INFORMATION DISCLOSURE AND STOCK MARKET RESPONSE TO DIVIDEND ANNOUNCEMENTS IN NIGERIA

The study applies simple regression model to know the impact of dividend on share prices using software packages such as E-views and MS-Excel 2007 model in investigating to find out if the Nigerian stock market reacts efficiently to dividend announcements in terms of price adjustments. In capturing reactions around the 3-day, 21-day and 61-day windows before and after the announcements, the study considered the level of the speed of adjustment of share prices to the announcement of dividend payments. In so doing earnings and dividend announcements are found to concurrently announce unlike in developed capital markets. Since the studies indicate a drift in share prices 30 days after announcements The CERs for the 3 – day, 21 – day and 60 – day event windows are positive and statistically significant for dividend announcements. This shows that the Nigerian Stock Market does not react efficiently to dividend announcements in terms of prices adjustments and also does not adjust to announce changes in dividend policies by the Nigerian companies. Overall, this provides evidence that the Nigerian stock market is not semi–strong efficient, that dividend policy matters and that share prices do react to dividend announcements. The findings support semi–strong market inefficiencies found by Olowe (1998) and Oludoyi (1999) from stock splits and earnings announcements, respectively