Dividend announcements and the price of stocks

The goal of this thesis is to answer the question: Will a special cash dividend announcement from a company on NASDAQ GS create abnormal returns? This thesis will therefore find and measure abnormal returns surrounding a special cash dividend announcement. This is done by performing an event study, following the market model, consisting of 96 announcements from companies listed on the Nasdaq GS. The returns of each observation were then calculated for every day of the event-time and then compared to its expected return, giving me the abnormal returns. These abnormal returns were then averaged for every day in the event-time. The abnormal returns were then tested, and the results showed that they were statistically significantly positive on the day of the announcement and the day after. A cumulative sum of the abnormal returns was also calculated, this result was also statistically significantly positive the day after the announcement. By returning to the question above, it would appear that special cash dividend announcements do create abnormal returns.