|Title||Stock Price Reaction to Stock Dividend Announcements and Information Efficiency in Sri Lankan Stock Market|
|Author/s||D G DHARMARTHNA|
|Source||International Journal of Research in Social Sciences pg 01-09 Vol 38. No. 01– 2020|
Recognizing the requirement of a comprehensive analysis of stock market response to the publicly available information, this study investigates the effect of information content in stock dividends, on stock returns in Colombo Stock Exchange (CSE). The empirical knowledge on this regard is limited as most of the previous studies concentrate on either very few numbers of events or they are limited by the method implemented. The event study method is frequently used with Market Model, Mean Adjusted Model, and Market-Adjusted Return Model previously. However, this study enlightens the event study method even by incorporating stock volatility clustering phenomenon to the Market Model. It is further extended with the application of time series modelling techniques. Taking the fact which is, especially availability of data this study has selected 27 stock dividends announcements for the period from 2004 to 2014 for this study. Results indicate that stock returns ……..
|Keywords||Event Study, Information Content Theory, Market Model, Stock dividend and Semi-Strong Form Efficient Market Hypothesis|
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