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Lkhamsuren Tegshjargal,박철호 중앙대학교 한국전자무역연구소 2019 전자무역연구 Vol.17 No.3
Purpose: The purpose of this study is to analyze the dividend disclosure effect of the Mongolian securities market using data of companies listed on the Mongolian securities market from 2012 to 2017. To this end, among the companies listed in the Mongolian securities market, companies with cash dividends are selected according to a certain standard, and the stock returns before and after the dividend disclosure are compared and analyzed with the market returns. If there is a disclosure effect of dividend information, it will be able to verify whether there is a semi-strong form efficiency in the market, as well as whether it can support the signaling hypothesis that can theoretically explain this analysis. Composition/Logic: The effect of information transfer on dividend disclosures is analyzed using the methodology of the event study. For certain securities, an abnormal return is measured before and after a particular event is published on the stock market to assess whether this is due to new events or information. Event studies usually use the market model. We obtain the absolute return (AR) or cumulative abnormal return (CAR) from the difference between the realized return and the expected return predicted by the market model, and then statistically verify that there is an abnormal return or cumulative abnormal return before and after the publication of a particular event. Findings: The CAARs of both cash dividend increase and decrease samples categorized by dividend per share were statistically significantly positive. Thus, the hypothesis that positive abnormal returns would be seen in the sample with increasing cash dividends, and negative abnormal returns would be shown in the sample with decreasing cash dividends was not supported. On the other hand, the hypothesis that the abnormal return of a small firm sample will be greater than the abnormal return of a large firm sample during the disclosure period was supported. Therefore, the information transfer effect of dividend disclosure in the Mongolian securities market exists, and it can be concluded that the securities market is not efficient in the semi-strong form sense. Originality/Value: This study is meaningful in that it examines the disclosure effect of cash dividends in the Mongolian securities market, which is not well known in Korea. The company's cash dividend will be meaningful as information that allows investors with relatively asymmetric information to judge the company's fundamentals. Therefore, this study provides implications for dividend policy to managers who carry out their dividend policy, and at the same time, it can contribute to investment strategy establishment and decision making for investors in Mongolian stock market.