Figure 7.2 Cumulative abnormal returns (CAR) for zero-dividend proposals
of A-shares in China’s Stock Market
The Efficiency of China’s Stock Market
Semi-strong Form Efficient or Not? Tests of Zero and Cash Dividends
177
Alternatively, the mean adjusted model highlights the deviation of the specific
stock return from its average return during the estimation window. Thus the CARs
in the mean adjusted model section do not show that the zero-dividend stocks
exhibit poor returns around the announcement date in comparison with
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month, and much more.