English, Article edition: A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX-DATES * BALASINGHAM BALACHANDRAN; ROBERT FAFF; SALLY TANNER

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX-DATES *
Author
  • BALASINGHAM BALACHANDRAN
  • ROBERT FAFF
  • SALLY TANNER
Physical Description
  • article
Notes
  • We examine the price and volatility reaction around stock dividend ex-dates for an Australian sample, over the period January 1992 to December 2000. We find that price reaction around stock dividend ex-dates provides positive abnormal returns both prior, and subsequent, to the abolishment of par value of shares in July 1998. When we partitioned the sample into financial, industrial non-financial and mining firms, the price reaction is found to be positive and significant only for industrial non-financial companies. Volatility of daily returns for periods subsequent to ex-dates is significantly greater than corresponding periods prior to announcement dates, while cumulative raw returns subsequent to ex-dates are significantly lower than periods prior to announcement dates for industrial non-financial companies. The magnitude of the price reaction is statistically significantly related to an increase in the volatility of daily returns and to a reduction in cumulative raw returns subsequent to the ex-dates, for industrial non-financial companies. These findings support buying pressure hypothesis suggested by Dhatt et al. (1994, 1996 ). Copyright Blackwell Publishing Ltd/​University of Adelaide and Flinders University 2005..
  • RePEc:bla:ausecp:v:44:y:2005:i:3:p:248-268
Language
  • English
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