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Stock Dividend Ex-Day Abnormal Return: Evidence From Turkish Stock Market

Author

Listed:
  • Eyup Kadioglu

    (Ghent University, Department of Economics, Belgium and Capital markets Bord, Investor Compensation Center, Turkey)

  • Ayhan Kirbas
Abstract
This study examines the impact of the ex-day of stock dividend on stock return and volume on Borsa Istanbul stock exchange. The data covers 1,220 stock dividends associated with 305 companies over the period 1997-2018. A positive abnormal return and volume is seen around the ex-day of stock dividend. The cumulative average excess return over market return starts to significantly rise ten days before ex-day and reaches its highest level on the ex-day before falling back in the days following. Our findings show that abnormal return around ex-day is strongly associated with stock dividend pay-out ratio, asset size and a company's market value. The share of listed companies with higher stock dividend pay-out ratio or lower asset size or lower market capitalization, can generate respectively 5.97%, 6.08% and 5.88% abnormal return over market index return.

Suggested Citation

  • Eyup Kadioglu & Ayhan Kirbas, 2021. "Stock Dividend Ex-Day Abnormal Return: Evidence From Turkish Stock Market," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 72(5), pages 670-696.
    • Handle: RePEc:hde:epregl:v:72:y:2021:i:5:p:670-696
    DOI: 10.32910/ep.72.5.2
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    Cited by:

    1. Hsing-Hua Hsiung & Juo-Lien Wang & Hong-Wei Huang, 2022. "The Different Dividend Signaling Effect under Tax Deduction around Ex-Right Day: Evidence from Taiwan Stock Exchange," JRFM, MDPI, vol. 15(11), pages 1-13, November.

    More about this item

    Keywords

    stock dividend; ex-day effect; market anomaly; market microstructure; investment strategy;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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