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Study of Behaviour of Price, Return, Volume and Trading Activity around the Stock Dividends (Information Content in Stock Dividend)


Affiliations
1 Department of Finance and Accounting, FLAME University, Pune, India
 

Corporate actions can signal good news to the investor or can be fictitious corporate action in order to attract attention of investors, analyst and media. Stock dividends do have a signalling impact and generally it is perceived as a positive signal. This study focuses on behaviour of price, return, volume and trading activity around the stock dividends, impact of stock dividend size and BSE categorization on the variables. Findings are suggestive that stock dividends announcement has no impact on Price and trades. Volume of shares increases before the event date and there is a decrease immediately after the event day. Returns on shares are statistically different pre and post event and returns are higher in the pre-stock dividend period. There is a permanent increase in shareholders wealth (share price) and abnormal returns on the event day is around 3% and majority of the companies reported positive abnormal return.

Keywords

Abnormal Returns, Bonus Shares, BSE Categorization, Stock Dividend.
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  • Study of Behaviour of Price, Return, Volume and Trading Activity around the Stock Dividends (Information Content in Stock Dividend)

Abstract Views: 263  |  PDF Views: 84

Authors

Ruzbeh J. Bodhanwala
Department of Finance and Accounting, FLAME University, Pune, India

Abstract


Corporate actions can signal good news to the investor or can be fictitious corporate action in order to attract attention of investors, analyst and media. Stock dividends do have a signalling impact and generally it is perceived as a positive signal. This study focuses on behaviour of price, return, volume and trading activity around the stock dividends, impact of stock dividend size and BSE categorization on the variables. Findings are suggestive that stock dividends announcement has no impact on Price and trades. Volume of shares increases before the event date and there is a decrease immediately after the event day. Returns on shares are statistically different pre and post event and returns are higher in the pre-stock dividend period. There is a permanent increase in shareholders wealth (share price) and abnormal returns on the event day is around 3% and majority of the companies reported positive abnormal return.

Keywords


Abnormal Returns, Bonus Shares, BSE Categorization, Stock Dividend.

References