A Long-term Casual Nexus between Stock Price and Dividends: Empirical Evidence from the Accepted Firms in Tehran Stock Exchange
محورهای موضوعی : Financial Accounting
1 - Department of Management, Arak Branch, Islamic Azad University, Arak, Iran
کلید واژه: stock price, Granger causality test, Systematic Risk, Dividends, Firm growth,
چکیده مقاله :
this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. One of the methods to study the designed causal relationshipsobjectively is Granger causality test. This paper aims to investigate the longtermcausal relationship between the stock price and dividends. The statisticalpopulation includes 180 active companies in Stock Exchange of Tehran during2010-2014. In order to analyze the achieved data statistically, the used specifiedmodel has been the regression model using the econometric data panel techniquesand to test the research hypotheses and find the specific relationships among thevariables, the descriptive-inferential statistics and Eviews software were used.Results indicated that the stock price is not due to the dividends; however, thedividends are the Granger causality of stock price. Also, the type of industry, firmgrowth index, and systematic risk index are of impact on the relationships betweenthe stock price and dividends.
[1] Izadinia, Naser, Alinaqian, Nasrin, Recognition of Effective Elements in Dividends Using Logit
Model, Journal of Financial Accounting Researches, 2011. 1, p. 21-38.
[2] Biabani, Shaer, Razi Kazemi, Setare, Ownership Structure (Shareholding and Focus) and Divi
dends Policy in Tehran Stock Exchange, Financial Knowledge of Securities Analysis Journal,
2013. 20, p. 15-28.
[3] Setayesh, Mohammad Hossein, Mehtari, Zeinab, Analysis of Relationship between Operational
Cash Flows and Dividends Variations of Firms in Tehran Stock Exchange, Accounting Science
Journal, 2011. 5, p. 149-171.
[4] Shahalizade, Bita, Efficiency Investigation of DuPont Ratio for Profitability Predictions in Life
Cycle of Firm, 11th National Accounting Conference of Iran, 2012.
[5] Shojae, Tayebe, Shojae, Esmael, Comparison of Dividends and Stock Price Variations in Food
Firms in Tehran Stock Exchange, Management Journal, 2012. 26, p. 15-22.
[6] Seydi, Hojatolah, Movahedpoor, Marjane, Investigation of Effective Factors in Profit Quality and
Stock Price, Empirical Studies of Financial Accounting, 2015. 47, p. 112-93.
[7] Kamyabi, Yahya, Ranjbar, Sepide, Investigation of Output, Risk, Dividends Policy and Stock Price
Variations Relationship in Firms of Tehran Stock Exchange, International Accounting and Man
agement Conference, 2014. p. 1-10.
[8] Namaki, AmirAbbas, Tajedini, Ajang, Rohnia, Mehran, Investigation of Economic Growth, Con
sumption and Demand of Print and Newspaper Paper in Iran, Scientific Journal of Wood and
Paper Researches, 2014. 1, p. 117-131.
[9] Ahmed, S., Murtaza, H., Critical analysis of the factors affecting the dividend payout: Evidence
from Pakistan, International Journal of Economics, Finance and Management Sciences, 2015.
3(3), p. 204-212.
[10] Amidu, M., Abor, J., Determinants of Dividend Payout Ratios in Ghana, Journal of Risk Fi
nance, 2016. 7, (2), p. 136-145.
[11] Chang, T., Yang, M.J., Nieh, C. and Chiu, C., nonlinear short-run adjustments in US stock mar
ket returns, Applied Financial Economics, 2008. 18, p. 1075-1083.
[12] Esteve, V. and Prats, M.A., Threshold cointegration and nonlinear adjustment between stock
prices and dividends, Applied Economics Letters, 2010. 17, p. 405-410.
[13] Gallizo, J.L., Salvador, M., Share Prices and Accounting Variables: A Hierarchical Bayesian
Analysis, Review of Accounting and Finance, 2006. 5, (3), p. 268-278.
[14] Goddard, J., McMillan, D.G. and Wilson, J.O.S., Dividends, prices and the present value model:
firm-level evidence, The European Journal of Finance. 2008.14, p. 195-210.
[15] Grullon, G., Michaely, R., Swaminathan, B., Are Dividend Changes a Sign of Firm Maturity,
Journal of Business, 2002. 75, p. 387-424.
[16] Hashimujo, G., Solberg, D., Zorn, T., Simultaneous Determination of Insider ownership, Debt,
and Dividend Policies in Malesia, Journal of Financial and Quantitative Analysis. 2012. 27, (2),
p. 247-263.
[17] Kanas, A., Non-linear cointegration between stock prices and dividends, Applied EconomicsLetters, 2003. 10, p. 401-405.
[18] Nirmala, P.S., Sanju, P.S., Ramachandran, M., Long- run causal nexus between share price and
dividend, Journal of ASIA Business Studies, 2014. 8, p. 136-145.
[19] Prabath, U.S., Menike, M.G.P.D., The impact of accounting variables on stock price: Evidence
from the Colombo stock exchange, Sri Lanka, International Journal of Business and Manag
ment, 2014. 9, (5), p. 125-137.
[20] Reschreiter, A., Extreme equity valuation ratios and stock market investments, Applied Financial
Economics, 2009.19, (6), p. 433-438.
[21] Savov, S., Dividend Changes, Signaling, and Stock Price Performance, Mannheim Finance
Working Paper, 2006. 3.
