Is the Signalling Effect of Dividend Changes Announcement More Important in Volatile Times?

This paper examines the signalling effect of dividend changes with a focus on how investors react to dividend changes during volatile markets. The signalling effect should be associated with the perceived information asymmetry between corporate insiders (i.e., managers) and the general public. The question is, does this asymmetry increase or decrease during uncertain times? Do managers really know comparatively more (compared to regular investors) about the future in uncertain times, or do the differences reduce because it is associated more with a systematic type of risk? My research shows that investors, in general, are more sensitive to dividend increase than to dividend decrease. Also during volatile markets, investor decision making is sensitive to dividend change announcement and the signaling effect of dividend changes during volatile markets is a function of dividend change announced.