Authors: Urszula Mrzyglod, Sabina Nowak

Title: MARKET REACTIONS TO DIVIDENDS ANNOUNCEMENTS AND PAYOUTS. EMPIRICAL EVIDENCE FROM THE WARSAW STOCK EXCHANGE

Abstract

The main goal of the paper is the empirical examination of the Polish stock market reactions to dividend announcements and dividend payouts made by the companies listed on the Warsaw Stock Exchange (WSE). The research sample consists of 137 companies (WIG index constituents), which announced dividend payments in 2013 and conducted the payouts in the same year. In the analysis the event study methodology is employed including either calculating abnormal returns and cumulative abnormal returns around the event day or testing their statistical significance using parametric and nonparametric tests. The average cross sectional abnormal return on the dividend announcement day and on one day after (0,52% and 0,48% respectively) were found to be significant at the 5% significance level whereas the average cross sectional abnormal return on one day (three days) after the dividend payment day equal to 0,34% (0,58%) turned out to be statistically significant on the 10% (1%) level. Obtained results provide evidence that the Polish stock market reaction to dividend announcements was positive and immediate while its answer to dividend payouts was repeatedly positive but more moderate. Overall, the WSE directly incorporates news on dividends into stock prices.