Table 2: Abnormal Return Abnormal Rturn around for a

 
 
 
 
 
 
 
 
 
 

Table
2: Abnormal Return 
 
 
 
 
 
 
 
 

Abnormal
Rturn around for a window of 11 days around the announcement day
 
 
 
 

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Panel
A: Abnormal Return for High Growth Industry
 
 
 
 
 
 

DIVIDEND_CHANGE
DECREASE
 
 
INCREASE
 
 
NONE
 
 

INDUSTRY_TYPE
HIGH_GROWTH
 
 
HIGH_GROWTH
 
 
HIGH_GROWTH
 
 

DAYS
MEAN_AR
t-stat
N
MEAN_AR
t-stat
N
MEAN_AR
t-stat
N

-5
-0.05%
-0.30
92
0.07%
1.78
1149
0.15%
1.58
392

-4
0.07%
0.53
83
0.04%
0.98
902
0.05%
0.56
301

-3
-0.15%
-1.00
110
-0.08%
-2.28
982
-0.02%
-0.27
323

-2
-0.01%
-0.05
128
-0.02%
-0.56
1232
-0.16%
-2.11
451

-1
0.10%
0.86
168
0.05%
1.44
1728
-0.14%
-1.91
602

0
0.11%
0.83
190
0.08%
1.71
1979
0.15%
1.38
683

1
-0.14%
-0.64
164
0.10%
1.73
1767
0.11%
0.80
561

2
-0.25%
-1.14
95
0.07%
1.60
1169
0.21%
1.79
406

3
-0.27%
-1.53
85
-0.07%
-1.42
908
-0.24%
-1.77
314

4
-0.45%
-1.45
113
0.04%
0.70
981
0.04%
0.32
342

5
0.02%
0.11
132
0.07%
1.75
1248
0.06%
0.74
478

 
 
 
 
 
 
 
 
 
 

Panel
B: Abnormal Return for Low Growth Industry
 
 
 
 
 
 

DIVIDEND_CHANGE
DECREASE
 
 
INCREASE
 
 
NONE
 
 

INDUSTRY_TYPE
LOW_GROWTH
 
 
LOW_GROWTH
 
 
LOW_GROWTH
 
 

 
 
 
 
 
 
 
 
 
 

DAYS
MEAN_AR
t-stat
N
MEAN_AR
t-stat
N
MEAN_AR
t-stat
N

-5
-0.06%
-0.37
142
-0.03%
-0.85
1653
0.02%
0.30
1325

-4
0.25%
1.26
105
0.09%
2.26
1371
-0.10%
-1.53
923

-3
0.18%
1.20
135
-0.01%
-0.35
1828
-0.07%
-1.35
1040

-2
-0.40%
-2.94
189
-0.02%
-0.60
2336
-0.05%
-1.15
1469

-1
0.00%
0.04
241
0.02%
0.66
2897
0.06%
1.33
2004

0
0.32%
1.41
263
0.13%
3.54
3298
0.05%
0.87
2263

1
0.21%
0.86
220
0.17%
3.59
2744
0.10%
1.31
2004

2
0.05%
0.25
150
0.04%
0.74
1707
0.11%
1.57
1359

3
0.00%
0.00
117
0.06%
1.18
1400
0.05%
0.57
961

4
0.27%
1.86
141
0.01%
0.42
1877
0.00%
-0.04
1045

5
-0.15%
-1.10
191
0.00%
0.12
2381
-0.10%
-1.76
1493