Do dividend announcements override the pandemic impacts? An evidence from the BSE 500 constituent firms

The data contains closing prices and log-returns of 169 BSE500 constituent companies which declared final dividend during the year 2020 and 163 BSE500 constituent companies which had previously declared final dividend during the year 2019. The data has been collected from ProwessIQ and the BSE Website. The dividend announcements from January 2019 to December 2020 have been collected from www.moneycontrol.com. The firms with regular trading history and those having a sufficient number of trading days as per our estimation and event window have been included in the sample. We calculate the daily returns using the formula LN[(Ct-1)/Ct] in excel. In this data, we provide the complete sample list, closing prices, and daily log returns.