The Chinese Stock Dividend Puzzle |
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| Authors: | Rulu Pan Xiangxi Tang Yanyan Tan Qiaoqiao Zhu |
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| Institution: | 1. Business School, University of Queensland, Brisbane QLD, Australia;2. School of Accounting, Zhongnan University of Economics and Law, Wuhan, China;3. Research School of Finance, Actuarial Studies and Applied Statistics, Australian National University |
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| Abstract: | In this paper, we examine the announcement effects of dividends with an emphasis on stock dividends in China's capital market. We find that dividend-paying stocks exhibit significantly positive abnormal returns while non-dividend-paying stocks show a negative announcement effect. Further, we document that the cumulative abnormal returns for pure stock dividends and combined dividends are the main drivers of this announcement effect. In contrast, pure cash dividend stocks experience no significant price run-up before announcement. The significant announcement effect of stock dividends is robust to controlling the earnings surprise effect. We offer some discussion of the possible explanations. |
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| Keywords: | earnings surprise stock dividend |
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