In this thesis, the ten stocks with the highest dividend yield from the OMXS30 have been used to construct a portfolio, a strategy called The Dogs of the Dow. The portfolio was equally weighted and rebalanced every year. The purpose of this thesis is to see how the strategy would perform in terms of return and risk compared to the market. To define the market two indexes were used, OMXSPI and OMXSGI, which excludes and includes dividends respectively. A low dividends portfolio was also used as a benchmark. Though beating the market some individual years and showing a tendency of performing better in an up-going market, the strategy's average annual return of 9.69 percent for the whole period only beat one of the benchmarks. The strategy's risk was fairly similar to the market risk hence, it does not compensate the lower return with lower risk. The Sharpe ratio showed that the Dogs of the Dow portfolio had the best risk adjusted return in only two out of the eleven years. This points towards the conclusion that the strategy would not have performed better, overall, compared to the benchmarks between the years of 2005 and 2015.

The number of domestic and cross border bank mergers and acquisitions (M&A) has increased over the last decade with a resultant impact on the bank dividend. This study examines the effect of M&A on the dividend policy by comparing the abnormal returns, profitability and dividend policy of the domestic and cross border bank acquirers. The study focused on EU mega-bank mergers and acquisitions within 1997-2007 involving only commercial-to-commercial banks. The sample consists of a total of 62 mega-M&A with a minimum deal value of €500 million. Three hypotheses were formulated specifically to test: (i) the wealth effect and geographical diversification of the M&A between domestic and cross border acquirers; (ii) the effect on in the financial performance of both acquirers and (iii) the M&A impact on dividend policy on banks after bank M&A. Two strands of the literature were reviewed focusing on M&A and dividend policy. The event study methodology was used to calculate the abnormal returns of both the domestic and cross border acquirers which were standardised. A long window of 61 days was applied to capture a satisfactory length of pre and post merger events that could capture the behaviour of the abnormal returns and consequent effect on dividend policy. The hierarchical regression model was used to estimate the impact of the variables on the profitability and dividend policy of the acquirer banks. In comparison with the domestic acquirers, the cross border abnormal returns showed a trend of significant negative results following the M&A announcement. The domestic acquirers showed no significance but, on average have higher cumulative total standardised abnormal returns (CTSAR) than the cross border acquired banks. The result of the financial performance showed that CTSAR of the cross border acquirers is significantly affected by the profitability of the banks but insignificant with domestic acquirers. However, the cost-to –income ratio (CIR) significantly affects the performance of both bank acquirers. CIR and RISK (measured by the ratio of the loan provision to net interest revenue of the banks) highly correlated with profitability of both the domestic and cross border acquirers. The management of costs and loans risks were found to be significant variables in the achievement of profitability among domestic acquirers. The dividend policy hypothesis result indicated that CTSAR has a weak correlation and insignificant effect on the dividend policy variables. Infact, the Causality test result confirmed that the CTSAR does not Granger cause dividend policy. However, the study provides strong support to previous studies that beta, liquidity, taxes, and the finance structure of the acquirers are significant variables in the formulation of the dividend policy of the merged banks. The beta, which a proxy for risk, is the most significant factor affecting the dividend policy of the merged banks.

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The impact of taxation on total return on shares and share price behavior around ex-dividend day is an ongoing problem in the field of Corporate Finance. Several groups of theoretical approaches have evolved since 1950s. Proponents of tax impact argue that share prices decline around ex-dividend day. The extent of decline is also a subject of academic discussions. Moreover, they also claim that shares with higher dividend yield must amount to higher total return on shares before tax in order to keep the total return on shares after tax equal for all kinds of shares. On the contrary, proponents of signalling effect insist on rising share prices around ex-dividend day. This dissertation is mainly aimed at empirical evaluation of the most significant findings mentioned above; based on tests of statistical hypothesis and regression and correlation analysis. The empirical study uses relevant data of German Stock Exchange in Frankfurt upon Main from 2001 till 2009. Additionally, the changes in taxation of dividends and capital gains in 2001 and 2008 are thoroughly explained and analysed with regard to return on shares and share price behavior. The dissertation is divided into 3 main parts including an analysis of current findings, explanation of main elements of tax reforms in 2001 and 2009 and, finally, an empirical analysis. The analysis of current findings includes a review of significant research on share price behavior around ex-dividend day, signalling effect and relationship between dividend yield and total return on shares before and after tax. Moreover, the verified hypotheses in this dissertation were deduced from revailing conclusions of the review. The explanation of main elements of tax reforms in 2001 and 2008 is focused on description of changes in taxation of dividends and capital gains. In 2001, the full imputation method eliminating double axation of dividends was removed and replaced by half-income method taxing only a half of dividend. In 2008, the half-income method was replaced by withholding tax; under defined circumstances by the 60%-income method taxing 60% of dividends. In an empirical analysis, the hypothesis about decline of share price around ex-dividend day and the hypothesis about decline of share price equal to dividend after tax were tested. Additionally, existence of positive relationship between total return on shares before tax and dividend yield and existence of no significant relationship between total return on shares after tax and dividend yield were verified. The decline of share prices was proved in every year. The existence of positive relationship between total return on shares before tax and dividend yield was confirmed in every year except 2006 and 2008.

Denna studie har undersökt huruvida det är möjligt att på Nasdaq OMX Stockholm generera systematiska överavkastningar i samband med att aktier börjar handlas exklusive rätt till utdelningar. Samtliga utdelningstillfällen har undersökts under perioden 2007-2011 vilket givit en total observationsmängd på 699 stycken tillfällen. Genom att ha tagit hänsyn till eventuella marknadsfluktueringar och vikta dessa med bolagets unika risk, i form av betatal, har resultaten även justerats för normalavkastningar under den undersökta dagen. Resultaten från Large Cap, Mid Cap samt Small Cap har sedan jämförts. Resultaten visar att överavkastningar är möjliga under dagen då aktien slutar handlas inklusive utdelning, samt att effekten är större för de mindre bolagen. / This study, has examined the possibility of achieving abnormal returns in the Swedish stock market on the day when stocks no longer trade with its dividend rights. All stocks on Nasdaq OMX Stockholm had been analyzed during 2007-2011, a total of 699 observations. By also including market fluctuations and weight of these fluctuations with the stock’s unique risk, the results have been adjusted for the normal return during the observed day. The results from Large Cap, Mid Cap and Small Cap have then been compared to one another. The overall result shows that abnormal returns are possible on the day stocks no longer trade with the rights of dividends. The result also shows larger, abnormal returns for smaller companies.

No description available.

Abstract¡G From previous studies we found that growth opportunity is an important factor help explaining the cross-sectional differences of firms¡¦ dividend and financing policies. However, growth opportunities are unobservable and not measurable, scholars used different proxies to catch the idea. Prior empirical studies used market-to book, earning-price ratio, Tobin¡¦s Q, R&D intensity, capital expenditure (deflated by book value of assets), PPE, previous sales growth as proxies for growth opportunities, but had inconsistent results. The purposes of this thesis are: first, to find out the relationship between growth opportunities and realized growth, and to determine which proxy is most suitable; second, to find the empirical evidences of the relation between growth opportunities and financing policies, growth opportunities and dividend policies support contract theories, tax-based theories or signaling theories; and finally, to find out if firm¡¦s growth opportunities are affected by its financing and dividend policies. We examine all nonfinancial firms listed on the Taiwan Stock Exchange from 1991 to2000. We use the correlation and regression to determine the relation between growth opportunities and realized growth, then distinguish total debt ratio, short-term debt ratio, long-term debt ratio from financing policies, and dividend payout ratio, cash-dividend yield, stock dividend yield, and dividend yield from dividend policies. We use different growth opportunity proxy to separate whole sample into two subsamples, and growth as a dummy variable. We use regression to find the relation between growth and financing policies, dividend policies. Finally, we use simultaneous equation to determine the relationship among growth opportunities, financing policies and dividend policies to see if they are interdependent. Our empirical result shows that growth opportunities and realized growth have positive relations. But growth opportunities are not positively correlated with realized investment growth. Price-based proxies are often overestimate future equity market value growth. Growth firms have higher debt ratios and long-term debt ratios. The result supports contracting theory and progressive tax rate theory. Growth firms have higher short-term debt ratios, too. We can¡¦t find the significant relation between growth opportunities and dividend pay¡Vout ratios. Growth firms have lower cash dividend yield, and the result supports cash-flow constraint and contracting theories. There is no clear relation between stock dividend yield and growth opportunities. Through simultaneous equation, over financing and too much cash-dividend restrict firms¡¦ growth opportunities.

The cash dividend payout ratio in Taiwan had declined slowly in past years, but it suddenly became higher and higher since 1998. The phenomenon gave me the motivation to try to find the reason why the trend of cash dividend payout ratio changed the direction. I first test the relationship between the characters of firms and their cash dividend payout ratios. The results declared that the market-to-book ratio, earning ability and firm size significantly influences the cash dividend payout ratio. Then I tried to test the catering theory to recognize if the change of cash dividend payout ratio trend can attribute to managers¡¦ desire to cater the demand of investors and found catering theory seems capable in explaining the phenomenon. But Hoberg and Prabhala (2007) indicated that if we take the risks into account, the catering theory can not sufficiently explain the change of the trend of cash dividend payout ratio. So I took Tax Integration and the risks which calculated by the methods of Fama and French (2003) into account to prove their perspectives. At last, the results revealed that the influence of catering were not very strong if we consider the risks of firms, but the influence of risks and Tax Integration has significantly great influences.

Academically, the ex-dividend is a neutral event in stock market. It not only has no positive material influence on firms¡¦ value but also creates no real worth for shareholders. However, lots of prior studies indeed proved there is conspicuous abnormal return during the few of ex-dividend dates and advanced plenty of hypotheses to explain the ex-dividend effect. Based on these inferences, my study more focus on the different of ex-dividend effect on the IC industry and the individual IC enterprise with different attributes. The study period is from 1998 to 2007. The study targets are the ex-dividend events of the all IC firms in Taiwan stock market. After eliminating the samples with incomplete data and disagreement, the sum of samples is 318 ex-dividend events of the 80 firms. The result of my study has five points. First, the ex-dividend effect is existence in the IC industry and there is no distinct trend during the study period. Second, the IC design industry, IC manufacture industry and IC assembly and test industry have the apparently different ex-dividend effect. Third, the samples in the bullish market and with low PBR and MSCI weight have obviously better ex-dividend effect. Fourth, the samples with low earning growth ratio and middle stock dividend ratio have better ex-dividend effect, but not obviously. Finally, before the ex-dividend dates, the samples with low employee stock bonus ratio have better ex-dividend effect. After the ex-dividend dates, the samples with high employee stock bonus ratio contrarily have better ex-dividend effect.

Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In our research we investigate if there are arbitrage opportunities in connection to the dividend payouts, namely the ex-dividend effect. We want to generalize our results across experimental settings, thus across different stock markets. As a basis for our research we picked the OMXS. We base our research on three theoretical areas: the dividend irrelevancy theory, the efficient market hypothesis and the anchoring theory. The dividend irrelevancy relates to how the stock price ought to behave on ex-dividend day whereas the efficient market hypotheses states that prices on a market fully reflects all available information. Both theories concur that no arbitrage opportunities should be available on the financial market. The anchoring theory highlights the fact that investors formulate an anchor price for financial assets, for example stocks. In our research we aim to formulate a practical method on how to make abnormal returns on the ex dividend effect, based on the anchoring theory. Our census sample consists of dividend-paying firms publicly registered on the OMXS, and consists of 694 observations taken from 2009 to 2012. The sample was picked on the basis of characteristics, for example that the firm has been registered for at least four years and paid dividend one time during the four years of investigation. In order to tests for arbitrage opportunities on ex-dividend day, we used a simple mathematical model measuring the deviation between the price drop cum-dividend day to ex-dividend day, and the dividend amount. We conclude that the price drop differs from the dividend amount, only accounting for a price drop of 0.73 of the dividend amount. Thus, the price drop for each dividend unit is 0.73, in relation to a perfectly efficient market where there should be no difference; hence the price drop would be equal to the dividend amount, 1. Research on the ex-dividend effect is a thoroughly investigated area, where the first research was presented in 1955. Previous research all attempts to explain why there are market anomalies, but none examine how one can capitalize on the findings. In our research we examine if it is possible to make abnormal returns based on a segmenting of stocks, depending on their price volatility. This research is thereby first in examining how to capitalize on found arbitrage opportunities.