Stock Market Reaction To Dividend Announcements
For my thesis I am doing research in the stock market behavior after dividend announcements of shares of the Amsterdam Exchange Index and the Amsterdam Midkap Index. Together these are the 50 largest Dutch listed companies. I am investigating these over the past 20 years.
Data will have to be found about the AEX and AMX compositions of the past 20 years. Subsequently, the dividend announcement must be found annually. After that, the price of 5 days before, of the day itself and 5 days after the announcement must be introduced.
To calculate the changes in stock prices around the dividend announcement, I need to calculate the abnormal returns. I do this for the 5 days before a dividend announcement, on the day of the announcement and 5 days after a dividend announcement. To calculate the alpha and the beta I used 30 days before 5 days before as event window. After that I have to make a regression analysis with different control variables to determine the relationship between the announcement and the price.
I currently have 15 pages of introduction, literature review and methodology in Dutch. I would like someone to perfect my methodology (4 pages) and generate and describe the results (8 pages) in English. I will do the translation by myself.
I have attached some sample studies of the same study in other countries. In these studies, they use the same methodology as I would like. I expect someone to do the same study for The Nederlands.
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