Motives behind the return anomaly around bonus issue announcements: the case of emerging markets

Murat Isiker*, Oktay Tas

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


Purpose: This paper aims to examine the stock return behaviour around the bonus issue announcements in eight emerging markets for 2010–2019 by addressing the signalling, cash substitution and liquidity hypotheses. Design/methodology/approach: Besides using the standard event study technique to test the presence of an anomaly, country-based regression analyses are performed. Firm-specific factors are used to understand the motive behind the anomaly observed pre- and post-announcement periods. Also, the Amihud illiquidity measure examines the liquidity hypothesis, while standardized profitability and investment ratios compare the long-run operational performance of bonus issuers to test the validity of signalling. Findings: The findings provide evidence that abnormal returns can be detected ten days before the announcement in some countries, which is a sign of information leakage. The presence of the effect continues only in two countries after the announcement is released. The size of the bonus issue is found strongly significant in most countries, while a weak relation between abnormal return and other factors is detected. Moreover, the signalling hypothesis does not hold in the sense of long-run profitability increase, while liquidity assertion is partially presented. Research limitations/implications: Due to an inadequate number of announcements in other emerging markets, the number of sample countries is limited by eight. Originality/value: The research is novel regarding analyzing a wide range of emerging countries with various variables. Also, the paper is distinguished from other studies by applying multiple set of regressions under nine different event windows.

Original languageEnglish
Pages (from-to)806-832
Number of pages27
JournalReview of Behavioral Finance
Issue number5
Publication statusPublished - 24 Nov 2022

Bibliographical note

Publisher Copyright:
© 2021, Emerald Publishing Limited.


  • Bonus issue
  • Cash substitution
  • Event study
  • Liquidity hypothesis
  • Signalling hypothesis
  • Stock dividends


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