Dividend Policy in Tunisia: A Signalling Approach

Abstract

The main objective of this study was to establish the stock price reaction to dividend announcements of firms quoted at the Tunisian Securities exchange (TSE). To do so, we develop a traditional event study. Two robust results emerge: First, when we observe the 196 announcements of dividends between years 1996-2004, the result is inconsistent with signaling theory, as long as, no abnormal return was observed on the announcement day (event period). Second, When the overall sample is divided into three sub-group (dividend increase, dividend-no-change and dividend), we observe a significant and abnormal return about -1.242 percent and -1.697 percent respectively on day D(t 0 -4) and D(t 0 +4) around the dividend announcement day (Dt 0 ) only for the sub-group of firms that decreases their dividend. This result corroborates prior research in Tunisian context [Ben Naceur and al. (2006);Guizani and Kouki (2011)] that confirm, by using a different approach, the Lintner"s (1956) conclusions which states that Tunisian" firms generally tend to avoid a dividend decrease (or cuts) and can constitute a supporting evidence of the dividend information content hypothesis in TSE.

Dividend policies and stock volatility-empirical evidence from Middle Eastern stock markets

“…Our findings are contrary to the study of Syofyan et al (2020), Zainudin et al (2018) which found positive and significant relationship between the dividend payout and the stock price volatility. Our results also showed a positive but insignificant relationship between dividend yield and dividend per share with the stock volatility which are similar to the findings of Allen and Rachim (1996), Lotfi (2018). We also found the significant negative relationship between equity and stock price volatility which are similar to the results found by Krasker (1986).…”

“…Allen and Rachim (1996) found no evidence that dividend yield is correlated with stock price volatility. Lotfi (2018) confirmed that no statistically significant and positive reaction in the stock price was observed by dividend announcement while investigating in Tunisian Stock Market during the period 1996–2004. Rashid et al .…”

Stock Price Reactions on NASDAQ Stock Exchange for Special Dividend Announcements

“…Nevertheless this issue is still controversial among recent studies. A study on 196 dividend announcements of 1996 to 2004 for Tunisian Securities exchange shows inconsistent results with signaling theory [14]. Chatterjee and Dutta (2017) also found no abnormal returns generated by the announcement of cash dividend by studying 210 dividend announcements of National Stock Exchange of India Ltd [15].…”

التسعير الخاطئ للأسهم وأثره على عمليات إعادة شراء الأسهم وردود فعل السوق تجاه إعادة شراء الأسهم: بالتطبيق على الشركات غير المالية المدرجة بالبورصة المصرية

“…) -‫تم‬ ‫مل‬ ‫تلى‬ ‫ألاص‬ ‫ا‬ ‫تر‬ ‫ع‬ ‫تادا‬ ‫ذمل‬ ‫ع‬ ‫ت‬ ‫زمل‬ ‫تاول‬ ‫الض‬ ‫تام‬ ‫الع‬ ‫تم‬ ‫تا‬ ‫ارق‬ ‫تاث‬ ‫وروزيع‬ ‫توم‬ ‫رة‬ ‫الف‬ ‫ة‬ ‫الار‬ ‫رلجا‬ : ‫ألارقا‬ ‫روزيعاث‬ ( 1 ( ‫تر‬ ‫قل‬ ‫ت‬ ‫و‬ ) 0 ) ; ‫تا‬ ‫وموا‬ ‫تاوةة‬ ‫الض‬ ‫تاث‬ ‫دو‬ ‫ل‬ ‫تا‬ ‫ة‬ ‫و‬ ‫تر‬ ‫وقل‬ (Sheel and Zhong, 2005;Aktürk et al, 2022;Đặng and Chen, 2022;Grullon and Michaely, 2002;Lotfi, 2018 (Gim and Jang, 2019;Schultz, 2023;Bargeron et al, 2021;Bonaimé et al, 2014;Chen et al, 2021;Lindgren and Sjöberg, 2018;Palladino, 2020;Aktürk et al, 2022;Đặng and Chen, 2022 Liu, 2021;Schultz, 2023;Dhanani, 2016;Warr et al, 2012;Sodhi et al, 2023;Van Hai et al, 2020 (Zhang, 2005;Frank et al, 2021;Lin et al, 2017;Kuan et al, 2012;Firth et al, 2010;Nur and (Shen et al, 2021;Boudry et al, 2013;Sualehkhattak and Hussain, 2017;Lazonick, 2016;Grullon and Michaely, 2004;Kim et al, 2011) ‫ت‬ (Skinner, 2008;Von Eije and Megginson, 2008;Cesari et al, 2015;Mazur et al, 2023;Đặng and Chen, 2022;Liu et al, 2023;Anagnostopoulos et al, 2022;…”