Proceedings of the 4th International Conference on Economics, Business and Economic Education Science, ICE-BEES 2021, 27-28 July 2021, Semarang, Indonesia

Research Article

Market Response to Dividend Announcement in Southeast Asian Emerging Markets

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  • @INPROCEEDINGS{10.4108/eai.27-7-2021.2316846,
        author={Yuniar Berlian Ananda Panjaitan and Za\aa{}fri Ananto Husodo},
        title={Market Response to Dividend Announcement in Southeast Asian Emerging Markets},
        proceedings={Proceedings of the 4th International Conference on Economics, Business and Economic Education Science, ICE-BEES 2021, 27-28 July 2021, Semarang, Indonesia},
        publisher={EAI},
        proceedings_a={ICE-BEES},
        year={2022},
        month={3},
        keywords={dividend announcement abnormal return fama-french three factors market response},
        doi={10.4108/eai.27-7-2021.2316846}
    }
    
  • Yuniar Berlian Ananda Panjaitan
    Zaäfri Ananto Husodo
    Year: 2022
    Market Response to Dividend Announcement in Southeast Asian Emerging Markets
    ICE-BEES
    EAI
    DOI: 10.4108/eai.27-7-2021.2316846
Yuniar Berlian Ananda Panjaitan1,*, Zaäfri Ananto Husodo1
  • 1: Universitas Indonesia
*Contact email: yb.anandapanjaitan@gmail.com

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.