 0.9715 0.7877 0.0051 0.1061 0.5416 2.6638 0.5901 0.0099
9 -0.0021 0.0013 -0.2189 0.2189 0.8274 0.9171 -0.0072 0.0989 -0.7700 2.4828 0.4443 0.0158
10 0.0150 0.0164 1.5525 1.5525 0.1258 0.2050 0.0153 0.1142 1.6376 2.8676 0.1067 0.0057
11 0.0105 0.0269 1.0853 1.0853 0.2821 0.0396 0.0014 0.1156 0.1520 2.9033 0.8797 0.0052
12 0.0131 0.0399 1.3515 1.3515 0.1816 0.0027 0.0021 0.1177 0.2283 2.9570 0.8202 0.0044
13 -0.0090 0.0309 -0.9317 0.9317 0.3552 0.0185 -0.0036 0.1141 -0.3863 2.8662 0.7006 0.0057
14 -0.0057 0.0252 -0.5930 0.5930 0.5554 0.0531 -0.0124 0.1017 -1.3274 2.5543 0.1894 0.0132
15 0.0002 0.0254 0.0180 0.0180 0.9857 0.0516 0.0050 0.1067 0.5332 2.6796 0.5958 0.0095
16 0.0022 0.0275 0.2224 0.2224 0.8248 0.0352 -0.0015 0.1052 -0.1574 2.6426 0.8755 0.0105
17 -0.0105 0.0170 -1.0839 1.0839 0.2828 0.1874 0.0157 0.1209 1.6740 3.0359 0.0993 0.0035
18 -0.0021 0.0149 -0.2198 0.2198 0.8267 0.2479 -0.0104 0.1105 -1.1112 2.7748 0.2709 0.0074
19 0.0098 0.0247 1.0146 1.0146 0.3144 0.0576 0.0068 0.1173 0.7289 2.9461 0.4689 0.0046
20 -0.0075 0.0172 -0.7776 0.7776 0.4399 0.1832 -0.0075 0.1098 -0.8028 2.7575 0.4252 0.0077
21 0.0123 0.0295 1.2724 1.2724 0.2081 0.0243 0.0041 0.1139 0.4355 2.8598 0.6648 0.0058
22 -0.0061 0.0234 -0.6335 0.6335 0.5288 0.0721 0.0031 0.1170 0.3309 2.9375 0.7419 0.0047
23 0.0013 0.0247 0.1334 0.1334 0.8943 0.0581 -0.0218 0.0952 -2.3271 2.3908 0.0234 0.0200
24 -0.0179 0.0068 -1.8468 1.8468 0.0697 0.5968 -0.0064 0.0887 -0.6883 2.2290 0.4939 0.0296
25 -0.0051 0.0017 -0.5231 0.5231 0.6028 0.8928 -0.0111 0.0776 -1.1919 1.9490 0.2380 0.0560
26 -0.0009 0.0009 -0.0901 0.0901 0.9285 0.9468 0.0294 0.1070 3.1420 2.6872 0.0026 0.0093
27 0.0034 0.0043 0.3532 0.3532 0.7252 0.7390 0.0106 0.1176 1.1355 2.9540 0.2607 0.0045
28 0.0021 0.0064 0.2208 0.2208 0.8260 0.6174 0.0131 0.1307 1.3968 3.2822 0.1676 0.0017
29 0.0088 0.0152 0.9049 0.9049 0.3692 0.2395 0.0146 0.1453 1.5628 3.6494 0.1234 0.0006
30 0.0118 0.0270 1.2201 1.2201 0.2272 0.0388 0.0047 0.1500 0.5070 3.7685 0.6140 0.0004
APPENDICES
253
Small Cap. Dividend Increase alone@25% Small Cap. Dividend Decrease alone@25%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0031 -0.0031 -0.4002 -0.0788 0.6904 0.9374 -0.0080 -0.0080 -1.1473 -0.4260 0.2558 0.6717
-29 0.0026 -0.0005 0.3362 -0.0126 0.7379 0.9900 -0.0055 -0.0136 -0.7880 -0.7185 0.4338 0.4752
-28 0.0062 0.0057 0.8106 0.1471 0.4208 0.8836 0.0149 0.0013 2.1211 0.0690 0.0381 0.9452
-27 0.0093 0.0151 1.2148 0.3864 0.2292 0.7006 -0.0021 -0.0008 -0.2985 -0.0419 0.7663 0.9667
-26 -0.0001 0.0150 -0.0075 0.3849 0.9940 0.7017 -0.0029 -0.0037 -0.4129 -0.1952 0.6812 0.8459
-25 0.0033 0.0183 0.4236 0.4684 0.6734 0.6412 0.0152 0.0115 2.1715 0.6111 0.0339 0.5435
-24 -0.0062 0.0121 -0.8096 0.3089 0.4213 0.7585 0.0030 0.0145 0.4285 0.7702 0.6698 0.4442
-23 0.0065 0.0186 0.8508 0.4765 0.3982 0.6355 -0.0017 0.0129 -0.2366 0.6823 0.8138 0.4977
-22 -0.0072 0.0114 -0.9407 0.2912 0.3506 0.7719 -0.0115 0.0014 -1.6349 0.0753 0.1073 0.9402
-21 0.0000 0.0114 0.0046 0.2921 0.9964 0.7712 0.0149 0.0163 2.1275 0.8652 0.0375 0.3904
-20 -0.0071 0.0043 -0.9170 0.1114 0.3628 0.9117 -0.0131 0.0032 -1.8705 0.1708 0.0663 0.8650
-19 -0.0034 0.0010 -0.4357 0.0256 0.6646 0.9797 0.0029 0.0061 0.4112 0.3234 0.6824 0.7475
-18 -0.0067 -0.0057 -0.8736 -0.1465 0.3858 0.8840 0.0016 0.0077 0.2216 0.4057 0.8254 0.6864
-17 0.0070 0.0013 0.9110 0.0329 0.3659 0.9738 0.0105 0.0181 1.4961 0.9612 0.1399 0.3403
-16 -0.0055 -0.0042 -0.7199 -0.1089 0.4744 0.9137 0.0008 0.0189 0.1094 1.0018 0.9133 0.3205
-15 -0.0069 -0.0112 -0.9021 -0.2866 0.3706 0.7754 0.0046 0.0235 0.6579 1.2461 0.5131 0.2176
-14 0.0108 -0.0004 1.4079 -0.0092 0.1643 0.9927 0.0062 0.0297 0.8835 1.5741 0.3805 0.1207
-13 0.0129 0.0126 1.6802 0.3218 0.0981 0.7487 0.0009 0.0306 0.1334 1.6236 0.8943 0.1097
-12 0.0001 0.0127 0.0167 0.3251 0.9867 0.7463 -0.0014 0.0292 -0.2066 1.5469 0.8370 0.1271
-11 0.0048 0.0175 0.6231 0.4478 0.5356 0.6559 0.0062 0.0354 0.8892 1.8770 0.3775 0.0654
-10 -0.0017 0.0158 -0.2202 0.4045 0.8265 0.6873 -0.0057 0.0298 -0.8065 1.5776 0.4231 0.1199
-9 0.0168 0.0326 2.1809 0.8341 0.0331 0.4075 0.0027 0.0324 0.3788 1.7182 0.7062 0.0909
-8 0.0098 0.0423 1.2720 1.0847 0.2083 0.2824 -0.0061 0.0264 -0.8639 1.3975 0.3911 0.1674
-7 -0.0002 0.0422 -0.0218 1.0804 0.9827 0.2843 -0.0129 0.0135 -1.8380 0.7151 0.0710 0.4773
-6 0.0015 0.0437 0.1974 1.1193 0.8442 0.2675 0.0102 0.0237 1.4516 1.2540 0.1518 0.2147
-5 0.0025 0.0462 0.3298 1.1843 0.7427 0.2410 0.0045 0.0282 0.6424 1.4925 0.5230 0.1408
-4 -0.0045 0.0417 -0.5848 1.0691 0.5609 0.2893 0.0005 0.0286 0.0680 1.5178 0.9460 0.1343
-3 0.0063 0.0480 0.8163 1.2299 0.4175 0.2235 0.0069 0.0355 0.9808 1.8819 0.3306 0.0647
-2 0.0222 0.0702 2.8824 1.7977 0.0055 0.0773 0.0024 0.0379 0.3429 2.0092 0.7329 0.0490
-1 0.0093 0.0795 1.2100 2.0361 0.2310 0.0462 -0.0010 0.0369 -0.1394 1.9575 0.8896 0.0549
APPENDICES
254
0 -0.0012 0.0782 -0.1605 2.0045 0.8730 0.0495 0.0096 0.0465 1.3678 2.4653 0.1765 0.0166
1 -0.0007 0.0776 -0.0862 1.9875 0.9316 0.0514 -0.0042 0.0423 -0.5981 2.2432 0.5520 0.0286
2 0.0030 0.0805 0.3869 2.0637 0.7002 0.0434 -0.0035 0.0388 -0.4993 2.0578 0.6194 0.0440
3 -0.0060 0.0745 -0.7842 1.9092 0.4360 0.0610 -0.0072 0.0317 -1.0206 1.6789 0.3116 0.0984
4 0.0109 0.0854 1.4187 2.1887 0.1612 0.0325 -0.0003 0.0314 -0.0411 1.6637 0.9674 0.1014
5 0.0041 0.0895 0.5326 2.2937 0.5962 0.0253 0.0084 0.0398 1.2027 2.1102 0.2338 0.0390
6 -0.0042 0.0853 -0.5504 2.1852 0.5841 0.0328 0.0056 0.0454 0.7961 2.4057 0.4291 0.0192
7 -0.0152 0.0701 -1.9774 1.7957 0.0526 0.0776 -0.0011 0.0443 -0.1542 2.3485 0.8780 0.0222
8 0.0098 0.0799 1.2797 2.0478 0.2056 0.0450 -0.0003 0.0440 -0.0475 2.3309 0.9623 0.0231
9 -0.0007 0.0793 -0.0847 2.0311 0.9328 0.0467 -0.0013 0.0427 -0.1908 2.2600 0.8493 0.0275
10 0.0105 0.0898 1.3677 2.3005 0.1765 0.0249 0.0110 0.0537 1.5748 2.8447 0.1206 0.0061
11 0.0030 0.0928 0.3912 2.3776 0.6971 0.0206 -0.0018 0.0519 -0.2621 2.7474 0.7942 0.0079
12 -0.0007 0.0921 -0.0864 2.3606 0.9314 0.0215 -0.0055 0.0463 -0.7892 2.4544 0.4331 0.0170
13 0.0154 0.1075 2.0028 2.7551 0.0497 0.0078 0.0145 0.0609 2.0721 3.2237 0.0426 0.0020
14 -0.0024 0.1051 -0.3144 2.6932 0.7543 0.0092 -0.0047 0.0561 -0.6729 2.9739 0.5036 0.0042
15 -0.0035 0.1016 -0.4519 2.6042 0.6530 0.0116 -0.0037 0.0524 -0.5324 2.7762 0.5964 0.0073
16 -0.0120 0.0897 -1.5558 2.2977 0.1250 0.0251 -0.0024 0.0500 -0.3411 2.6496 0.7343 0.0103
17 -0.0173 0.0724 -2.2524 1.8539 0.0280 0.0687 0.0045 0.0545 0.6351 2.8854 0.5278 0.0054
18 0.0062 0.0785 0.8039 2.0123 0.4246 0.0487 0.0073 0.0617 1.0372 3.2705 0.3038 0.0018
19 0.0051 0.0836 0.6615 2.1426 0.5108 0.0362 0.0007 0.0624 0.0977 3.3068 0.9225 0.0016
20 0.0054 0.0890 0.7021 2.2809 0.4853 0.0261 -0.0095 0.0529 -1.3592 2.8022 0.1792 0.0068
21 0.0092 0.0982 1.1914 2.5156 0.2382 0.0146 0.0000 0.0529 -0.0006 2.8019 0.9995 0.0068
22 0.0008 0.0990 0.1083 2.5370 0.9141 0.0138 -0.0001 0.0527 -0.0208 2.7942 0.9834 0.0070
23 -0.0008 0.0982 -0.1066 2.5160 0.9155 0.0146 -0.0013 0.0515 -0.1820 2.7266 0.8562 0.0084
24 -0.0102 0.0880 -1.3276 2.2544 0.1893 0.0278 -0.0018 0.0497 -0.2584 2.6307 0.7970 0.0108
25 0.0118 0.0998 1.5368 2.5572 0.1296 0.0131 -0.0158 0.0339 -2.2528 1.7942 0.0279 0.0778
26 -0.0052 0.0946 -0.6778 2.4236 0.5005 0.0184 0.0033 0.0372 0.4692 1.9684 0.6406 0.0536
27 -0.0002 0.0944 -0.0297 2.4178 0.9764 0.0187 0.0093 0.0465 1.3337 2.4636 0.1873 0.0166
28 0.0021 0.0965 0.2740 2.4718 0.7850 0.0163 -0.0027 0.0438 -0.3857 2.3204 0.7011 0.0237
29 0.0041 0.1005 0.5295 2.5761 0.5984 0.0125 -0.0021 0.0417 -0.3041 2.2075 0.7621 0.0311
30 -0.0050 0.0955 -0.6539 2.4473 0.5156 0.0173 -0.0040 0.0377 -0.5639 1.9982 0.5749 0.0502
APPENDICES
255
Appendix 4.10: Calculated AAR, CAAR and corresponding t-values and p- values associated with 50% dividend increase/decrease
decisions alone based on GARCH Model:
Large Cap. Dividend Increase alone@50% Large Cap. Dividend Decrease alone@50%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0072 0.0072 0.8188 0.1899 0.4161 0.8501 Events are insufficient for the study
-29 0.0149 0.0221 1.6986 0.5837 0.0946 0.5616
-28 0.0080 0.0301 0.9073 0.7941 0.3679 0.4303
-27 0.0056 0.0357 0.6390 0.9423 0.5253 0.3498
-26 0.0024 0.0381 0.2747 1.0060 0.7845 0.3185
-25 -0.0065 0.0316 -0.7420 0.8339 0.4610 0.4076
-24 -0.0094 0.0222 -1.0688 0.5861 0.2894 0.5600
-23 0.0042 0.0264 0.4827 0.6980 0.6311 0.4879
-22 -0.0074 0.0191 -0.8391 0.5034 0.4048 0.6165
-21 -0.0045 0.0145 -0.5141 0.3843 0.6091 0.7021
-20 -0.0070 0.0075 -0.7971 0.1994 0.4285 0.8426
-19 0.0081 0.0156 0.9198 0.4127 0.3613 0.6813
-18 -0.0012 0.0144 -0.1339 0.3817 0.8939 0.7041
-17 0.0064 0.0208 0.7283 0.5505 0.4693 0.5840
-16 0.0081 0.0290 0.9272 0.7655 0.3575 0.4470
-15 0.0054 0.0343 0.6103 0.9070 0.5440 0.3680
-14 0.0110 0.0454 1.2568 1.1985 0.2137 0.2354
-13 -0.0014 0.0440 -0.1546 1.1626 0.8777 0.2496
-12 -0.0114 0.0326 -1.2999 0.8612 0.1986 0.3926
-11 0.0040 0.0366 0.4595 0.9678 0.6475 0.3371
-10 0.0029 0.0396 0.3330 1.0450 0.7403 0.3002
-9 0.0031 0.0426 0.3496 1.1261 0.7278 0.2646
-8 0.0037 0.0463 0.4244 1.2245 0.6728 0.2256
-7 0.0002 0.0465 0.0204 1.2292 0.9838 0.2238
-6 0.0013 0.0479 0.1533 1.2647 0.8787 0.2109
APPENDICES
256
-5 0.0081 0.0560 0.9265 1.4795 0.3579 0.1442
-4 -0.0059 0.0501 -0.6774 1.3225 0.5008 0.1910
-3 0.0049 0.0550 0.5586 1.4520 0.5785 0.1517
-2 0.0016 0.0566 0.1819 1.4942 0.8563 0.1404
-1 0.0109 0.0675 1.2441 1.7827 0.2183 0.0797
0 0.0024 0.0699 0.2755 1.8466 0.7839 0.0697
1 -0.0021 0.0678 -0.2405 1.7908 0.8108 0.0784
2 -0.0055 0.0623 -0.6213 1.6467 0.5367 0.1048
3 -0.0085 0.0539 -0.9649 1.4230 0.3385 0.1599
4 0.0308 0.0847 3.5128 2.2375 0.0008 0.0290
5 -0.0016 0.0831 -0.1768 2.1965 0.8603 0.0319
6 -0.0051 0.0780 -0.5810 2.0618 0.5634 0.0436
7 0.0034 0.0815 0.3887 2.1519 0.6989 0.0354
8 -0.0001 0.0814 -0.0076 2.1502 0.9939 0.0356
9 0.0072 0.0886 0.8204 2.3404 0.4152 0.0226
10 0.0165 0.1050 1.8752 2.7752 0.0656 0.0073
11 0.0121 0.1172 1.3820 3.0956 0.1721 0.0030
12 0.0153 0.1324 1.7391 3.4989 0.0872 0.0009
13 -0.0012 0.1313 -0.1341 3.4678 0.8938 0.0010
14 -0.0069 0.1243 -0.7901 3.2846 0.4326 0.0017
15 -0.0220 0.1023 -2.5093 2.7028 0.0148 0.0089
16 -0.0034 0.0989 -0.3899 2.6123 0.6980 0.0113
17 0.0045 0.1034 0.5115 2.7310 0.6109 0.0083
18 -0.0022 0.1012 -0.2486 2.6733 0.8046 0.0097
19 0.0023 0.1034 0.2567 2.7328 0.7983 0.0082
20 0.0110 0.1145 1.2572 3.0244 0.2135 0.0037
21 0.0137 0.1282 1.5600 3.3861 0.1240 0.0013
22 -0.0058 0.1223 -0.6641 3.2321 0.5092 0.0020
23 -0.0196 0.1027 -2.2357 2.7137 0.0291 0.0087
24 0.0072 0.1099 0.8152 2.9027 0.4182 0.0052
25 0.0082 0.1180 0.9306 3.1185 0.3558 0.0028
26 -0.0112 0.1068 -1.2779 2.8222 0.2062 0.0065
27 0.0040 0.1108 0.4593 2.9287 0.6477 0.0048
28 0.0030 0.1139 0.3444 3.0085 0.7318 0.0038
29 -0.0060 0.1079 -0.6787 2.8512 0.4999 0.0060
APPENDICES
257
30 0.0003 0.1082 0.0368 2.8597 0.9708 0.0058
Mid. Cap. Dividend Increase alone@50% Mid. Cap. Dividend Decrease alone@50%
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0112 -0.0112 -0.4930 -0.2808 0.6238 0.7798 No event found for final study
-29 -0.0204 -0.0316 -0.8932 -0.7896 0.3753 0.4329
-28 -0.0180 -0.0496 -0.7899 -1.2395 0.4327 0.2200
-27 -0.0104 -0.0600 -0.4558 -1.4991 0.6502 0.1391
-26 -0.0400 -0.1000 -1.7559 -2.4992 0.0842 0.0152
-25 -0.0002 -0.1002 -0.0080 -2.5038 0.9936 0.0150
-24 0.0601 -0.0402 2.6343 -1.0034 0.0107 0.3197
-23 -0.0078 -0.0480 -0.3426 -1.1985 0.7331 0.2354
-22 -0.0085 -0.0565 -0.3744 -1.4118 0.7094 0.1632
-21 -0.0018 -0.0583 -0.0798 -1.4572 0.9367 0.1503
-20 -0.0076 -0.0659 -0.3323 -1.6465 0.7408 0.1049
-19 0.0235 -0.0424 1.0295 -1.0601 0.3074 0.2933
-18 -0.0025 -0.0449 -0.1102 -1.1229 0.9126 0.2660
-17 -0.0084 -0.0533 -0.3679 -1.3324 0.7142 0.1878
-16 -0.0345 -0.0879 -1.5151 -2.1954 0.1350 0.0320
-15 -0.0103 -0.0981 -0.4501 -2.4518 0.6542 0.0171
-14 0.0012 -0.0969 0.0535 -2.4213 0.9575 0.0185
-13 -0.0147 -0.1116 -0.6447 -2.7885 0.5216 0.0071
-12 0.0002 -0.1114 0.0083 -2.7838 0.9934 0.0072
-11 0.0103 -0.1011 0.4522 -2.5262 0.6527 0.0142
-10 -0.0025 -0.1037 -0.1109 -2.5894 0.9120 0.0120
-9 -0.0027 -0.1064 -0.1195 -2.6574 0.9053 0.0101
-8 0.0240 -0.0824 1.0534 -2.0574 0.2964 0.0440
-7 0.0053 -0.0770 0.2341 -1.9241 0.8157 0.0591
-6 -0.0010 -0.0780 -0.0440 -1.9492 0.9650 0.0560
-5 -0.0006 -0.0786 -0.0266 -1.9643 0.9789 0.0541
-4 -0.0164 -0.0951 -0.7210 -2.3750 0.4737 0.0208
-3 -0.0209 -0.1159 -0.9154 -2.8964 0.3637 0.0053
-2 -0.0010 -0.1170 -0.0458 -2.9225 0.9636 0.0049
APPENDICES
258
-1 -0.0014 -0.1184 -0.0599 -2.9566 0.9524 0.0044
0 -0.0075 -0.1259 -0.3299 -3.1445 0.7426 0.0026
1 -0.0113 -0.1372 -0.4957 -3.4268 0.6219 0.0011
2 0.0283 -0.1089 1.2394 -2.7208 0.2200 0.0085
3 0.0182 -0.0907 0.7983 -2.2662 0.4279 0.0271
4 0.0375 -0.0532 1.6463 -1.3284 0.1049 0.1891
5 -0.0181 -0.0713 -0.7947 -1.7811 0.4299 0.0800
6 0.0267 -0.0446 1.1711 -1.1140 0.2462 0.2697
7 0.0248 -0.0197 1.0898 -0.4933 0.2802 0.6236
8 0.0125 -0.0072 0.5495 -0.1803 0.5847 0.8576
9 -0.0097 -0.0170 -0.4272 -0.4236 0.6708 0.6734
10 -0.0085 -0.0254 -0.3722 -0.6356 0.7110 0.5275
11 -0.0140 -0.0394 -0.6119 -0.9841 0.5429 0.3290
12 0.0075 -0.0319 0.3304 -0.7959 0.7422 0.4292
13 0.0296 -0.0023 1.2977 -0.0568 0.1994 0.9549
14 -0.0182 -0.0205 -0.7978 -0.5112 0.4281 0.6111
15 0.0029 -0.0175 0.1288 -0.4378 0.8979 0.6631
16 -0.0071 -0.0246 -0.3101 -0.6144 0.7576 0.5412
17 -0.0197 -0.0443 -0.8627 -1.1058 0.3918 0.2732
18 -0.0090 -0.0533 -0.3948 -1.3307 0.6944 0.1883
19 0.0097 -0.0435 0.4266 -1.0877 0.6712 0.2811
20 0.0027 -0.0409 0.1175 -1.0208 0.9069 0.3114
21 -0.0438 -0.0846 -1.9197 -2.1143 0.0597 0.0387
22 -0.0408 -0.1254 -1.7890 -3.1333 0.0787 0.0027
23 0.0129 -0.1125 0.5652 -2.8113 0.5740 0.0067
24 -0.0078 -0.1203 -0.3418 -3.0060 0.7337 0.0039
25 0.0052 -0.1152 0.2262 -2.8772 0.8218 0.0055
26 0.0750 -0.0402 3.2877 -1.0045 0.0017 0.3192
27 0.0001 -0.0401 0.0065 -1.0008 0.9948 0.3209
28 0.0454 0.0054 1.9920 0.1338 0.0509 0.8940
29 -0.0182 -0.0128 -0.7966 -0.3199 0.4288 0.7501
30 0.0512 0.0384 2.2455 0.9591 0.0284 0.3414
Small Cap. Dividend Increase alone@50% Small Cap. Dividend Decrease alone@50%
APPENDICES
259
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 0.0126 0.0126 1.9964 0.7671 0.0504 0.4460 -0.0042 -0.0042 -0.2791 -0.0563 0.7812 0.9553
-29 -0.0051 0.0076 -0.8019 0.4590 0.4258 0.6479 -0.0124 -0.0166 -0.8253 -0.2227 0.4125 0.8245
-28 0.0001 0.0076 0.0145 0.4645 0.9885 0.6440 -0.0143 -0.0308 -0.9510 -0.4144 0.3454 0.6800
-27 0.0104 0.0181 1.6480 1.0978 0.1046 0.2767 -0.0014 -0.0323 -0.0966 -0.4339 0.9233 0.6659
-26 -0.0026 0.0154 -0.4174 0.9374 0.6779 0.3523 0.0221 -0.0102 1.4703 -0.1375 0.1467 0.8911
-25 -0.0034 0.0121 -0.5300 0.7337 0.5980 0.4660 0.0033 -0.0070 0.2182 -0.0935 0.8280 0.9259
-24 0.0019 0.0140 0.3052 0.8510 0.7613 0.3982 -0.0064 -0.0133 -0.4256 -0.1793 0.6719 0.8583
-23 -0.0005 0.0135 -0.0768 0.8215 0.9391 0.4146 0.0027 -0.0106 0.1811 -0.1428 0.8569 0.8870
-22 -0.0073 0.0062 -1.1616 0.3751 0.2500 0.7089 -0.0161 -0.0267 -1.0739 -0.3593 0.2872 0.7206
-21 -0.0042 0.0019 -0.6688 0.1182 0.5062 0.9063 0.0111 -0.0157 0.7375 -0.2106 0.4637 0.8339
-20 0.0041 0.0060 0.6470 0.3668 0.5201 0.7151 0.0074 -0.0083 0.4902 -0.1118 0.6258 0.9114
-19 0.0065 0.0126 1.0293 0.7623 0.3075 0.4489 0.0000 -0.0083 0.0032 -0.1111 0.9975 0.9119
-18 -0.0065 0.0061 -1.0195 0.3705 0.3120 0.7123 -0.0085 -0.0168 -0.5668 -0.2254 0.5730 0.8224
-17 -0.0023 0.0038 -0.3608 0.2319 0.7195 0.8174 0.0008 -0.0159 0.0565 -0.2140 0.9551 0.8313
-16 0.0033 0.0071 0.5258 0.4339 0.6009 0.6659 0.0002 -0.0157 0.0130 -0.2114 0.9897 0.8333
-15 0.0042 0.0113 0.6619 0.6883 0.5106 0.4939 0.0097 -0.0060 0.6459 -0.0811 0.5208 0.9356
-14 -0.0077 0.0036 -1.2155 0.2212 0.2289 0.8257 0.0087 0.0026 0.5767 0.0351 0.5663 0.9721
-13 -0.0062 -0.0026 -0.9840 -0.1569 0.3291 0.8759 -0.0085 -0.0058 -0.5639 -0.0786 0.5749 0.9376
-12 0.0082 0.0056 1.3007 0.3429 0.1983 0.7329 -0.0149 -0.0208 -0.9950 -0.2792 0.3237 0.7810
-11 -0.0072 -0.0016 -1.1433 -0.0964 0.2575 0.9235 -0.0085 -0.0293 -0.5665 -0.3934 0.5732 0.6954
-10 -0.0069 -0.0085 -1.0899 -0.5152 0.2801 0.6083 -0.0019 -0.0312 -0.1287 -0.4194 0.8980 0.6764
-9 -0.0003 -0.0088 -0.0518 -0.5351 0.9589 0.5946 -0.0063 -0.0375 -0.4184 -0.5038 0.6772 0.6163
-8 0.0012 -0.0076 0.1840 -0.4644 0.8546 0.6441 0.0068 -0.0306 0.4565 -0.4117 0.6497 0.6820
-7 -0.0031 -0.0108 -0.4949 -0.6545 0.6225 0.5153 -0.0060 -0.0366 -0.3973 -0.4918 0.6926 0.6246
-6 0.0093 -0.0015 1.4685 -0.0903 0.1472 0.9284 -0.0094 -0.0460 -0.6276 -0.6184 0.5326 0.5387
-5 -0.0008 -0.0023 -0.1249 -0.1383 0.9010 0.8905 0.0101 -0.0359 0.6739 -0.4825 0.5029 0.6312
-4 -0.0046 -0.0069 -0.7232 -0.4162 0.4724 0.6788 0.0112 -0.0247 0.7464 -0.3320 0.4583 0.7411
-3 -0.0065 -0.0133 -1.0227 -0.8091 0.3106 0.4216 -0.0124 -0.0371 -0.8277 -0.4989 0.4111 0.6197
-2 -0.0009 -0.0142 -0.1403 -0.8630 0.8889 0.3916 0.0064 -0.0307 0.4269 -0.4128 0.6710 0.6812
-1 0.0099 -0.0043 1.5669 -0.2609 0.1224 0.7951 -0.0155 -0.0462 -1.0353 -0.6215 0.3047 0.5366
0 0.0049 0.0006 0.7771 0.0377 0.4401 0.9701 0.0120 -0.0342 0.8004 -0.4601 0.4267 0.6471
1 0.0060 0.0066 0.9493 0.4025 0.3463 0.6888 -0.0031 -0.0373 -0.2046 -0.5014 0.8386 0.6179
APPENDICES
260
2 0.0142 0.0209 2.2482 1.2663 0.0282 0.2103 -0.0096 -0.0469 -0.6387 -0.6302 0.5254 0.5310
3 -0.0060 0.0149 -0.9434 0.9038 0.3493 0.3697 0.0064 -0.0405 0.4274 -0.5440 0.6706 0.5885
4 -0.0013 0.0136 -0.2027 0.8259 0.8400 0.4121 0.0090 -0.0315 0.5979 -0.4234 0.5522 0.6735
5 -0.0072 0.0064 -1.1332 0.3905 0.2616 0.6975 0.0414 0.0099 2.7610 0.1333 0.0076 0.8944
6 -0.0071 -0.0006 -1.1173 -0.0388 0.2683 0.9692 0.0525 0.0624 3.4978 0.8386 0.0009 0.4050
7 -0.0056 -0.0062 -0.8838 -0.3784 0.3803 0.7064 0.0427 0.1050 2.8433 1.4119 0.0061 0.1631
8 0.0032 -0.0030 0.5130 -0.1813 0.6098 0.8568 0.0051 0.1101 0.3393 1.4803 0.7356 0.1440
9 -0.0034 -0.0064 -0.5429 -0.3899 0.5892 0.6980 -0.0064 0.1037 -0.4293 1.3938 0.6693 0.1685
10 -0.0062 -0.0126 -0.9787 -0.7660 0.3317 0.4467 0.0174 0.1211 1.1584 1.6273 0.2513 0.1089
11 -0.0058 -0.0184 -0.9098 -1.1155 0.3666 0.2691 0.0094 0.1305 0.6287 1.7541 0.5319 0.0845
12 -0.0014 -0.0198 -0.2248 -1.2019 0.8229 0.2341 0.0343 0.1648 2.2841 2.2147 0.0259 0.0306
13 -0.0027 -0.0225 -0.4226 -1.3643 0.6741 0.1776 0.0121 0.1768 0.8051 2.3770 0.4240 0.0207
14 -0.0059 -0.0283 -0.9250 -1.7197 0.3587 0.0906 -0.0117 0.1651 -0.7804 2.2197 0.4382 0.0302
15 -0.0112 -0.0395 -1.7748 -2.4017 0.0810 0.0194 -0.0109 0.1542 -0.7253 2.0734 0.4711 0.0424
16 0.0082 -0.0313 1.2955 -1.9039 0.2001 0.0617 -0.0260 0.1282 -1.7335 1.7239 0.0881 0.0899
17 0.0036 -0.0277 0.5709 -1.6845 0.5702 0.0973 -0.0037 0.1245 -0.2474 1.6740 0.8054 0.0993
18 0.0021 -0.0256 0.3341 -1.5561 0.7394 0.1249 -0.0108 0.1137 -0.7202 1.5287 0.4742 0.1316
19 0.0012 -0.0244 0.1959 -1.4808 0.8453 0.1439 0.0153 0.1290 1.0195 1.7343 0.3120 0.0880
20 0.0030 -0.0213 0.4798 -1.2964 0.6331 0.1998 -0.0044 0.1246 -0.2921 1.6754 0.7712 0.0991
21 -0.0144 -0.0357 -2.2750 -2.1706 0.0265 0.0339 -0.0175 0.1071 -1.1697 1.4396 0.2468 0.1552
22 0.0044 -0.0313 0.6997 -1.9017 0.4868 0.0620 0.0075 0.1146 0.5008 1.5406 0.6183 0.1287
23 0.0084 -0.0229 1.3258 -1.3923 0.1899 0.1690 0.0028 0.1174 0.1876 1.5784 0.8518 0.1197
24 0.0047 -0.0182 0.7479 -1.1049 0.4574 0.2736 0.0006 0.1180 0.0401 1.5865 0.9681 0.1179
25 0.0036 -0.0146 0.5748 -0.8840 0.5675 0.3802 -0.0007 0.1173 -0.0480 1.5768 0.9618 0.1201
26 -0.0123 -0.0269 -1.9443 -1.6311 0.0566 0.1081 0.0101 0.1274 0.6725 1.7124 0.5039 0.0920
27 -0.0059 -0.0328 -0.9366 -1.9910 0.3527 0.0510 -0.0134 0.1139 -0.8963 1.5317 0.3737 0.1309
28 -0.0005 -0.0333 -0.0761 -2.0202 0.9396 0.0478 -0.0021 0.1118 -0.1411 1.5032 0.8883 0.1380
29 -0.0052 -0.0385 -0.8288 -2.3387 0.4105 0.0227 0.0044 0.1162 0.2931 1.5623 0.7704 0.1235
30 0.0126 0.0126 1.9964 0.7671 0.0504 0.4460 -0.0196 0.0966 -1.3050 1.2992 0.1969 0.1988
APPENDICES
261
Appendix 4.11: Calculated AAR, CAAR and corresponding t-values and p- values associated with the events such as, dividend initiation,
omission, based on GARCH Model:
Large Cap. Initiation Large Cap. Omission
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0086 -0.0086 -1.2890 -0.5796 0.2024 0.5644 -0.0007 -0.0007 -0.1004 -0.0163 0.9203 0.9871
-29 -0.0070 -0.0156 -1.0588 -1.0557 0.2939 0.2953 -0.0040 -0.0047 -0.5681 -0.1083 0.5721 0.9141
-28 -0.0087 -0.0243 -1.3064 -1.6432 0.1964 0.1056 0.0030 -0.0017 0.4237 -0.0396 0.6733 0.9685
-27 0.0076 -0.0167 1.1487 -1.1266 0.2552 0.2644 -0.0001 -0.0019 -0.0197 -0.0428 0.9843 0.9660
-26 -0.0014 -0.0181 -0.2079 -1.2201 0.8360 0.2272 0.0087 0.0068 1.2183 0.1544 0.2279 0.8778
-25 -0.0045 -0.0225 -0.6729 -1.5227 0.5036 0.1331 0.0062 0.0130 0.8759 0.2963 0.3846 0.7680
-24 0.0106 -0.0119 1.5934 -0.8062 0.1163 0.4233 -0.0046 0.0084 -0.6479 0.1914 0.5195 0.8489
-23 0.0032 -0.0087 0.4881 -0.5867 0.6273 0.5596 -0.0012 0.0072 -0.1731 0.1633 0.8632 0.8708
-22 0.0021 -0.0065 0.3205 -0.4426 0.7497 0.6597 0.0012 0.0083 0.1665 0.1903 0.8684 0.8497
-21 -0.0068 -0.0134 -1.0283 -0.9050 0.3080 0.3691 -0.0026 0.0058 -0.3621 0.1317 0.7185 0.8957
-20 0.0030 -0.0104 0.4501 -0.7026 0.6543 0.4850 -0.0022 0.0036 -0.3114 0.0812 0.7565 0.9355
-19 0.0018 -0.0086 0.2666 -0.5827 0.7907 0.5623 0.0007 0.0043 0.1029 0.0979 0.9184 0.9223
-18 -0.0010 -0.0096 -0.1522 -0.6512 0.8795 0.5174 0.0162 0.0205 2.2853 0.4680 0.0258 0.6415
-17 0.0048 -0.0048 0.7217 -0.3266 0.4733 0.7451 -0.0031 0.0174 -0.4378 0.3971 0.6631 0.6927
-16 -0.0014 -0.0062 -0.2106 -0.4214 0.8339 0.6750 -0.0022 0.0152 -0.3075 0.3473 0.7596 0.7296
-15 -0.0020 -0.0083 -0.3079 -0.5598 0.7592 0.5777 -0.0011 0.0142 -0.1510 0.3228 0.8805 0.7479
-14 0.0083 0.0000 1.2480 0.0014 0.2169 0.9989 0.0106 0.0247 1.4874 0.5637 0.1422 0.5751
-13 -0.0063 -0.0063 -0.9497 -0.4257 0.3461 0.6719 -0.0060 0.0188 -0.8377 0.4280 0.4055 0.6702
-12 -0.0004 -0.0067 -0.0670 -0.4558 0.9468 0.6502 -0.0079 0.0108 -1.1169 0.2472 0.2685 0.8056
-11 -0.0007 -0.0074 -0.0985 -0.5001 0.9219 0.6188 0.0050 0.0158 0.7009 0.3607 0.4861 0.7196
-10 0.0010 -0.0064 0.1461 -0.4344 0.8843 0.6656 -0.0067 0.0091 -0.9418 0.2082 0.3501 0.8358
-9 0.0117 0.0053 1.7605 0.3573 0.0834 0.7221 0.0068 0.0159 0.9546 0.3627 0.3436 0.7181
-8 -0.0011 0.0042 -0.1701 0.2808 0.8655 0.7799 -0.0049 0.0110 -0.6914 0.2508 0.4920 0.8028
-7 0.0010 0.0052 0.1509 0.3486 0.8806 0.7286 -0.0109 0.0001 -1.5277 0.0034 0.1318 0.9973
-6 0.0057 0.0109 0.8625 0.7365 0.3918 0.4643 0.0008 0.0010 0.1181 0.0225 0.9064 0.9821
-5 0.0086 0.0195 1.2867 1.3150 0.2032 0.1935 0.0023 0.0033 0.3237 0.0749 0.7473 0.9405
-4 0.0072 0.0267 1.0852 1.8030 0.2822 0.0764 0.0012 0.0045 0.1650 0.1017 0.8695 0.9194
APPENDICES
262
-3 0.0044 0.0311 0.6658 2.1024 0.5081 0.0397 0.0035 0.0079 0.4911 0.1812 0.6251 0.8568
-2 0.0089 0.0400 1.3305 2.7007 0.1884 0.0090 -0.0007 0.0072 -0.1012 0.1648 0.9198 0.8697
-1 -0.0085 0.0315 -1.2747 2.1275 0.2073 0.0375 -0.0013 0.0059 -0.1875 0.1344 0.8519 0.8935
0 -0.0001 0.0314 -0.0170 2.1199 0.9865 0.0382 0.0109 0.0168 1.5282 0.3819 0.1317 0.7039
1 -0.0066 0.0247 -0.9984 1.6710 0.3221 0.0999 0.0190 0.0357 2.6712 0.8145 0.0097 0.4186
2 -0.0005 0.0242 -0.0812 1.6345 0.9356 0.1074 0.0200 0.0557 2.8105 1.2696 0.0067 0.2091
3 -0.0229 0.0013 -3.4351 0.0898 0.0011 0.9287 0.0098 0.0655 1.3806 1.4931 0.1725 0.1406
4 0.0010 0.0023 0.1511 0.1578 0.8804 0.8752 0.0101 0.0756 1.4285 1.7244 0.1583 0.0898
5 0.0015 0.0038 0.2243 0.2587 0.8233 0.7968 0.0058 0.0815 0.8221 1.8576 0.4143 0.0681
6 -0.0013 0.0025 -0.2006 0.1684 0.8417 0.8668 0.0006 0.0821 0.0811 1.8707 0.9356 0.0663
7 -0.0036 -0.0011 -0.5365 -0.0728 0.5936 0.9422 0.0028 0.0849 0.3985 1.9353 0.6916 0.0577
8 -0.0018 -0.0029 -0.2695 -0.1940 0.7884 0.8468 0.0045 0.0894 0.6400 2.0389 0.5246 0.0459
9 0.0037 0.0008 0.5547 0.0554 0.5812 0.9560 -0.0027 0.0867 -0.3860 1.9764 0.7009 0.0527
10 0.0026 0.0034 0.3880 0.2299 0.6994 0.8190 -0.0025 0.0842 -0.3530 1.9192 0.7253 0.0597
11 -0.0056 -0.0022 -0.8421 -0.1488 0.4031 0.8822 -0.0003 0.0839 -0.0393 1.9129 0.9688 0.0605
12 0.0023 0.0001 0.3419 0.0050 0.7336 0.9960 0.0114 0.0954 1.6115 2.1738 0.1123 0.0337
13 0.0070 0.0070 1.0449 0.4748 0.3003 0.6366 0.0001 0.0955 0.0132 2.1760 0.9895 0.0335
14 0.0137 0.0207 2.0542 1.3985 0.0443 0.1671 -0.0009 0.0946 -0.1219 2.1562 0.9034 0.0351
15 -0.0011 0.0196 -0.1608 1.3262 0.8728 0.1898 -0.0069 0.0876 -0.9773 1.9980 0.3323 0.0503
16 0.0056 0.0252 0.8391 1.7036 0.4047 0.0936 0.0018 0.0894 0.2503 2.0385 0.8032 0.0459
17 -0.0097 0.0155 -1.4566 1.0486 0.1504 0.2986 0.0073 0.0968 1.0333 2.2058 0.3056 0.0312
18 -0.0124 0.0031 -1.8608 0.2119 0.0677 0.8329 -0.0073 0.0894 -1.0318 2.0387 0.3063 0.0459
19 0.0032 0.0063 0.4771 0.4264 0.6350 0.6713 -0.0008 0.0886 -0.1174 2.0197 0.9069 0.0479
20 0.0009 0.0072 0.1313 0.4854 0.8960 0.6291 0.0162 0.1048 2.2794 2.3888 0.0262 0.0201
21 0.0089 0.0161 1.3339 1.0852 0.1873 0.2822 -0.0066 0.0982 -0.9286 2.2384 0.3568 0.0289
22 -0.0024 0.0137 -0.3621 0.9224 0.7186 0.3600 -0.0007 0.0975 -0.0949 2.2231 0.9247 0.0300
23 0.0037 0.0174 0.5559 1.1724 0.5804 0.2457 0.0088 0.1063 1.2420 2.4242 0.2191 0.0184
24 -0.0065 0.0108 -0.9827 0.7305 0.3297 0.4679 0.0041 0.1104 0.5777 2.5177 0.5656 0.0145
25 -0.0134 -0.0026 -2.0097 -0.1732 0.0490 0.8631 0.0016 0.1121 0.2322 2.5554 0.8171 0.0132
26 -0.0046 -0.0072 -0.6978 -0.4870 0.4880 0.6280 0.0095 0.1216 1.3351 2.7715 0.1869 0.0074
27 0.0024 -0.0048 0.3616 -0.3244 0.7189 0.7468 -0.0022 0.1194 -0.3065 2.7219 0.7603 0.0085
28 -0.0080 -0.0128 -1.2078 -0.8675 0.2319 0.3891 -0.0071 0.1123 -0.9942 2.5609 0.3241 0.0130
29 -0.0019 -0.0147 -0.2857 -0.9960 0.7761 0.3233 -0.0063 0.1060 -0.8861 2.4174 0.3791 0.0187
30 0.0003 -0.0144 0.0443 -0.9760 0.9648 0.3330 -0.0138 0.0922 -1.9469 2.1022 0.0562 0.0397
Mid Cap. Dividend Initiation Mid Cap. Dividend Omission
APPENDICES
263
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0083 -0.0084 -0.5854 -0.2751 0.5605 0.7842 Events are not sufficient for final study
-29 -0.0109 0.0131 -0.7686 0.4305 0.4451 0.6684
-28 -0.0019 0.0060 -0.1362 0.1972 0.8921 0.8444
-27 -0.0090 -0.0235 -0.6316 -0.7707 0.5301 0.4439
-26 -0.0223 -0.0428 -1.5743 -1.4033 0.1207 0.1657
-25 -0.0008 -0.0459 -0.0593 -1.5059 0.9529 0.1373
-24 0.0483 -0.0516 3.4049 -1.6930 0.0012 0.0956
-23 0.0005 -0.0466 0.0354 -1.5282 0.9719 0.1317
-22 -0.0011 -0.0443 -0.0748 -1.4543 0.9406 0.1511
-21 0.0041 -0.0113 0.2924 -0.3705 0.7710 0.7124
-20 0.0099 -0.0029 0.6974 -0.0946 0.4882 0.9250
-19 -0.0028 -0.0127 -0.2000 -0.4176 0.8421 0.6778
-18 0.0030 -0.0263 0.2085 -0.8615 0.8355 0.3924
-17 -0.0048 -0.0228 -0.3393 -0.7489 0.7356 0.4569
-16 -0.0069 -0.0326 -0.4867 -1.0704 0.6283 0.2887
-15 0.0163 -0.0118 1.1484 -0.3863 0.2554 0.7006
-14 -0.0127 -0.0157 -0.8943 -0.5146 0.3747 0.6087
-13 0.0050 0.0121 0.3547 0.3969 0.7241 0.6928
-12 -0.0007 0.0151 -0.0466 0.4961 0.9630 0.6216
-11 -0.0116 0.0039 -0.8179 0.1281 0.4167 0.8985
-10 -0.0204 -0.0210 -1.4373 -0.6900 0.1558 0.4928
-9 0.0034 -0.0128 0.2379 -0.4206 0.8127 0.6756
-8 -0.0197 -0.0249 -1.3901 -0.8156 0.1696 0.4179
-7 -0.0098 -0.0298 -0.6894 -0.9760 0.4932 0.3330
-6 -0.0093 -0.0473 -0.6580 -1.5501 0.5130 0.1264
-5 -0.0250 -0.0611 -1.7669 -2.0043 0.0823 0.0496
-4 -0.0154 -0.0766 -1.0896 -2.5142 0.2802 0.0146
-3 -0.0096 -0.0842 -0.6754 -2.7625 0.5020 0.0076
-2 0.0011 -0.0837 0.0757 -2.7449 0.9399 0.0080
-1 -0.0129 -0.0854 -0.9137 -2.8015 0.3646 0.0068
0 0.0072 -0.0704 0.5081 -2.3085 0.6133 0.0244
1 -0.0040 -0.0586 -0.2834 -1.9212 0.7778 0.0595
APPENDICES
264
2 -0.0019 -0.0578 -0.1350 -1.8961 0.8931 0.0628
3 0.0172 -0.0213 1.2113 -0.6980 0.2305 0.4878
4 -0.0055 -0.0184 -0.3875 -0.6039 0.6997 0.5482
5 -0.0181 -0.0181 -1.2749 -0.5949 0.2073 0.5542
6 -0.0098 -0.0120 -0.6906 -0.3924 0.4925 0.6962
7 0.0055 -0.0121 0.3879 -0.3977 0.6995 0.6922
8 0.0189 0.0075 1.3362 0.2454 0.1865 0.8070
9 0.0126 0.0321 0.8883 1.0527 0.3779 0.2967
10 -0.0072 0.0140 -0.5049 0.4597 0.6155 0.6474
11 -0.0118 -0.0030 -0.8304 -0.1000 0.4096 0.9206
12 -0.0099 -0.0199 -0.6973 -0.6532 0.4883 0.5161
13 -0.0248 -0.0370 -1.7519 -1.2122 0.0849 0.2302
14 -0.0033 -0.0373 -0.2319 -1.2228 0.8174 0.2262
15 -0.0172 -0.0554 -1.2134 -1.8184 0.2298 0.0740
16 -0.0240 -0.0654 -1.6920 -2.1442 0.0958 0.0361
17 -0.0238 -0.0734 -1.6804 -2.4084 0.0981 0.0191
18 -0.0016 -0.0832 -0.1130 -2.7306 0.9104 0.0083
19 -0.0029 -0.0783 -0.2072 -2.5672 0.8365 0.0128
20 0.0070 -0.0456 0.4912 -1.4957 0.6251 0.1400
21 -0.0036 -0.0646 -0.2518 -2.1201 0.8020 0.0381
22 -0.0017 -0.0611 -0.1221 -2.0042 0.9032 0.0496
23 -0.0195 -0.0789 -1.3741 -2.5884 0.1745 0.0121
24 0.0013 -0.0549 0.0946 -1.8023 0.9249 0.0765
25 -0.0137 -0.0640 -0.9668 -2.0982 0.3375 0.0401
26 0.0032 -0.0543 0.2242 -1.7825 0.8234 0.0797
27 0.0073 -0.0591 0.5143 -1.9403 0.6089 0.0571
28 -0.0014 -0.0674 -0.0962 -2.2113 0.9237 0.0308
29 0.0458 -0.0648 3.2293 -2.1259 0.0020 0.0376
30 -0.0181 -0.0719 -1.2769 -2.3584 0.2065 0.0216
Small Cap. Dividend Initiation Small Cap. Dividend Omission
Days AAR CAAR
t-stat.
(AAR)
t-stat.
(CAAR) p-stat
(AAR)
p-stat
(CAAR) AAR CAAR
t-stat.
(AAR) t-stat
(CAAR)
p-stat
(AAR)
p-stat
(CAAR)
-30 -0.0025 -0.0025 -0.3897 -0.0499 0.6981 0.9603 -0.0080 -0.0080 -0.8723 -0.2099 0.3865 0.8344
-29 0.0015 -0.0009 0.2429 -0.0188 0.8089 0.9851 0.0059 -0.0021 0.6414 -0.0556 0.5237 0.9559
APPENDICES
265
-28 -0.0005 -0.0015 -0.0862 -0.0298 0.9316 0.9763 -0.0061 -0.0083 -0.6658 -0.2158 0.5081 0.8299
-27 0.0144 0.0129 2.2679 0.2607 0.0270 0.7952 -0.0027 -0.0110 -0.2978 -0.2875 0.7669 0.7747
-26 0.0044 0.0173 0.6922 0.3493 0.4915 0.7280 0.0048 -0.0062 0.5256 -0.1610 0.6011 0.8726
-25 -0.0043 0.0130 -0.6765 0.2627 0.5013 0.7937 -0.0090 -0.0152 -0.9758 -0.3959 0.3331 0.6936
-24 -0.0071 0.0059 -1.1148 0.1199 0.2694 0.9050 -0.0116 -0.0268 -1.2576 -0.6985 0.2134 0.4875
-23 0.0050 0.0110 0.7880 0.2208 0.4338 0.8260 -0.0010 -0.0278 -0.1075 -0.7244 0.9148 0.4716
-22 0.0146 0.0255 2.2958 0.5149 0.0252 0.6085 -0.0058 -0.0336 -0.6339 -0.8770 0.5286 0.3840
-21 0.0094 0.0350 1.4860 0.7053 0.1425 0.4834 -0.0018 -0.0354 -0.1916 -0.9231 0.8487 0.3597
-20 0.0046 0.0396 0.7212 0.7977 0.4736 0.4282 0.0120 -0.0234 1.3033 -0.6094 0.1974 0.5446
-19 -0.0017 0.0379 -0.2659 0.7636 0.7912 0.4481 0.0024 -0.0210 0.2553 -0.5479 0.7994 0.5858
-18 -0.0003 0.0376 -0.0502 0.7572 0.9601 0.4519 -0.0056 -0.0266 -0.6095 -0.6946 0.5445 0.4900
-17 -0.0056 0.0320 -0.8741 0.6452 0.3855 0.5213 0.0045 -0.0221 0.4884 -0.5771 0.6270 0.5660
-16 0.0029 0.0349 0.4551 0.7035 0.6507 0.4845 0.0041 -0.0180 0.4459 -0.4698 0.6573 0.6402
-15 0.0033 0.0381 0.5125 0.7691 0.6102 0.4448 -0.0028 -0.0208 -0.3073 -0.5437 0.7597 0.5886
-14 -0.0035 0.0347 -0.5464 0.6991 0.5868 0.4872 0.0175 -0.0033 1.8980 -0.0870 0.0625 0.9310
-13 0.0009 0.0356 0.1451 0.7177 0.8851 0.4757 -0.0059 -0.0092 -0.6358 -0.2400 0.5274 0.8112
-12 0.0084 0.0440 1.3229 0.8872 0.1909 0.3785 -0.0090 -0.0182 -0.9782 -0.4754 0.3319 0.6362
-11 -0.0027 0.0413 -0.4210 0.8333 0.6753 0.4080 0.0050 -0.0132 0.5418 -0.3450 0.5900 0.7313
-10 0.0099 0.0512 1.5539 1.0323 0.1255 0.3061 0.0072 -0.0060 0.7850 -0.1561 0.4356 0.8765
-9 0.0030 0.0542 0.4793 1.0937 0.6334 0.2784 0.0052 -0.0007 0.5678 -0.0194 0.5723 0.9846
-8 0.0008 0.0550 0.1243 1.1096 0.9015 0.2716 0.0003 -0.0005 0.0288 -0.0125 0.9771 0.9901
-7 0.0029 0.0579 0.4551 1.1679 0.6507 0.2475 0.0081 0.0077 0.8822 0.1998 0.3812 0.8423
-6 0.0015 0.0594 0.2320 1.1977 0.8174 0.2358 0.0037 0.0114 0.4059 0.2975 0.6862 0.7671
-5 0.0053 0.0647 0.8352 1.3046 0.4069 0.1970 -0.0084 0.0030 -0.9083 0.0789 0.3673 0.9373
-4 0.0012 0.0659 0.1895 1.3289 0.8503 0.1889 0.0114 0.0144 1.2379 0.3769 0.2206 0.7076
-3 0.0152 0.0811 2.3926 1.6354 0.0199 0.1072 0.0068 0.0212 0.7356 0.5539 0.4648 0.5817
-2 0.0146 0.0957 2.2937 1.9292 0.0253 0.0584 0.0230 0.0442 2.4940 1.1541 0.0154 0.2530
-1 0.0126 0.1083 1.9801 2.1829 0.0523 0.0330 0.0205 0.0647 2.2173 1.6878 0.0304 0.0966
0 0.0045 0.1128 0.7131 2.2743 0.4785 0.0265 0.0075 0.0722 0.8154 1.8840 0.4181 0.0644
1 -0.0120 0.1008 -1.8904 2.0321 0.0635 0.0466 -0.0170 0.0552 -1.8460 1.4397 0.0698 0.1551
2 -0.0033 0.0975 -0.5121 1.9665 0.6105 0.0539 -0.0153 0.0399 -1.6534 1.0418 0.1035 0.3017
3 -0.0010 0.0965 -0.1632 1.9456 0.8709 0.0564 -0.0084 0.0316 -0.9055 0.8239 0.3688 0.4133
4 0.0049 0.1014 0.7725 2.0445 0.4428 0.0453 0.0111 0.0427 1.1997 1.1126 0.2350 0.2703
5 0.0059 0.1073 0.9330 2.1641 0.3545 0.0344 0.0028 0.0455 0.3088 1.1869 0.7585 0.2399
APPENDICES
266
6 0.0047 0.1120 0.7399 2.2589 0.4622 0.0275 0.0043 0.0498 0.4661 1.2991 0.6428 0.1989
7 -0.0036 0.1084 -0.5661 2.1863 0.5734 0.0327 -0.0072 0.0426 -0.7830 1.1107 0.4367 0.2711
8 0.0034 0.1119 0.5401 2.2555 0.5911 0.0278 -0.0057 0.0368 -0.6210 0.9612 0.5370 0.3403
9 0.0000 0.1119 -0.0017 2.2553 0.9987 0.0278 -0.0016 0.0353 -0.1685 0.9207 0.8667 0.3609
10 0.0044 0.1162 0.6897 2.3437 0.4930 0.0224 0.0047 0.0400 0.5137 1.0443 0.6094 0.3005
11 0.0000 0.1162 -0.0016 2.3435 0.9987 0.0224 0.0006 0.0406 0.0658 1.0601 0.9478 0.2933
12 0.0058 0.1220 0.9138 2.4605 0.3645 0.0168 0.0048 0.0455 0.5248 1.1864 0.6017 0.2401
13 0.0117 0.1338 1.8478 2.6972 0.0696 0.0091 -0.0004 0.0451 -0.0404 1.1767 0.9679 0.2440
14 -0.0064 0.1274 -0.9995 2.5692 0.3215 0.0127 0.0253 0.0704 2.7381 1.8357 0.0081 0.0714
15 0.0143 0.1417 2.2555 2.8581 0.0278 0.0059 -0.0073 0.0631 -0.7881 1.6460 0.4337 0.1050
16 -0.0003 0.1414 -0.0524 2.8514 0.9584 0.0060 -0.0050 0.0581 -0.5380 1.5165 0.5926 0.1346
17 -0.0024 0.1390 -0.3750 2.8034 0.7090 0.0068 -0.0030 0.0551 -0.3292 1.4373 0.7432 0.1558
18 -0.0028 0.1362 -0.4416 2.7468 0.6604 0.0079 -0.0095 0.0456 -1.0307 1.1892 0.3068 0.2390
19 0.0033 0.1395 0.5179 2.8131 0.6064 0.0066 0.0070 0.0526 0.7559 1.3712 0.4526 0.1754
20 0.0012 0.1408 0.1966 2.8383 0.8448 0.0062 0.0111 0.0637 1.2036 1.6608 0.2335 0.1020
21 0.0063 0.1471 0.9994 2.9664 0.3216 0.0043 0.0046 0.0682 0.4940 1.7797 0.6231 0.0802
22 -0.0043 0.1428 -0.6824 2.8789 0.4976 0.0055 -0.0005 0.0677 -0.0580 1.7658 0.9540 0.0825
23 -0.0076 0.1352 -1.1992 2.7253 0.2351 0.0084 0.0111 0.0788 1.2042 2.0556 0.2333 0.0442
24 0.0037 0.1388 0.5790 2.7995 0.5648 0.0069 -0.0005 0.0783 -0.0579 2.0416 0.9540 0.0456
25 0.0041 0.1429 0.6390 2.8813 0.5253 0.0055 -0.0036 0.0747 -0.3853 1.9489 0.7014 0.0560
26 0.0098 0.1527 1.5375 3.0783 0.1294 0.0031 -0.0046 0.0701 -0.4947 1.8298 0.6226 0.0722
27 -0.0024 0.1503 -0.3755 3.0302 0.7086 0.0036 0.0029 0.0730 0.3125 1.9051 0.7557 0.0616
28 -0.0029 0.1474 -0.4587 2.9714 0.6481 0.0043 0.0078 0.0808 0.8446 2.1083 0.4017 0.0392
29 -0.0084 0.1390 -1.3168 2.8027 0.1929 0.0068 0.0039 0.0848 0.4270 2.2111 0.6709 0.0309
30 -0.0091 0.1299 -1.4256 2.6201 0.1592 0.0111 0.0260 0.1107 2.8141 2.8884 0.0066 0.0054
APPENDICES
267
Appendix 4.12 A: 10- days mean CAARa, variance and standard deviation pre and post event Period during event
window of 61 days based on GARCH Model:
Event
categorization
on the basis of
% change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Dividend
increase
along with
financial
results
(Large
Cap.)
@10%
Mean 0.007781 -0.00905 -0.00286 -0.01981 -0.03479 -0.04092
Var. 0.0001 5.35E-05 1.51E-05 2.73E-05 3.4E-05 5.22E-05
SD 0.010007 0.007312 0.003885 0.005228 0.005833 0.007226
@15%
Mean -0.00746 -0.00756 -0.0042 -0.03801 -0.04621 -0.04869
Var. 1.84E-05 1.01E-05 3.8E-05 1.82E-05 1.08E-05 1.94E-05
SD 0.004291 0.00318 0.006167 0.00427 0.00329 0.004404
@20%
Mean -0.01315 -0.00681 0.011445 0.008525 0.025189 0.077048
Var. 7.58E-05 0.000317 0.0001 0.000123 0.000495 0.000166
SD 0.008707 0.017811 0.010016 0.01109 0.022247 0.012877
@25% Mean 0.00329 0.019642 0.010082 0.004272 0.002859 -0.00561
APPENDICES
268
Var. 6.81E-05 5.88E-06 1.92E-05 6.13E-05 2.34E-05 6.29E-05
SD 0.00825 0.002424 0.004377 0.007828 0.004841 0.00793
@50%
Mean
0.002258 0.022492 0.008158 0.011653 0.022997 0.03297
Var.
2.14E-05 1.67E-05 4.96E-05 8.57E-06 5.82E-05 2.87E-05
SD 0.004623 0.00409 0.007041 0.002928 0.007628 0.00536
Dividend
decrease
along with
financial
results
(Large
Cap.)
10%
Mean
0.024568 0.042481 0.037661 0.043253 0.064271 0.093095
Var.
0.000178 0.000193 0.000134 6.78E-05 0.000141 6.44E-05
SD 0.013343 0.01391 0.011588 0.008236 0.011892 0.008023
15%
Mean
-0.00082 0.003948 0.017537 0.031451 -8.2E-05 0.057943
Var.
7.48E-05 0.000112 0.000238 4.27E-05 0.000346 5.43E-05
SD 0.008647 0.010575 0.015433 0.006538 0.018611 0.007367
20%
Mean
-0.00755 0.073268 0.064606 0.077838 0.086877 0.090564
Var.
0.000784 0.000756 0.000237 8.02E-05 0.000102 5.45E-05
SD 0.028001 0.027494 0.015383 0.008953 0.010095 0.007384
25% Mean
0.010832 0.004665 -0.0031 -0.00425 0.024155 0.058808
Var.
4.03E-05 7.05E-05 4.72E-05 0.000103 3.8E-05 2.8E-05
APPENDICES
269
SD 0.006346 0.008395 0.00687 0.010127 0.006163 0.005291
50%
Mean
-0.0107 -0.01445 -0.03825 -0.01716 -0.0209 -0.02601
Var.
7.18E-05 7.23E-05 4.71E-05 0.000197 1.75E-05 6.17E-05
SD 0.008476 0.008505 0.006866 0.014038 0.004187 0.007858
APPENDICES
270
Appendix 12 B: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based
on GARCH Model:
Event
categorization
on the basis of
% change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Dividend
increase
Along with
financial
results
(Mid Cap)
@10%
Mean -0.00225 -0.01957 -0.02078 -0.01744 -0.02251 -0.02935
Var. 8.62E-05 5.97E-05 0.000162 0.000238 0.000309 0.000176
SD 0.009286 0.007725 0.012741 0.015433 0.01759 0.013248
@15%
Mean -0.00333 0.016482 0.039755 0.010624 0.009835 -0.00017
Var. 0.000168 0.000111 0.000394 0.000156 0.000286 0.000207
SD 0.012956 0.010535 0.01986 0.012493 0.016899 0.014385
@20%
Mean 0.035412 0.074769 0.093043 0.093996 0.009005 0.004558
Var. 0.000402 0.000138 0.000135 0.000772 0.000275 9.22E-05
SD 0.020062 0.011747 0.011631 0.027783 0.01658 0.0096
@25%
Mean 0.026139 0.07657 0.146015 0.156711 0.158707 0.180501
Var. 0.000238 0.000831 0.000536 2.42E-05 9.64E-05 2.16E-05
SD 0.015425 0.028827 0.023156 0.004914 0.009818 0.004648
APPENDICES
271
@50%
Mean
0.018204 0.037394 0.060962 0.056663 0.007721 -0.00449
Var.
0.000261 7.32E-05 4.89E-05 0.001609 0.000248 1.69E-05
SD 0.016168 0.008554 0.006996 0.040107 0.015762 0.004108
Dividend
decrease
along with
financial
results
(Mid Cap.)
10%
Mean Events are not sufficient for final study
Var.
SD
15%
Mean
Events are not sufficient for final study
Var.
SD
20%
Mean
Events are not sufficient for final study
Var.
SD
25%
Mean
0.052405 0.103275 0.132527 0.185046 0.219319 0.24348
Var.
0.0012 0.000317 0.000903 0.000182 0.00053 0.000629
SD 0.034636 0.017815 0.030057 0.013486 0.02302 0.025085
50%
Mean
0.150745 0.21836 0.166796 0.069157 0.046739 0.037496
Var.
0.003537 0.003077 0.000653 0.000626 0.000161 6.78E-05
SD 0.05947 0.055468 0.025544 0.02501 0.012697 0.008233
APPENDICES
272
Appendix 12 C: 10- days mean CAAR
a, variance and standard deviation pre and post event Period during event window of 61 days
Based on GARCH Model:
Event
categorizat
ion on the
basis of %
change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Dividend
increase
Along with
financial
results
(Small
Cap.)
@10%
Mean 0.010597 0.029619 0.055483 0.0483 0.041559 0.031655
Var. 7.25E-05 6.44E-05 1.34E-05 8.68E-05 3.77E-05 0.00013
SD 0.008517 0.008026 0.00366 0.009314 0.006139 0.011387
@15%
Mean -0.02354 -0.02744 -0.02322 -0.0126 -0.03827 -0.03196
Var. 0.000348 0.00022 9.65E-05 3.36E-05 6.37E-05 2.6E-05
SD 0.018651 0.014832 0.009822 0.005794 0.00798 0.005098
@20%
Mean -0.01549 -0.01079 0.011112 0.074936 0.04577 0.046934
Var. 4.75E-05 0.000144 5.77E-05 6.07E-05 0.000646 1.55E-05
SD 0.006893 0.01199 0.007597 0.00779 0.025422 0.003936
@25% Mean 0.002521 0.000918 0.021769 0.055209 0.055637 0.06361
APPENDICES
273
Var. 5.88E-05 2.16E-05 0.000239 5.32E-05 9.96E-06 2.07E-05
SD 0.007669 0.004643 0.015472 0.007295 0.003157 0.004555
@50%
Mean
0.002598 0.02189 0.039404 0.054838 0.047977 0.042441
Var.
1.29E-05 4.14E-05 0.000101 2.81E-05 1.84E-05 1.33E-05
SD 0.003589 0.006437 0.010034 0.005297 0.004288 0.00365
Dividend
decrease
along with
financial
results
(Small
Cap.)
10%
Mean
0.02278 0.037427 0.213194 0.334803 0.394442 0.484694
Var.
0.002723 0.001012 0.003584 0.00177 0.002378 0.000518
SD 0.052183 0.031808 0.059868 0.042077 0.048764 0.022768
15%
Mean
-0.00539 -0.02072 0.007398 -0.05693 -0.11208 -0.11947
Var.
0.000279 0.000237 0.000139 0.000292 2.92E-05 0.000231
SD 0.016716 0.01539 0.011798 0.017095 0.005407 0.015185
20%
Mean
0.00566 0.029242 0.054547 0.104327 0.144213 0.169874
Var.
0.000105 0.000269 0.000105 0.000746 0.000152 0.000413
SD 0.01024 0.016409 0.010244 0.027318 0.012339 0.02033
25% Mean
0.024221 0.025992 0.044411 0.048459 0.029844 0.012423
Var.
8.2E-05 0.000134 1.05E-05 5.74E-05 0.000277 2.01E-05
APPENDICES
274
SD 0.009054 0.011577 0.003238 0.007573 0.016641 0.004489
50%
Mean
0.009309 0.00812 0.016744 0.052338 0.058245 0.044715
Var.
6.5E-05 5.47E-05 0.000117 1.06E-05 2.36E-05 9.49E-06
SD 0.008064 0.007397 0.010838 0.00325 0.004856 0.003081
APPENDICES
275
Appendix 4.13A: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based
on GARCH Model: Event
categorizat
ion on the
basis of %
change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Dividend
increase
alone
(Large
Cap.)
@10%
Mean
Events are insufficient for final study
Var.
SD
@15%
Mean
Events are insufficient for final study
Var.
SD
@20%
Mean -0.01046 -0.00936 0.013729 0.051952 0.079571 0.076389
Var. 4.4E-05 5.66E-05 9.69E-05 9.33E-05 0.000434 0.001161
SD 0.006636 0.007526 0.009843 0.009658 0.02084 0.03407
@25%
Mean 0.01925 0.019511 0.008657 0.013551 0.024957 0.013971
Var. 4.59E-05 7.7E-05 0.000421 0.00015 5.5E-05 0.000127
SD 0.006778 0.008774 0.020529 0.012247 0.007416 0.011249
@50% Mean
0.024684 0.028035 0.050795 0.078629 0.112881 0.11288
Var.
9.25E-05 0.000167 6.62E-05 0.000207 0.000166 6.11E-05
APPENDICES
276
SD 0.009619 0.012913 0.008139 0.014401 0.012894 0.007817
Dividend
decrease
alone
(Large
Cap.)
10%
Mean
Events are not sufficient to be included in final study
Var.
SD
15%
Mean Events are not sufficient to be included in final study
Var.
SD
20%
Mean
Events are not sufficient to be included in final study Var.
SD
25%
Mean
0.006168 0.067489 0.092633 0.099886 0.1119 0.114296
Var.
0.000202 0.000304 0.000148 5.62E-05 3.83E-05 0.000549
SD 0.014203 0.017447 0.012164 0.007497 0.006188 0.023437
50%
Mean
Events are not sufficient to be included in final study
Var.
SD
APPENDICES
277
Appendix 4.13B: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based
on GARCH Model:
Event
categorizat
ion on the
basis of %
change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Dividend
alone
increase
(Mid Cap)
@10%
Mean
Events are insufficient for final study
Var.
SD
@15%
Mean -0.01846 -0.03533 -0.00614 -0.09317 -0.08048 -0.02058
Var. 0.000134 0.00033 0.001253 0.000232 0.00117 0.000252
SD 0.011574 0.018162 0.035402 0.015228 0.034207 0.015879
@20%
Mean
Event are not sufficient for final study
Var.
SD
@25%
Mean
Event are not sufficient for final study
Var.
SD
APPENDICES
278
@50%
Mean
-0.05557 -0.08138 -0.09724 -0.05752 -0.0318 -0.06074
Var.
0.000763 0.000738 0.000296 0.001899 0.000239 0.003477
SD 0.027629 0.027166 0.017193 0.043583 0.015456 0.058967
Dividend
decrease
alone (Mid
Cap.)
10%
Mean
Events are not sufficient for final study
Var.
SD
15%
Mean
Events are not sufficient for final study
Var.
SD
20%
Mean
Events are not sufficient for final study
Var.
SD
25%
Mean
Events are not sufficient for final study
Var.
SD
50%
Mean
Events are not sufficient for final study
Var.
SD
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279
Appendix 4.13 C: 10- days mean CAARa, variance and standard deviation pre and post event Period during event window of 61 days Based
on GARCH Model:
Event
categorizat
ion on the
basis of %
change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Dividend
alone
increase
(Small
Cap.)
@10%
Mean -0.00325 -0.01389 0.031334 0.082058 0.103866 0.113145
Var. 0.000488 0.000273 0.00024 0.000266 0.000641 0.000221
SD 0.022085 0.016516 0.015482 0.016314 0.025316 0.014851
@15%
Mean 0.013673 0.004172 0.034651 0.082936 0.084369 0.082277
Var. 0.000183 0.000101 0.000173 8.21E-05 8.26E-05 2.2E-05
SD 0.013534 0.010055 0.013163 0.009059 0.009091 0.004688
@20%
Mean 0.016446 0.086362 0.204318 0.225065 0.214922 0.27448
Var. 0.002739 0.001629 0.003354 0.00096 0.001164 0.000532
SD 0.052334 0.040367 0.057917 0.030977 0.034113 0.023075
@25%
Mean 0.010397 0.002785 0.046211 0.081193 0.091243 0.096468
Var. 5.55E-05 8.27E-05 0.000317 4.05E-05 0.000128 1.34E-05
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280
SD 0.007448 0.009094 0.017805 0.006366 0.011316 0.003665
@50%
Mean
0.010908 0.00521 -0.00782 0.00335 -0.02589 -0.02539
Var.
2.41E-05 2.31E-05 1.84E-05 0.000118 3.93E-05 0.000141
SD 0.004913 0.004809 0.004288 0.010866 0.006272 0.011864
Dividend
decrease
alone
(Small
Cap.)
10%
Mean
Event are not sufficient for final study
Var.
SD
15%
Mean
0.017783 0.091715 0.086621 0.032427 0.051294 0.035261
Var.
0.000888 0.000275 0.000115 0.000431 0.000308 7.64E-05
SD 0.029804 0.016569 0.010701 0.020762 0.017543 0.008738
20%
Mean
Events are not sufficient for final study
Var.
SD
25%
Mean
0.003193 0.020255 0.029298 0.04142 0.05491 0.044746
Var.
0.000105 0.00013 5.26E-05 4.31E-05 2.86E-05 4.87E-05
SD 0.010228 0.011419 0.007252 0.006568 0.005346 0.006979
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281
50%
Mean
-0.01674 -0.01243 -0.03565 0.035605 0.14116 0.114047
Var.
9.84E-05 8.22E-05 4.61E-05 0.005122 0.000478 6.41E-05
SD 0.009921 0.009066 0.006791 0.071568 0.021871 0.008005
APPENDICES
282
Appendix 4.14: 10- days mean CAARa, variance and standard deviation pre and post event period during event window of 61 days based on
GARCH Model
Event
categorization
on the basis of
% change
dividend
Pre event period Post event period
Event
-30 to -21 -20 to -11 -10 to -01 +01 to +10 +11 to +20 +21 to +30
Mean
-0.01547 -0.01004 0.015267 0.001337 0.010527 0.009713
Events
Dividend
Initiation/
Omission
Dividend
initiation Var.
3.26E-05 3.07E-05 0.000106 0.00011 8.61E-05 0.00011
(Large Cap) SD 0.005711 0.005542 0.010273 0.01048 0.009277 0.010493
Dividend
Omission
(Large Cap)
Mean
0.009857 0.017521 0.012672 0.081505 0.101829 0.113037
Var.
0.000135 3.3E-05 2.68E-05 0.000315 4.46E-05 7.04E-05
SD 0.011623 0.005742 0.005174 0.017752 0.006679 0.008389
Dividend
initiation
(Mid Cap)
Mean
0.006695 0.035658 -0.04154 -0.04557 -0.023 -0.00931
Var.
0.000236 0.001774 0.000235 6.8E-05 6.7E-05 6.76E-05
SD 0.015365 0.042118 0.01532 0.008245 0.008184 0.008222
Dividend
Omission
(Mid Cap)
Mean
Var
SD
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283
Dividend
initiation
(Small Cap)
Mean
0.006902 0.041287 0.085099 0.134079 0.160448 0.165305
Var. 0.000141 2.24E-05 0.000486 4.44E-05 7.77E-05 5.08E-05
SD 0.011873 0.004735 0.022044 0.006664 0.008817 0.007126
Dividend
Omission
(Small Cap)
Mean
-0.02313 -0.02333 0.005317 0.02694 0.04641 0.063079
Var.
0.00018 5.08E-05 0.000335 2.94E-05 6.28E-05 9.86E-05
SD 0.013422 0.007129 0.018315 0.005424 0.007926 0.00993
APPENDICES
284
Appendix 6.1: Major scams in Indian Capital/Stock Market
Sr.
No.
Discovered
in Year
Estimated
Size
(In crore
Rs.)
Central Figure/
scam
Modus Operandi
1 1992*** 4,000 Harshad Mehta
Scam
Used money from banks to make personal gains via investment in shares.
2 1993*** 5,000 ……… Preferential share issue scam by transnational companies (at discounted
prices to controlling groups)
3 1993-94*** 25,000 3911 companies
disappeared
Disappearance of newly listed companies after IPO.
4 1995-96*** 50,000 Plantation companies scam by fly by night operators which raised large
amounts of money from the investors by claiming huge return to them.
5 1995-97*** More
than
50,000
Non-banking Financial companies scam taken money from investors for
providing high return to them and vanished from the market.
6 1996* 1,200 CRB Scam Raised public money through FDs, MFs and debentures via non-existent
firms and invested them in stocks for personal gains
8 1999-
2000***
1000 IT Companies
Scam
Companies changing their names to include ‘infotec’ in their names.
9 2001* 800 Ketan Parekh
Scam
Circular trading in selected stocks via borrowed money from banks to
manipulate share prices
10 2009* 14, 162 Satyam Scam The top management of the software company cooked up accounts to show
inflated sales, profits and margins from 2003 to 2008.
11 2010* 24,029 Sahara Housing
Bonds
Bonds issued to 29.6 million investors without following SEBI regulations
and investor protection measures mentioned therein
12 2012* 2,200 Speak Asia Investors were asked to subscribe to an e-magazine for a certain sum, after
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285
which they became eligible to answer surveys and got paid for each survey.
13 2013* 10,000 Saradha Scam Ran multiple investment
schemes collecting money from nearly 1.4 million investors in West Bengal
and Odisha
14 2013*
5,600 NSEL Scam Investors were wooed by offering fixed returns on paired contracts with agri
and industrial commodities. The underlying stocks were missing and money
was allegedly siphoned by so-called borrowers
15 Feb 21,
2015**
Large cap companies such as RIL, ESSAR, CAIRNS, JUBILANT, ADAG
in question for espionage practices of stealing information from Petroleum
Ministry and Ministry of Finance related budget 2015.
Source: *Business Standard, **Times of India, * **Business Ethics and Corporate Governance By Fernando A.C., Published by Dorling Kindersley (India) Pvt. Ltd. First Edition
(2009)
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286
Appendix 6.2: Initiative towards Corporate Governance in India
Sr. No. Year Initiatives
1 1992 Creation of Securities and Exchanges Board of India replacing Controller of capital issues (CCI).
2 1996 1996- Depositories Act
3 1996 Arbitration and Conciliation Act
4 1997 Confederation of Indian Industry (CII) code of conduct.
5 1999 Kumara Mangalam Birla Committee appointed by SEBI to promote and raise the standards of good
corporate governance.
6 2000 Introduction of the Clause 49 of the Listing Agreement, requiring companies of a certain size listed on
stock exchanges to comply with these norms.
7 2002 2002 – Naresh Chandra Committee to recommend statutory relationship between auditors and
companies and set the highest standards for the role of audit committees.
8 2003 Narayan Murthy Committee related to raising the bar on internal controls and risk management
systems in companies.
9 2003*** Ministry of Corporate Affairs, Government of India, set up National Foundation for Corporate
Governance (NFCG) in partnership with Confederation of Indian Industry (CII), Institute of Company
Secretaries of India (ICSI) and Institute of Chartered Accountants of India (ICAI). In the year 2010,
stakeholders in NFCG have been expanded with the inclusion of The Institute of Cost Accountants of
India (ICAI) and National Stock Exchange (NSE).
The Vision of the foundation is:
Be A Catalyst In Making India The Best In Corporate Governance Practices
Mission of the foundation are:
To foster a culture for promoting good governance, voluntary compliance and facilitate
effective participation of different stakeholders;
To create a framework of best practices, structure, processes and ethics;
To make significant difference to Indian Corporate Sector by raising the standard of corporate
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287
governance in India towards achieving stability and growth.
2003** Shortening of settlement cycles to T+2 days helped in reducing risks associated with unsettled trades
due to market fluctuations
10 2005* JJ Irani Committee on Company Law appointed by Ministry of Company. Committee had covered the
following topics:
Classification and registration of companies,
Measures to make companies more accountable and transparent,
Measures in respect of proper disclosure of related party transactions and minority interests,
A comprehensive range of issues necessary for enabling protection of small investors,
Changes desirable governing access to capital,
Maintenance of accounts and conduct of audit of companies,
Ways and means of making the process of mergers and acquisitions more transparent.
Effective investigation and prosecution for defaulting company
Offences with proper focus on officers in default.
Balanced approach to addressing corporate insolvency.
13 2013* The Companies Act 2013 to brings several changes in corporate governance practices specifically to
appointment and qualification of directors in chapter 11, meetings of board and its power in chapter 12
and appointment and remuneration of managerial persons in chapter 13 towards transparency and
efficiency of the market as under:
Section 149 – Company to have Board of directors
Every company to have a board of directors consisting of individual director minimum of 3 in public
limited companies and 2 in private limited companies. Maximum directors will be 15 and in which at
least one will be woman.
Section 150 – Manner of selection of independent directors and maintenance of data bank of
independent directors One third directors must be of independent. The independent director must be of person of integrity
and have adequate qualifications to understand responsibilities assigned. A person appointed as
independent director is not eligible after two consecutive terms for reappointment, while after expiry of
APPENDICES
288
3 years from ceasing of directors again may be appointed as independent director.
Section 151 – Appointment of directors elected by small shareholders
‘A listed company may suo motu or upon the notice of not less than 500 or one-tenth of the total
number of small shareholders, whichever is lower, elect a small shareholders’ director from amongst
the small shareholders’.
Section 152 - Appointment of Directors
First director is the person who is in article of association and subscriber of the memorandum of the
company. Subsequent directors are appointed in general meetins. The persons who are appointed as
directors must have director identification number issued by the Ministry of Corporate Affairs.
Section 162 - Appointment of Directors to be voted individually For the appointment of a director a separate resolution is required for the appointment of every
director.
Section 165 - Number of Directorships
A person may become director in 20 companies in same time in case of privte limited company and in
10 in case of public limited company.
Section 173 - Meetings of Board
First Board meeting within 30 days of incorporation of company and the frequency to meet within 120
days, at least 4 times in a year.
The quorum of board meeting shall be one-third or two directors, whichever is higher.
Section 177- Audit Committee
Every listed company must constitute an Audit Committee.
Section 178 - Nomination and Remuneration Committee and Stakeholders Relationship Committee
Company should constitute the Nomination and Remuneration committee constituting 3 or more
nonexecutive directors of which at least half should be independent directors.
Section 179 - Powers of Board
The Board of Directors have to exercise powers subject to memorandum and article of the company.
Section 184 - Disclosure of Interest by Directors
Every director should disclose their concern or interest in any company or bodies corporate or firms
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289
or other associations.
Section 196 - Appointment of MD, Whole Time Director or manager
A person of more than 21 years and below 70 years.
Section 203 - Appointment of Key Managerial Personnel
Every company must appoint Managing Director or Chief Executive Officer and in their absence Whole
Time Director, Company Secretary and Chief Financial Officer in the company.
Section 197 – Maximum Managerial Remuneration and remuneration in case of absence or
inadequacy of profits
Maximum remuneration to the directors including managing directors and whole time directors will be
11% of the net profit computed as laid down in section 198 shall not be deducted from the gross profits,
for that financial year can be given by public company.
14 2014** SEBI circular on Corporate Governance in listed entities - Amendments to Clauses 35B and 49 of the
Equity Listing Agreement providing for :
The provisions regarding appointment of woman director as provided in Clause 49
"The maximum tenure of Independent Directors shall be in accordance with the
Companies Act, 2013.
The terms and conditions of appointment shall be disclosed on the website of the company.
Effectively implement the process of e- voting, to the shareholders.
The Rights of Shareholders
a. Shareholders should have the right to participate in, and to be sufficiently informed on, decisions
concerning fundamental corporate changes.
b. Shareholders should have the opportunity to participate effectively and vote in general shareholder
meetings.
c. Shareholders should be informed of the rules, including voting procedures that govern general
shareholder meetings.
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290
d. Shareholders should have the opportunity to ask questions to the board, to place items on the agenda
of general meetings, and to propose resolutions, subject to reasonable limitations.
e. Effective shareholder participation in key Corporate Governance decisions, such as the nomination
and election of board members, should be facilitated.
f. The exercise of ownership rights by all shareholders, including institutional investors, should be
facilitated.
g. The Company should have an adequate mechanism to address the grievances of the shareholders.
h. Minority shareholders should be protected from abusive actions by, or in the interest of, controlling
shareholders acting either directly or indirectly, and should have effective means of redress.
The company should provide adequate and timely information to shareholders.
a. Shareholders should be furnished with sufficient and timely information concerning the date,
location and agenda of general meetings, as well as full and timely information regarding the issues to
be discussed at the meeting.
b. Capital structures and arrangements that enable certain shareholders to obtain a degree of control
disproportionate to their equity ownership should be disclosed.
c. All investors should be able to obtain information about the rights attached to all series and classes
of shares before they purchase.
The company should ensure equitable treatment of all shareholders, including minority and foreign
shareholders.
a. All shareholders of the same series of a class should be treated equally.
b. Effective shareholder participation in key Corporate Governance decisions, such as the nomination
and election of board members, should be facilitated.
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291
c. Exercise of voting rights by foreign shareholders should be facilitated.
d. The company should devise a framework to avoid Insider trading and abusive self-dealing.
e. Processes and procedures for general shareholder meetings should allow for equitable treatment of
all shareholders.
f. Company procedures should not make it unduly difficult or expensive to cast votes.
Disclosure and transparency a. Information should be prepared and disclosed in accordance with the prescribed standards of
accounting, financial and non-financial disclosure.
b. Channels for disseminating information should provide for equal, timely and cost efficient access to
relevant information by users.
c. The company should maintain minutes of the meeting explicitly recording dissenting opinions, if any.
d. The company should implement the prescribed accounting standards in letter and spirit in the
preparation of financial statements taking into consideration the interest of all stakeholders and
should also ensure that the annual audit is conducted by an independent, competent and qualified
auditor
Source: *Government of India, Ministry of Corporate Affairs and Ministry of Law and Justice (Legislative Department), The Gazette of India, ** Securities Exchange Board
of India, *** http://www.nfcgindia.org/ and