The objective of this study is to analyze the information effects of dividend announcements and the market efficiency related to dividend announcements. The measurement of information effects is based on observing the volatility of stock returns after dividend announcements and the test of market efficiency is based on examining the unbiasedness and timeliness of the market's response to dividend announcements.
This empirical study used the daily stock prices data of twenty months during the 1981 to the 1986 period and the model and test methodologies used in the analysis is the mean adjusted returns model and T-test, Sign-test.
The evidences indicate (1) the insignificant information effects and (2) the market inefficiency related to dividend announcements. But this results may be due to the government's regulation and the investors' cognition of dividend announcements. Therefore, theses implications can be precisely evaluated by aggregating the results of other event studies.
