Price Reactions to Dividend Announcements on the Nigerian Stock Market
"The study uses a modified market model to investigate whether the Nigerian stock market reacts efficiently to dividend announcements in terms of price adjustments. The study finds that the cumulative excess returns (CERs) for dividend paying firms are positive and significant for 30 days from the day of the announcement, while the CERs for dividend omitting firms for the same period are significant and negative. The CERs for the subsamples are statistically significant around the event window. Overall, this provides evidence that the Nigerian stock market is not semi–strong efficient, that dividend policy matters and that share prices do react to dividend announcements."