Effect of Dividend Policy Measures on Stock Price volatility in Tehran Stock Exchange

Abstract

This paper aims to determine the impact of dividend policy on stock price volatility by taking firms listed on Tehran stock exchange. A sample of 68 listed companies from Tehran stock exchange is examined for a period from 2001 to 2012. The estimation is based on cross-sectional ordinary least square regression analysis to find the relationship between share price volatility and dividend policy measures (dividend payout ratio and dividend yield). Control variables taken by the study are: size, earning volatility, debt and growth. Results show, there is a significant negative relationship between share price volatility and two main dividend policy measures: payout ratio and dividend yield. It has also identified that there is a positive relationship between price volatility and size and also debt of firms. The other finding of this study is that there is no relationship between stock price volatility and earning volatility and also growth of the firms.