How does the Norwegian stock market react to unexpected dividend announcements?
Abstract
This study investigates the dividend signaling hypothesis by examining stock price
reactions to unexpected dividend announcements on the Oslo Stock Exchange
(OSE). While previous research relies on the market model, this study contributes
to existing empirical research by focusing on the Fama-French three-factor model.
A regression is also conducted to investigate if external factors (dividend yield,
change in dividend yield, return on assets, Tobin`s Q and size), could explain the
market reactions. The results indicate that OSE responds significantly to
unexpected dividend announcements. However, external factors contribute to the
market reactions. The results are considered as significant and robust. The evidence
in this study presents support for the dividend signaling hypothesis in Norway, but
no stronger than previous research conducted in the U.S.
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017