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Dividend & Repurchase Disclosures and their Effect on Cumulative Abnormal Returns

Dekker, K.J. (2017) Dividend & Repurchase Disclosures and their Effect on Cumulative Abnormal Returns.

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Abstract:This study attempts to discover differences and similarities between the effect of dividend disclosures and the effect of repurchase disclosures. We explore the relationship between these disclosures and cumulative abnormal return. This is done through an event study in which the disclosures are the events, and a non-parametric test to check whether findings are robust. Additionally, we attempt to explain the CARs resulting from the disclosures through an OLS regression, using payout change, free cash flow and information asymmetry as predictor variables. The results show a significant relationship between CAR and dividend disclosures, but no significant relationship between CAR and repurchase disclosures. The median dividend disclosure CAR does not differ significantly from the median repurchase disclosure CAR. The CAR was not successfully explained by our predictor variables, possibly due to the chosen proxies. Future research could replicate the study while incorporating more accurate proxies to explain the CAR from payout disclosures better.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:International Business Administration BSc (50952)
Link to this item:http://purl.utwente.nl/essays/72533
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