1.Research Objective
The objective of this research is to examine the capital market reactions to a variety of combinations of simultaneous dividend and earnings announcements in the Stock Exchange of Thailand.
To examine the effects on share prices of dividend per share and earnings per share by years.
2.Introduction
Nowadays, there are many model on dividends has attacked the problem of separating the contribution of dividend announcements to abnormal share returns from that earnings and other “confounding events” in a great variety of different ways. In this report, the concentrating on an effort to isolate a distinctive dividend contribution to changes in share prices. We want to proof that the relationship between announcement date of dividend or earnings will be effect on the share prices in the stock exchange of Thailand. Moreover, we also want to test that the abnormal return relation with the dividend and earnings are significant or not.
3.Data and Methodology The data used in this research is based on the the Stock Exchange of Thailand. There are 5 years calculated on since 2008 year to 2012 year. ( As now is not the end of 2013, so the data is not accurate to account into). There are 100 companies to be collected in dividend yield, earnings, announcement dates and price changes. In order to get the linear regression between the return with dividend and earnings. As the data collected,, we find the dates announced on dividend and earnings are mostly not in the same day. That is to assumed that - there are not too much significant error between the dates differentiate on share price changes. The separate work on abnormal return linear with dividend changes by years and the abnormal return linear with earning per share by years.
To test the conditional relationship in the sample period The hypotheses are:
AR A = a + b