Stock Market Reaction to Dividend Announcements: Evidence from the Russian Market

Abstract

The inquiry into the influence of dividend declarations on the stock values of corporations has been extensively investigated across various countries. The results of these studies have been varied, and there is limited information available on this topic specifically for the Russian market. This paper aims to demonstrate the impact of dividend announcements on the yield of Russian companies' shares. The study utilizes comprehensive data from MOEX for the period of 2008–2021, which encompasses both economic growth and recessionary periods. The results of the study indicate that the effect of decreasing, maintaining and increasing the amount of dividends corresponds to the signal theory. There are differences between
industries: there are fairly stable and mature companies on the market that are not subject to significant changes (Electric Power, Oil and Gas industries); shares of companies in the Transport industry and a number of other industries behave more distinctively. In comparison with other studies, this paper analyzes the effect of increasing and decreasing dividends on stock returns using not only event analysis, but also regression analysis. This work adds results to the few available on the Russian market.The main limitations include the small number of variables in the construction of regression models and the limited period of the study. The work is carried out only for the Russian market. The obtained findings can be taken into account by company managers in order to make optimal decisions regarding the dividend policy and enhancing their dividend policies.