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《On Economic Problems》 2014-01
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An Empirical Study of Announcement Effect of Cash Dividend Changes in China's Listed Companies

YAN Tai-hua;YANG Yong-zhao;School of Economics and Business Administration,Chongqing University;  
The paper adopts the sample of cash dividend changes from all listed A-share firms in China over the period 2008 to 2012 and applies an Event Study in order to investigate the announcement effect of cash dividend changes and to examine simultaneously if the dividend signaling hypothesis holds in China's stock market. Empirical results find that the announcement effect of cash dividend changes has a negative influence on share prices and stock market,and such results support the dividend signaling hypothesis. We also find that there is no significant difference between the cash dividend increase and decrease announcements effect. The cross-sectional analysis also indicates that Dividend Payout Ratio,Price-to-Book Ratio and the Firm Size have explanatory power on the announcement effect of cash dividend changes.
【CateGory Index】: F224;F832.51
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