Market Response to Dividend Announcement in Southeast Asian Emerging Markets

Abstract

The existence of corporate actions such as dividend announcement will affect the return on the company's stock price. This study aims to determine the market response to the dividend announcement by using the Fama-French Three-Factor Model to explain stock returns in the Southeast Asian Emerging Market. The method used in this study is event study, where the authors use 21-day abnormal returns to determine the market response to dividend announcement events in Indonesia, Philippines, Thailand and Malaysia. As a result, the market responds positively to the dividend announcement and the dividend announcement has a significant effect on each country.