Central European Business Review 2017, 6(1):61-76 | DOI: 10.18267/j.cebr.173

The Analysis of Dividend Announcement Impact on Stock Prices of Baltic Companies

Renata Legenzova1, Otilija Jurakovaite2, Agne Galinskaite3
1 Renata Legenzova, Head of Finance Department, Vytautas Magnus University, Faculty of Economics and Management, S. Daukanto 28, 44246, Kaunas, Lithuania, renata.legenzova@vdu.lt
2 Otilija Jurakovaite, Vytautas Magnus University, Faculty of Economics and Management, S. Daukanto 28, 44246, Kaunas, Lithuania, otilija.jurakovaite@vdu.lt
3 Agne Galinskaite, Vytautas Magnus University, Faculty of Economics and Management, S. Daukanto 28, 44246, Kaunas, Lithuania, agne.galinskaite@vdu.lt

The paper is aimed to analyze and evaluate the dividend announcement impact on stock prices of companies listed on the NASDAQ OMX Baltic market during 2010-2015. The analysis was performed using the market model event study analysis and calculating AARs based on 3 strategies, which assume that investors buy shares 30 days prior to the dividend announcement and sell them either 1, 3 or 7 days after the dividend announcement. During the research period, dividends were paid by 40 out of 72 companies listed on the NASDAQ OMX Baltic. A total of 168 dividend announcements have been made and analyzed in this paper. The results of the research revealed that within the analyzed event windows, positive AARs exist; however, they are not statistically significant. Positive AARs obtained 3 or 7 days after the dividend announcement imply that stock prices do not drop shortly after the dividend announcement, which would indicate weak NASDAQ OMX Baltic market efficiency.

Keywords: stock prices; dividend announcements; market efficiency; the Baltic States
JEL classification: G14

Received: January 14, 2017; Revised: February 19, 2017; Published: March 31, 2017  Show citation

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Legenzova, R., Jurakovaite, O., & Galinskaite, A. (2017). The Analysis of Dividend Announcement Impact on Stock Prices of Baltic Companies. Central European Business Review, 6(1), 61-76. doi: 10.18267/j.cebr.173
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