To date, a vast body of research has been established on dividend policy. However, little research
has been done on the impact of dividend payments on shareholders’ wealth while considering the
short- and long-run effects. This study is based on a sample of 46 companies listed on the
Johannesburg Securities Exchange (JSE) for the period 1995 to 2010. The Vector Error
Correction Model (VECM) was used to describe the short-run and long-run dynamics or the
adjustment of the co-integrated variables toward their equilibrium values. Results indicate that in
the long run, dividend yield is positively related to market price per share, while earnings per
share do not have a significant impact on the market price per share.