Abstract:
This study tests the semi-strong form of market efficiency by
investigating the reaction of stock prices to dividend announcements. It
analyzes cash, stock, and simultaneous cash and stock dividend
announcements of 79 companies listed on the Karachi Stock Exchange from
July 2004 to June 2007. Abnormal returns from the market model are
evaluated for statistical significance using the t-test and Wilcoxon Signed
Rank Test. The findings suggest negligible abnormal returns for cash
dividend announcements. However, the average abnormal and cumulative
average abnormal returns for stock and simultaneous cash and stock
dividend announcements are mostly positive and statistically significant
