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The ability of Nigerian Stock Exchange market in performing the role of price discovery for economic growth has not been very satisfactory owing to the problem of information asymmetry. This paper used panel regression model that incorporated stock market returns to examine the response of actual stock returns to market returns; and how abnormal and cumulative average returns were influenced by information asymmetry. The results showed significant positive response of actual stock return in the days before and after dividend announcement; but not significant, statistically on the day dividend announcement information arrived at the market. The average abnormal and cumulative returns provided empirical evidence, that investors leveraged on anticipated information contained in the dividend announcement in the of pricing shares on the Nigerian Stock Exchange (NSE). Therefore, the paper concluded that the Nigerian Stock Exchange market is not information efficient. Consequently, the paper emphasized the need for the NSE to strengthen collaborative efforts in conjunction with the Securities and Exchange Commission (SEC) as the mechanism to eliminate information asymmetry and, thus, checkmate abnormal returns to investors.
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