Capital Market Efficiency — An Empirical Analysis of the Dividend Announcement Effect for the Austrian Stock Market

This study investigates the effects of dividend announcements using data from the Austrian stock market. Abnormal returns are established as the difference between actual returns and predicted returns generated from time series models. We use the model of expected dividends, where expectations are based on prior dividends. Our results provide evidence that announced dividend changes convey new information to the market as stock prices move in the same direction as dividends. In addition, the speed of stock price reaction to the new information provides a test of the semistrong form of the efficient capital market hypothesis.