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A presente dissertação analisa o impacto que o anúncio de distribuição de dividendos provocou no preço das ações de empresas cotadas nos índices ibéricos, designadamente, a formação de retornos anormais durante o período de 2022 e 2023. Foram analisadas 19 empresas portuguesas e 21 empresas espanholas.
A política de distribuição de dividendos definida pelos gestores constitui uma decisão importante para o crescimento empresarial e para a transmissão de informação aos investidores sobre o futuro da atividade.
O estudo empírico recorreu à metodologia do estudo de eventos para deteção e cálculo dos retornos anormais.
Os resultados permitiram constatar perdas anormais acumuladas nos dias anteriores ao anúncio dos dividendos pelas empresas portuguesas, sugerindo que o mercado antecipou uma distribuição pouco generosa. Em relação às empresas espanholas, o estudo identificou pequenos ganhos anormais antes do evento, seguidos por perdas justificadas pela quebra das expectativas dos investidores.
Além disso, constatou-se que, imediatamente depois das perdas anormais nas vésperas do anúncio da distribuição de dividendos, a volatilidade dos retornos anormais tende a diminuir e perder significância, sinalizando que o mercado ibérico evidencia eficiência sob a forma semiforte.
This dissertation analyses the impact that the announcement of dividend distributions had on the share prices of companies listed on the Iberian indices, namely the formation of abnormal returns during the period 2022 and 2023. 19 Portuguese companies and 21 Spanish companies were analyzed. The dividend distribution policy defined by managers is an important decision for corporate growth and for providing information to investors about the future of the business. The empirical study used the event study methodology to detect and calculate abnormal returns. The results showed accumulated abnormal losses in the days before the Portuguese companies announced their dividends, suggesting that the market anticipated an ungenerous distribution. About Spanish companies, the study identified small abnormal gains before the event, followed by losses justified by a drop in investor expectations. In addition, it was found that immediately after the abnormal losses on the eve of the announcement of the dividend distribution, the volatility of the abnormal returns tended to decrease and lose significance, signaling that the Iberian market shows efficiency in the form of a semi-strong market.
This dissertation analyses the impact that the announcement of dividend distributions had on the share prices of companies listed on the Iberian indices, namely the formation of abnormal returns during the period 2022 and 2023. 19 Portuguese companies and 21 Spanish companies were analyzed. The dividend distribution policy defined by managers is an important decision for corporate growth and for providing information to investors about the future of the business. The empirical study used the event study methodology to detect and calculate abnormal returns. The results showed accumulated abnormal losses in the days before the Portuguese companies announced their dividends, suggesting that the market anticipated an ungenerous distribution. About Spanish companies, the study identified small abnormal gains before the event, followed by losses justified by a drop in investor expectations. In addition, it was found that immediately after the abnormal losses on the eve of the announcement of the dividend distribution, the volatility of the abnormal returns tended to decrease and lose significance, signaling that the Iberian market shows efficiency in the form of a semi-strong market.
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Keywords
Dividendos Estudo dos acontecimentos Retornos anormais Mercados financeiros Dividends Financial markets Event studies Abnormal returns