چکیده:
The basic question of this research is whether markets react to company deviations fromtheir dividend trends? To answer this question, we have studied shareholders reaction to changes after any of the three types of ascending, descending and unchanged trends. For this purpose, company dividends were studied during the years 1995 to 2007. We have used Capital Asset Pricing Model (CAPM) and Fama & French three factors model to check shareholders reactions and to determine the significance of the results using t-test at levels α=0.01, 0.05, 0.1. The results show that markets show a positive reaction to all positive deviations. With respect to the negative ones, we should attend to the former trends, because contrary to our supposition dividends's decline showed a positive reaction after a descendingtrend. When a company has no deviation from the historical trends, usually markets do not show unexpected reaction. In contrast to many previous studies, the results of this study show that markets react to positive news more than to negative ones.
خلاصه ماشینی:
"Market reaction to changs in companies dividend trends (evidence from Tehran stock exchange) Seyed Jalal Sadeghi Sharif*, Mehrdad Alipour**, Arash Amozghar*** Abstract The basic question of this research is whether markets react to company deviations fromtheir dividend trends?
We have used Capital Asset Pricing Model (CAPM) and Fama & French three factors model to check shareholders reactions and to determine the significance of the results using t-test at levels α=0.
Dividend trend; Deviation from dividend trend; Reaction of market; Capital AssetPricing Model (CAPM); Fama & French three factors *Assistant prof.
Theoretical foundations of this research include defining daily stock return, introducing Capital Asset Pricing Model (CAPM), and three factors of Fama and French.
When a company decreases its dividends from an ascending or unchanged trend to a descending one, the market reaction will be negative, but the market will show a positive response to significant reduction in dividend of a continued descending trend.
1. According to the results of this study, managers of listed exchange companies have to consider historical trend factor of dividend, when they decide about the amount of dividend changes.
2. The managers of listed companies on Tehran Stock Exchange can use the results of this study to expect direction and intensity of market responses to changes in company dividend trends.
Other areas for future research can focus on ways of changes of dividend trend, and market reaction to these changes in different groups of industries in Tehran Stock Exchange; and 3."