Title:

Market Reactions to Dividend Increases and Cuts: A Decade-Long Event Study Analysis of the Warsaw Stock Exchange

Group publication title:

Financial Sciences. Nauki o Finansach

Title in english:

Reakcje rynku na podwyżki i cięcia dywidend: Analiza zdarzeń na Giełdzie Papierów Wartościowych w Warszawie w ciągu ostatniej dekady

Creator:

Michałowski, Miłosz

Subject and Keywords:

dividend policy ; event study ; Warsaw Stock Exchange ; emerging markets ; abnormal returns ; polityka dywidendowa ; badanie zdarzeniowe ; Giełda Papierów Wartościowych ; rynki wschodzące ; nadzwyczajne stopy zwrotu

Description:

Financial Sciences. Nauki o Finansach, 2025, vol. 30, no. 1, s. 35-45

Abstrakt:

Aim: This study examines how dividend increases and cuts influence stock prices on the Warsaw Stock Exchange over a decade, testing the signaling hypothesis and assessing market efficiency in an emerging market context. Methodology: Using an event study methodology, the author analysed 395 dividend increases and 232 decreases (2015-2024). Abnormal returns (AAR, CAAR) were calculated via the Market Model and Constant Mean Model, with statistical significance tested using one-tailed t-tests. Findings: Dividend increases triggered immediate positive reactions (+1.39% AAR on announcement day, p < 0.005), while cuts led to sharp declines (-1.23% AAR, p < 0.005). Cumulative effects were asymmetric: CAAR for decreases persisted at -2.97% (day +16), whereas post-announcement gains for increases partially reversed. Firms raising dividends exhibited higher yield (5.19%) and payout ratios (59.48%), signalling stability. Implications and recommendations: Practitioners should prioritise dividend policy as a strategic signal, particularly in emerging markets where reactions are amplified. Originality/value: This is the first decade-long event study on the WSE to compare dividend increases and cuts, offering insights into investor behaviour in Central and Eastern Europe. The dual-model approach strengthens reliability, while findings challenge assumptions about market efficiency in emerging economies.

Publisher:

Publishing House of Wroclaw University of Economics and Business

Place of publication:

Wroclaw

Date:

2025

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/fins.2025.1.04

Language:

eng

Relation:

Financial Sciences. Nauki o Finansach, 2025, vol. 30, no. 1

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu