Nationaløkonomisk tidsskrift,
Nationaløkonomisk Forening

Abstract: This event study is the first to examine the price effect of dividend announcements on the Copenhagen Stock Exchange. Almost all Danish dividend announcements (98%) coincide with the release of the yearly accounting report, and we find that an unexpected dividend increase leads to a significant announcement effect of 2.6% whereas an unexpected dividend decrease leads to an insignificant announcement effect of -0.9%. Controlling for simultaneous earnings announcements we find announcement effects of the same order. The announcement effect of increased dividends is in line with results reported for US and UK markets whereas the announcement effect of decreased dividends is somewhere between results reported from US/UK and Continental Europe. We find that unexpected dividends and unexpected earnings both contain significant information in explaining the announcement effect of the yearly accounting report. Furthermore we find significant interaction effects of the simultaneous announcement of dividends and earnings. Finally, we find indications that the owner structure may explain the asymmetric announcement effect of unexpected increases/decreases in dividends. Overall, the findings are in support of a signaling hypothesis. However, there are indications that this explanation does not hold for firms dominated by large shareholders where the results are more in line with results reported from Continental Europe.

Keywords: udbytte

JEL-codes: A10

Language: Danish

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