현금배당이 결산월 주가에 미치는 영향에 대한 실증연구

Abstract

This study is on the effect of cash dividend on stock prices of a settling month in Korean stock market. In other words, this study proves that, what kind of factor among the variables that related with cash dividend have affect on change of stock prices in a settling month. Testing group is selected in Korea stock exchange market which have executed cash dividend during 1998~2000. It accompanied correlation analysis and stepwise multiple regression proved the relation with cash dividend and change ratio of stock prices. A dependent variables is the change ratio of stock prices of each company in 20 days just before the settling day in 2000. Also independent variables are denomination dividend rate, earning rate by dividend, propensity to dividend, return on equity and growth rate of sales which average 1998~2000 data. The following are the results of empirical study. 1. The companies that execute stable cash dividend show higher upward rate of stock prices in a settling month than of non-stable cash dividend companies. 2. The results of analysing by correlations and multi regression, it was founded that there were positive correlation with denomination dividend rate and earning rate by dividend, and negative correlation with propensity to dividend, return on equity and growth rate of sales. Also the most effective variable is earning rate by dividend. According to the result, rising stock prices that aim for dividend appears in a settling month in the case of companies which have high earning rate by dividend.