:

, :

.

311
:
...,

- 2014


0.. ................................................................................................................................................ 3
1.. .................................................................................................................................................. 4
2. : ........................................................................................... 6
2.1 (Factiva) ................................................................................................................................ 6
2.2 ................................................................................................................................................. 6
2.2.1 Dividend puzzle........................................................................................................................ 6
2.2.2. . .............................................................................................. 7
2.3 ES . ............................................................................................................................................ 8
2.4 Event study(ES). ......................................................................................... 9
3. . .................................................................................................... 12
3.1 . ..............................................................................................................................................12
3.1.1 ...............................................................................................................12
3.1.2 ................................................................................................................................14
3.1.3 ....................................................................................................................16
3.1.4 ..................................................................................................................18
3.1.5 ..........................................................................................................................19
3.1.6 .....................................................................................................20
. ...................................................................................................21
3.2 ................................................................................................................................................22
. ..................................................................................................24
. ............................................................................................................................................... 25
. ...................................................................................................... 26

0..

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emerging markets ,
.

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2. :
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.
25 AND AND ( OR *
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2.2

.
2.2.1 Dividend puzzle.

.
,
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1961 Dividend Policy, Growth and the Valuation of Shares6
. ,

, ,
.. , ,
, . dividend puzzle,
2 : .

Modigliani F., Miller M. H. The Cost of Capital, Corporation Finance and the Theory of Investment // Amer. Econ. Rev. 1958. June.
P. 261297
6
Millr . ., Modigliani F. Dividend Policy, Growth and the Valuation of Shares, Journal of Business, 60(1987) 411-433

 Gustavo Grullon(1990)7, .
Shefrin&Statman(1984)8 Aivazian(2003)9
.
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,
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.

Grullon, G. and Michaely, R. (1990), The information Content of Share repurchase programs, Working paper.
Shefrin, H.M., and Statman, M. (1984), Explaining investor preference for cash dividends, Journal of Financial Economics, 13(2) (1984) 253282.
9
Aivazian, V., Booth, L., and Cleary, S. (2003), Do Emerging Markets Firms Follow Different Dividend Policies from U.S. Firms, Journal of
Financial Research, 26(3) (2003) 371-387.
10
.2
11
, . . . "", 2011.,. 326
12
Grullon, Gustavo, Roni Michaely, Bhaskaran Swaminathan Are Dividend Changes a Sign of Firm Maturity? // Journal of Business, V. 75, 3,
2002.
8

, -
.
,
,
,
, Healy&Palepu(1988)13,
Aharony&Swary(1980)14, Michaely&Thaler&Womack(1995)15.
.
2.3 ES .
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event study(ES).
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,
. 16

.. 17
. 118
1999 2006 .
ES ,
. 19992006 .,
.
13 Healy, P., Palepu, K. Earnings information conveyed by divi-dend initiatons and omission // Journal of Financial Econom-ics, 21, 1988, pp.
149-176
14 Aharony, J., Swary, I. Quarterly dividend and earnings an-nouncements and stockholders returns: an empirical analysis // Journal of Finance
35, 1980, pp.1-12
15 Michaely,R., Thaler, R., Womack, K. Price reactions to divi-dend initiations and omissions: overreaction or drift? // Jour-nal of Finance, 50(2),
1995, pp. 573-608.
16

.. :

// , 2008 2, .1
17

2.4 Event study(ES).

18,
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1


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10

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Factiva

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10
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SBER CAR, MICEX

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1

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VTBR CAR, MICEX

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10

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.
CAR :

10

24

http://www.aeroflot.ru/cms/new/23143

AFLT CAR, MICEX

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AFLT CAR

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11

25

http://www.1prime.ru/metals/20140303/779410898.html

ALRS CAR, MICEX

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10

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,
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26

.. :

// , 2008 2, 1-15

3.2

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27. ,
.
,
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,
.
3 ,
.
ES ,
() .
1)Coal India
S&P BSE SENSEX(BSE)
5%,
.
Coal India , 90% .
10. $ ,
.28 0 .
10

27
28

http://online.wsj.com/news/articles/SB10001424052702303773704579266032933522904
.

Coal India CAR

6.00%
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2.00%

Coal India CAR

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-4

-2

10

-2.00%
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.
2)Bharat
S&P CNX Nifty index(NSE), S&P BSE
SENSEX(BSE).
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5%,
.
11

Bharat
8.00%
6.00%
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10

Bharat CAR, NSE

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Bharat , ,
.
3)NMDC

 - S&P CNX Nifty index(NSE)

0 WSJ.
5%,
.
12

NMDC CAR
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0.00%
-10

-8

-6

-4

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10

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NMDC CAR
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NMDC ,
.

.
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3 . (Coal India)
CAR , ,
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. , NMDC Bharat
, , ,
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Wall Street Journal . ,
, ,
.

.

.
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.
.
, , ,
.
, ,
,
2000- (
).

,
. ,
, , ,
.

 .
1) .. :

// , 2008 2, 1-15
2) Millr . ., Modigliani F. Dividend Policy, Growth and the Valuation of Shares, Journal of
Business, 60(1987) 411-433
3) Grullon, G. and Michaely, R. (1990), The information Content of Share repurchase programs,
Working paper.
4) Shefrin, H.M., and Statman, M. (1984), Explaining investor preference for cash dividends,
Journal of Financial Economics, 13(2) (1984) 253-282.
5) Aivazian, V., Booth, L., and Cleary, S. (2003), Do Emerging Markets Firms Follow Different
Dividend Policies from U.S. Firms, Journal of Financial Research, 26(3) (2003) 371-387.
6) , . . . "", 2011. - 724
7) Healy, P., Palepu, K. Earnings information conveyed by divi-dend initiatons and omission //
Journal of Financial Econom-ics, 21, 1988, pp. 149-176
8) Aharony, J., Swary, I. Quarterly dividend and earnings an-nouncements and stockholders
returns: an empirical analysis // Journal of Finance 35, 1980, pp.1-12
9) Michaely,R., Thaler, R., Womack, K. Price reactions to divi-dend initiations and omissions:
overreaction or drift? // Jour-nal of Finance, 50(2), 1995, pp. 573-608.
10) Grullon, Gustavo, Roni Michaely, Bhaskaran Swaminathan Are Dividend Changes a Sign of
Firm Maturity? // Journal of Business, V. 75, 3, 2002.
11) Modigliani F., Miller M. H. The Cost of Capital, Corporation Finance and the Theory of
Investment // Amer. Econ. Rev. 1958. June. P. 261297
12) Factiva