Existência de retornos anormais acumulados no período pós-pagamento de dividendos: um estudo e caso

Abstract

Topics related to the distribution of dividends, especially those related to how much profit will be distributed to shareholders and how much will be retained and invested is a controversial topic, mainly due to the lack of understanding about how firms and shareholders will interpret such distribution. The main fields of research are the relevance of dividend payouts and the impact of dividend payouts on shareholder returns. Miller e Modigliani (1961) argue that the distribution of dividends is irrelevant for the shareholders’ decision, but Lintner (1956) and Gordon (1959) argue in the opposite direction. Those who agree with the irrelevance of dividend distribution for decision-making are aligned with rationality and market efficiency. So all the information is incorporated into the stock price. On the other hand, those who consider that the distribution of dividends matters for decision-making consider that the value of the share is a function of expectations about the future distribution of dividends. In this way, the shares that pay the highest dividends are the most demanded, which affects the market value of the firm. The main goal of the TCC is to investigate the existence of abnormal returns in the post-dividend payment period in a sample of companies that trade shares on the Brazilian stock exchange. The results suggest that the greater the distribution of dividends is related to high accumulated abnormal returns, which agrees with the results found by Novis Neto e Saito (2003). Therefore, the results point out that returns should not be analyzed ignoring the amount of dividends paid.