Abstract: This study attempts to investigate the wealth effect of a specific corporate announcement that is whether dividend increase announcement is reflected in the firm stock return. In particular, the study focuses to evaluate the relevancy of the information content of dividend increase announcement in the context of dividend signaling hypothesis. For this purpose, the sample firms listed on the main market of Bursa Malaysia which have announced to increase their dividend payment in year 2010 are selected. The analysis uses the event study technique, the Naive Model, a model that is based on single index market model with constrained α = 0 and β = 1 to compute the mean abnormal returns in order to examine the market reaction to dividend increase announcements. The t-test analysis is applied to test for the hypothesis. Results of the t-test indicate that information about dividend increase has been significantly conveyed to the market. The results show that announcements of dividend increases are associated with increased stock prices which constitute support the notion that dividend conveys unique and valuable information to investors. Overall, this study documents significant market reaction to dividend change announcements, lending support to the information content of dividend hypothesis. A follow-up study of other dividend changes announcements is strongly recommended to determine the full wealth effect for shareholders of the relevant firms.