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Procedia Economics and Finance 30 (2015) 38 49

3rd Economics & Finance Conference, Rome, Italy, April 14-17, 2015 and 4th Economics &
Finance Conference, London, UK, August 25-28, 2015

Cash Dividend Announcements and Stock Return Volatility:


Evidence from India
Anwar, S.*, Singh, S., Jain, P. K.
Department of Management Studies, Indian Institute of Technology, New Delhi 110016, India

Abstract

It is generally accepted that cash dividend announcements are indicative of the future financial performance of the firm. Using
event study methodology, the study has examined the effect of cash dividend announcements on stock returns (abnormal returns,
if any) volatility that reflect investors expectations of risk and return. The results have provided strong support for Signaling and
Risk Information hypotheses conveying that the volatility of stock returns increased post cash dividend announcement due to
decline in firms risk; but no significant results were reported for stock returns volatility due to dividend announcements. These
findings are consistent with Maturity hypothesis requiring firms to pay more dividends on attaining maturity, as a result entering
into slower growth period. An important implication of this study is that, managers may employ dividend policy to influence their
stocks risk and to the investors affecting their portfolios risk/return composition. This paper contributes to the deficient literature
on cash dividend announcements and stock returns volatility in particular, in emerging economies such as India.
2015
2015Published
The Authors. Published
by Elsevier B.V.byThis
Elsevier
is an B.V.
open access article under the CC BY-NC-ND license
Peer-review under responsibility of IISES-International Institute for Social and Economics Sciences.
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of IISES-International Institute for Social and Economics Sciences.
Keywords: India; Event study; Signaling hypothesis; Risk information hypothesis; Maturity hypothesis

1. Introduction

A plethora of research in the past, by and large, has shown that the information content of cash dividend
announcements can be assessed using different measures. The two most frequently used methods are the abnormal
returns and the variability of stock returns. However, unlike abnormal returns calculated using event studies, stock

*
Corresponding Author: tel.: +0-742-828-4784.
E-mail address:sadafanwar25@gmail.com

2212-5671 2015 Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of IISES-International Institute for Social and Economics Sciences.
doi:10.1016/S2212-5671(15)01253-8
S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49 39

price volatility suffers from a lack of theory supporting the hypotheses on which tests and conclusions are based in
literature (Acker, 1999). Uncertainty of information has been recognized as an important factor resulting in security
price changes that reflect investors' expectations of risk and return. This paper has employed variability of returns as
its measure to ascertain the risk associated with stock returns volatility (both short-term and long-term) on
announcement of cash dividends using event study methodology.
The risk information hypothesis proposes that dividend announcement conveys news regarding a change in firms
risk. The decrease in risk occurs because of reduction in firms volatility and earnings surprises (Dyl and Weigand,
1998). The greater is the volatility, the greater the chance of gain or loss in the short-run. Hence, the volatility of stock
returns is known to increase around cash dividend announcement dates (Chari et al., 1988). As investors by nature are
risk averse, volatility of stock returns is important to them because it is a measure of the level of risk they are exposed
to (Guo, 2002).
The focus of this paper is not to examine the abnormal returns associated with cash dividend announcements;
instead, it investigates the important aspect of risk in terms of variability of returns.
For better exposition, this paper has been divided into nine sections: Section 1 contains the introduction. Section 2
reviews the pertinent literature. Section 3 describes the rationale for the study. Section 4 covers objectives and research
hypotheses. Section 5 discusses research methodology. Section 5 discusses rationale of the study. Section 6 covers the
objectives and research hypotheses. Section 6 describes research methodology. Section 7 presents and analyses the
results. Section 8 presents possible explanations or reasons for stock volatility and Section 9 contains the concluding
observations.

2. Literature review

The extant literature available has shown that dividend announcements are value altering events and can alter the
risk and expected returns of firms (Brown et al., 1988 &1993; Brennan and Copeland, 1988; Otchere, 2004). The
relationship between cash dividend announcements and the volatility of their stock returns has been explored at
different times by different researchers. The stocks volatility is a benchmark for measuring risk and is affected by the
variation in the frequencies of information arrival (Ross, 1989). The earlier studies related to dividends and stock
price-volatility were mostly conducted in US (namely Harkavy (1953); Friend and Puckett, (1964); Litzenberger and
Ramaswamy (1982); Fama and French (1988); Baskin (1989) and Ohlson (1995)). These studies provided mixed
results and were non-conclusive. For example, the study by Friend and Puckett (1964) observed a positive effect of
dividend on share price movements whereas; Baskin (1989) noted an inverse relationship between dividend yield and
stock price volatility.
Later on, several studies were conducted in different developed and emerging economies. Kalay and Lowenstein
(1985) documented substantial increase in the volatility of security returns for the days surrounding the dividend
announcement. Venkatesh (1989) found that volatility of daily returns was lower in the post-dividend period. Kim and
Verrecchia (1991) concluded that the volatility of stock price around dividend announcements was higher in view of
more private information gathering and uncertainty. Similar results were observed by Mitra and Owers (1995).
However, differing results were reported by Allen and Rachim (1996) with no evidence supporting the fact that
dividend yield influenced stock price volatility in Australia. In a recent study by Rashid and Rahman (2008), dividend
policy had no role to influence stocks risk in Bangladesh. Similarly, Manakyan and Carroll (1991) reported no
significant change in systematic risk around the dividend change announcement. In contrast, Acker (1999) reported
that the volatility was at peak on the day of final announcements. Mestel and Gurgul (2003) concluded that the
volatility of stock returns increased more with the announcement of bad news and increase in uncertainty among the
investors. Similar results were reported by Gurgul et al. (2003) and Docking and Koch (2005) where the variance of
abnormal returns led to sharp hike in response to the bad news. Fargher and Weigand (2009) reported decrease in
systematic risk following the initiation of regular cash dividends. Fracassi (2008) summarized the findings as implied
by maturity hypothesis of the firm, that is, the transition from a mature life-cycle stage to a decline stage resulting in
higher systematic risk.
Since, dividend decisions involves a drastic policy change, it is expected that the change in risk, if any, will be
substantial. Therefore, dividend announcements can lead to increased uncertainty both in earnings stability as well as
future cash dividend prospects. Jensen et al. (1992) results showed greater business risk with lower dividend payments.
40 S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49

Dyl and Weigand (1998) finding supported the hypothesis that the decision to pay dividends revealed managers'
knowledge regarding the risk of the firm. Jumah A.H. (2008) reported that the investors considered companies paying
cash dividends as less risky than companies that did not pay dividends.
In an empirical study by Zhou (2010) between market structure, risk and dividend policy, it was observed that firms
with higher market power lower had low business risk; whereas competitive firms were riskier and less likely to pay
dividends than firms with high market power. Hussainey et al. (2011) found payout ratio to be the main determinant
of the volatility of stock price and found significant negative relationship between the payout ratio of a firm and the
volatility of its stock price, and a negative relationship between dividend yield and the volatility of stock price.
Kurniasih et al. (2011) results were consistent with the high risk, high returns theory. Similarly, Asghar et al. (2011)
observed strong positive correlation between price volatility and dividend yield; whereas Bergeron (2011) concluded
that riskier firms reinvested their earnings and pay lower dividends. Habib et al. (2012) examined the relationship
between dividend policy and share price volatility in Pakistan and noted that payout ratio and price volatility were
significantly positively related.
On the basis of literature reviewed, it was observed that the studies in Indian context to ascertain the variability in
returns were missing. This makes the study significant in Indian context for the researchers.

3. Rationale for the study

Numerous studies have been conducted in the area of dividend policy all across the globe. However, the study of
the impact of cash dividend announcements and stock return volatility in is almost absent an emerging economy like
India is. This study seeks to examine the influence of such announcements (both short-term and long-term) using event
study methodology by considering India as a case study. Hence, the study contributes to the finance literature. Above
all, it has evaluated the impact of only pure events. This makes the study exclusive compared to other studies cited
in literature.

4. Objectives and research hypotheses

To fill the identified gaps regarding the impact of cash dividend announcement decisions on stock returns volatility,
the paper has measured the magnitude and direction of change in risk (both short-term and long-term) upon the
announcement of cash dividends in India.
The following null hypotheses were formulated:
H1: There is no significant difference in short-term risk before and after the announcement date of cash dividends.
H2: There is no significant difference in long-term risk before the announcement date and after the ex-date of cash
dividends.

5. Research methodology

5.1. Data description and sample size

The present study has covered a period of ten years from 1st April 2003 to 31st March 2013. The secondary data for
cash dividend announcements was collected from Prowess database maintained by the Centre for Monitoring Indian
Economy (CMIE) and Bombay Stock BSE website. There were 2675 cash dividend announcements of the BSE 500
companies listed on BSE (Bombay Stock Exchange) 500 index as on November 7, 2012. Out of the 500 companies
listed, 78 companies were the financial companies and hence were excluded from the sample. Further, cash dividend
announcement data was not available for 37 companies reducing the sample size to 385 companies.
S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49 41

5.2. Event study methodology

5.2.1. Analysis of returns:

The event study methodology was used to examine the stock price reactions (Brown and Warner, 1985). This
methodology has proved to be very useful in a variety of finance related fields such as corporate finance, accounting,
management, etc. It is also being widely used as a tool to study the impact of mergers and acquisitions, stock splits,
new legislations, earning announcements, and other finance related events, on the profitability of firms. A vast
literature on the theory of event study methods also exists (Bowman, 1983; Brown and Warner, 1985).
Bowman (1983) identified the following 5 steps in conducting an event study:
x Identify the event of interest.
x Model the security price reaction.
x Estimate the excess returns.
x Organize and group the excess returns.
x Analyze the results.
The abnormal return is the difference between the observed return and the expected return on a particular day,
calculates by the market model as per Equation 1:

R i,t = i + i R m,t + E i,t (1)


Where and are the estimated parameters, R i,t is the expected return on stock i at time t, Rm,t is the corresponding
return on the BSE 500 index and Ei,t is the error term. The abnormal return (AR) for each day for each firm is then
obtained as per Equation 2:

ARi,t = Ri,t (i + i Rm,t ) (2)


The event window examined was 31 days i.e. 15 days prior to the announcement date to 15 days after the
announcement date along with the announcement day itself. The announcement day was denoted as day zero (when
cash dividend is announced for the first time in the public newspapers). The estimation window was from the day -
166 to the day -16 (from 16 to 166 days prior to the event window), thus comprising of 150 trading days. Figure 1
depicts the event window and estimation window.

Event date

-166 -16 -15 0 +15

Estimation window (in days) Event window (in days)

Fig. 1. Time line for event study (in days)

5.2.2. Clean event window period

To ensure that the event window was not contaminated with any other type of announcement, only pure cash
dividend announcements were considered. Hence, the announcements like stock dividends and stock splits, bonus
issue and share repurchase mergers, acquisitions, amalgamation, joint venture, capital investment, substantial orders
from prestigious customers or any other such financial events during the event window were not considered as a part
of the sample (McWilliams and Seigel, 1997).
Based on the above criteria, the number of announcements eligible for study was 891.

5.2.3 Analysis of volatility

Variance was used as the measure of risk because it is an indicator of the level of risk and captures the uncertainty
42 S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49

as well as the changes in systematic risk. It thus affects the accuracy of our statistical inferences (Pawlukiewicz et
al., 2000). It has been a well accepted measure used by earlier studies as well (Dravid, 1984; Dubofsky, 1991).
For each event i (cash dividend announcement), variance (denoted as 2) was computed as per the Equation 3:

N
2 = (Rt - R) 2 (3)
i=1
N
Where Rt = returns over period t, R = the average return over period t (given by Ri/N) and N= the number of
observations.

5.3. Research design for short -term and long-term variance analysis

The change in the volatility of the returns was measured using one-group pre-test post-test experimental research
design. This was conducted by examining the variability of returns at two points in time; one before and after the
announcement and the other before the announcement and after the ex-date of cash dividends (Wulff, 2002). The
short-term analysis was based on evaluating the changes in variance over a period of 5 and 15 days, before and after
the announcement date. For long-term analysis, the period considered was 60 and 120 days, before the pre-
announcement event window and 60 and 120 days after the post-ex-date event window. To assess the significant
differences, the pre-announcement and post-announcement means of the measure (for the specified time periods) have
been compared using paired sample t-test (Mehta, 2011). The fifteen-day period surrounding the ex-date has been
excluded to avoid potential distortions of the estimates due to a higher trading activity during this period (Wulff,
2002).
Figure 2 exhibits the time period examined for evaluating the short-term and long-term impact of cash dividend
announcements on risk using variance as a measure.

Event date Ex-date

-135 -15 0 +15 +15 135

Short-term analysis

Long-term analysis

Fig. 2. Variance analysis (in days) time line for one-group pre-test post-test research design

6. Empirical findings

The objective of this section is to enumerate ways in which the volatility manifests in the sample companies due to
announcement of cash dividends. The aim is to understand the probable underlying causes to which the sample
companies were vulnerable in terms of volatility and the resultant risk. Tables 1 and 2 present the results of the paired
t-test to compare the mean variance before and after the announcement of cash dividends.
S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49 43

6.1. Short-term effect

It is evident from Table 1 that there has been an increase in variance for 5-day as well as for 15-day periods. The
mean variance of stock prices increased during the post-announcement period vis-a-vis the pre-announcement period,
though such patterns of variance were not statistically significant for the sample companies. Apparently, there seems
to be substantial noise across events that limit the statistical significance of these results (Docking and Koch, 2005).
The results were, however, consistent with the fact that the variance of abnormal returns did indeed change in a certain
pattern during the event period (Beaver, 1968). The increased variance was in tune with the study of Christie (1983),
where the event period variance was roughly two times greater than the non-information period. Likewise, the value
of standard deviation had shown an increase for 15-day period. This increase in variance was due to positive average
abnormal returns on and around the announcement of cash dividend with the return of 1.02 per cent accumulating in
5-days (for results of returns analysis, refer Appendix A). Further, the increased excess returns may also be due to
decrease in the systematic risk of firms initiating dividends (Fargher and Weigand, 2009). The decline in systematic
risk could also be interpreted as the transition of a firm to the mature stage of its life-cycle, where it has fewer growth
opportunities in determining its value (Fracassi, 2008). Thus, investors consider companies paying cash dividends as
less risky than companies that do not pay dividends (Jumah, 2008).
The theoretical as well as empirical research suggests that the flow of information is also related to the variance of
returns (Ross, 1989). Therefore, the probable reason for an increase in event-period returns volatility may be due to
low information environment in terms of the amount of publicly available information and higher levels of investor
uncertainty (Mestel and Gurgul, 2003). These findings are in accordance with the conclusions of Kalay and Lowenstein
(1985) and Chari et al. (1988) who reported substantial increase in the volatility of security returns for the days
surrounding the dividend announcement. All in one, the results also reveal that the announcing companies share gain
popularity, leading to an increase in trading activity and hence higher measured volatility in returns after the
announcement.
These results indicated that the short-term risk profile of the sample companies had changed after the announcement
of cash dividends for these firms.
44 S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49

Table 1: Short-term risk analysis for the sample companies

H0 = 1 (Variance before) = 2 (Variance after) (D=15 days)

Ratio Before After Difference of Means Calculated t- Sig. (2-tailed) Decision at 5%


Measure (Mean) (Mean) Value Level of
Significance

Variance 0.000640 0.010671 -0.001873 -1.067 0.314 H0-Not Rejected

H0 = 1 (Variance before) = 2 (Variance after) (D=5 days)

Variance 0.000630 0.029875 -0.029245 -1.037 0.327 H0-Not Rejected

6.2. Long-term effect

Table 2 shows the long-term impact of cash dividends on return volatility and subsequently the risk profile of the
sample companies. The mean variance for 60-day had shown a marginal decrease; while it increased for 120-day
period (the results though being statistically insignificant for the sample companies). Apparently, there seems to be
substantial noise across events that limit the statistical significance of these results (Docking and Koch, 2005).
Likewise, the value of standard deviation had shown a marginal decrease for 60-day period and a marginal increase
for 120-day period. A possible explanation for this is that there is shift in investors focus on information content of
dividend announcements that could have induced price reactions in the pre-dividend period. Hence, there may be fewer
large price changes (in magnitude) in the post-dividend period, and observed volatility may be lower. This evidence
supports the notion that investors view dividends as an information-transmission mechanism. These findings are in
conformity with the findings of Venkatesh (1989). Also the stocks seem to be less volatile due to the less intensity at
which information arrives and is incorporated into security prices when stock exchanges are open. Further, the results
also suggest that the lower measured volatility may be explained by a corresponding decline in trading volume in the
stock. Thus lower observed return variance may be due to an associated decline in costs of trading of the underlying
stocks (Skinner, 1987).
An increase in variance post 120-day period has been reported because cash dividends announcement elicits greater
positive abnormal returns when the market direction is normal (assuming due to positive returns as reported in
Appendix A) and volatility is high (Docking and Koch, 2005). Also an increase in volatility reported was likely to be
high due to 'low information environment' and relatively higher levels of investor uncertainty that might have existed
at that point in time as reported by Kalay and Lowenstein (1985).
Hence, it may be interpreted, that in long-run the variance of return had changed due to a change in the flow of
information to the market (Ross, 1989). These results justify the signaling ability of cash dividends announcements as
variance was reported the most on the days surrounding the event. In sum, the existence of variance in returns (though
reported marginal), also signifies the existence of semi-strong efficiency of Indian stock market.
S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49 45

Table 2. Long-term risk analysis for the sample companies

H0 = 1 (Variance before) = 2 (Variance after) (D=60 days)

Ratio Before After Difference of Calculated t- Sig. (2-tailed) Decision at 5%


Measure (Mean) (Mean) Means Value Level of
Significance

Variance 0.0008 0.0007 0.0001 0.530 0.609 H0-Not Rejected

H0 = 1 (Variance before) = 2 (Variance after) (D=120 days)

Variance 0.0009 0.0027 -0.0019 -1.142 0.283 H0-Not Rejected

7. Reasons for stock volatility

There is a paucity of studies in literature reviewed explaining the probable reasons for changes in stock variance
on and around cash dividend announcements. An attempt has been made in the following section to corroborate and
justify the reasons for the results.

7.1 Changes in trading activity and changes in variance

In a study by French and Roll (1986), it has been documented that stock returns tend to me more volatile during
stock exchange trading hours in comparison to non-trading hours. Thus, the results seem to indicate that the shares of
the sample companies might have gained popularity during trading hours; leading to an increase in trading activity
and hence higher measured volatility in returns after the announcement. These results were consistent with the findings
of French and Richarct (1986) and Schwert (1987).

7.2 Trading noise

According to Black (1986), the difference between a securitys intrinsic value and its observed price at any point
in time is the result of noise. It comes from two primary sources. First, it is the outcome of the activities of so-called
noise traders (Black, 1986), and second, it brings into surface the nature of the process by which trading takes place
in the stock market (Amihud and Mendelson, 1987). This implies that the inadequacies in the trading process affect
the amount of noise implicit in observed security prices. Hence, variance of the stock prices seems to be an increasing
function of the costs of trading these securities. Thus, return variance was low probably due to an associated decline
in costs of trading of the underlying stocks (Skinner, 1987). Also an increase in volatility reported was likely to be
high due to 'low information environment' and relatively higher levels of investor uncertainty that might have existed
at that point in time as reported by Kalay and Lowenstein (1985). The results provide evidence that the cash dividends
announcements change the trading noise.

7.3. Selection bias

There might be a possibility that stock exchanges choose those stocks for trading that scale high on attributes such
as investor interest, trading activity, and price volatility. Thus, if a stock is labelled as volatile, its price would vary, to
a marked extent, over time, and it is more difficult to say with certainty what its future price will be. In other words,
the lesser the volatility of a given stock, the greater is its chance to be in investors portfolio (Hussainey et. al, 2011).
46 S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49

7.4. Market efficiency, volatility and the speed of adjustment

According to Ederington and Lee (1993), volatility may remain high for some period after the announcement of
cash dividends. The volatility will remain high even if the information arrives gradually and prices adjust immediately.
The efficiency and volatility aspects of the adjustment process are examined by Patell and Mark (1984) in their study
of earnings and dividend announcements. This study reports that variance remains high for both short-term and long-
term except for 60-day period.

8. Conclusion

This paper has examined the impact of cash dividends announcements on short-term and long-term risk, i.e.
variability of returns. Some of the key findings are described as under:
1. In short-run, an increase in variance was reported which was roughly two times greater than the non-information
period. These results are consistent with the findings of Beaver (1968) and Christie (1983). Also it was observed that
the decline in systematic risk could be due to the transition of a firm to a mature stage of its life-cycle, where it has
fewer growth opportunities in determining its value as observed by Fracassi (2008). Thus, it seems that the Indian
investors consider companies paying cash dividends as less risky than companies that do not pay dividends (Jumah,
2008).
2. The findings also document that the probable reason for an increase in event-period returns volatility in short-
run may be due to low information environment as described by Ross (1989). These results are in accordance with
the conclusions of Kalay and Lowenstein (1985) and Chari et al. (1988) who reported substantial increase in the
volatility of security returns for the days surrounding the dividend announcement. All in one, the results also reveal
that the announcing companies share gain popularity, leading to an increase in trading activity and hence higher
measured volatility in returns after the announcement
3. In long-run, the stocks seem to be less volatile due to the less intensity at which information arrives and is
incorporated into security prices when stock exchanges are open. Further, the results also suggest that the lower
measured volatility may be explained by a corresponding decline in trading volume in the stock. Thus lower observed
return variance may be due to an associated decline in costs of trading of the underlying stocks. These results support
the findings of Skinner (1987).
4. There seems to be a shift in investors focus in long-run on information content of dividend announcements
leading to a marginal decrease in 60-day variance as compared to 120-day period. These results justify the signaling
ability of cash dividends announcements. In sum, the existence of variance in returns (though reported marginal), also
signifies the existence of semi-strong efficiency of Indian stock market.
5. Perhaps, the findings reveal that the announcement of cash dividends in India increases stock returns volatility
and changes the risk profile of the sample companies. The results help draw inferences about the value of investments
to the investors (in particular, long-run investments). It has also provided us the clues about the factors which are
affected and are most important to observe volatility changes through time. These parameters are likely to be very
useful inputs to the individual investors in their investment decisions and to the managers in formulating their
investment portfolios.

9. Implications

An important implication of this study is that, managers may employ dividend policy to influence their stocks risk.
Indeed, it may be possible for them to use dividend policy as a device for controlling their share price volatility. These
results can also help an investor to decide whether to invest for short-term in maximizing prices fluctuation or long-
term according to the companys prospects.
For short-term investment, this study guides an investor in providing an insight as to which period generates best
return for trading. Investor should consider about the time period around the cash dividend announcement date so that
he could maximize his capital gain according to the return and price fluctuation. The research indicates that around
the time observed (15 days before and 15 days after the event), significant abnormal returns occurred due to market
sentiments for the sample companies. For long-term investment, an investor should consider about companys
S. Anwar et al. / Procedia Economics and Finance 30 (2015) 38 49 47

prospects. Thus, investments differ in the way they produce returns to investors affecting their portfolios risk/return
composition.

Appendix A. Average abnormal return (AAR), median abnormal return (MAR) and cumulative average abnormal return (CAAR) and their
corresponding t-statistic values on and around cash dividend announcements during the period 2003-2013.

Days (AAR) (%) t statistic CAAR (%) t-statistic Kurtosis Skewness

-15 -0.09 -0.5012 -0.09 -0.0900 5.45 -2.07


-14 -0.01 -0.0484 -0.10 -0.0987 0.87 -1.19
-13 0.02 0.1076 -0.08 -0.0794 -0.99 -0.37
-12 -0.02 -0.1295 -0.10 -0.1026 -0.67 -0.18
-11 0.03 0.1933 -0.07 -0.0679 -0.34 -0.23
-10 0.22 1.2162 0.15 0.1505 8.07 2.69
-9 -0.07 -0.3904 0.08 0.0804 -0.74 0.22
-8 0.21 1.1686 0.29 0.2903 6.27 2.44
-7 -0.10 -0.5488 0.19 0.1917 7.04 -2.52
-6 -0.07 -0.3684 0.12 0.1256 -1.48 -0.34
-5 0.15 0.8450 0.27 0.2773 -1.18 0.54
-4 0.37 2.0543** 0.64 0.6463 7.90 2.69
-3 0.11 0.6157 0.75 0.7569 -1.04 -0.34
-2 0.04 0.2138 0.79 0.7953 0.35 -0.92
-1 0.11 0.6460 0.90 0.9113 0.08 -0.11
0 -0.01 -0.0408 0.90 0.9040 1.45 -0.25
1 0.13 0.7104 1.02 1.0316 3.50 1.53
2 0.07 0.3905 1.09 1.1017 3.27 1.57
3 -0.06 -0.3618 1.03 1.0367 2.80 -1.57
4 -0.07 -0.3994 0.96 0.9650 3.48 1.51
5 0.07 0.3762 1.02 1.0326 0.58 0.30
6 0.13 0.7349 1.15 1.1645 1.46 0.39
7 -0.21 -1.1826 0.94 0.9521 6.32 -2.13
8 -0.18 -0.9891 0.77 0.7745 3.99 -1.36
9 -0.51 -2.8410* 0.26 0.2642 8.64 -2.87
10 -0.20 -1.1342 0.06 0.0605 -0.11 -1.01
11 0.01 0.0377 0.07 0.0673 -0.31 -0.03
12 -0.02 -0.1370 0.04 0.0427 1.52 -1.09
13 -0.04 -0.1983 0.01 0.0071 -0.57 0.30
14 -0.14 -0.7968 -0.13 -0.1360 -0.81 0.07
15 -0.12 -0.6942 -0.26 -0.2607 2.82 -1.48

*Significant at 1% per cent


** Significant at 5% per cent
Note: These findings were presented partially in Indian Finance Conference (IFC) 2014 held at Indian Institute of Management Bangalore, India
(26-28 December, 2014).

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