Seminario para optar al título de Ingeniero Comercial, Mención Administración / A lo largo de la historia, se han efectuado numerosos estudios en el campo de los dividendos. El presente trabajo lleva a cabo una investigación sobre los retornos anormales de las acciones chilenas en torno a su Ex-Dividend Day, es decir, la fecha límite de suscripción para tener derecho a dividendos por parte de los accionistas, y tiene como objetivo determinar su existencia. Además, busca complementar los estudios expuestos por Castillo y Jakob (2006), y Fuenzalida y Nash (2004), esta vez, analizando específicamente los retornos anormales accionarios previos al Ex-Dividend Day. La metodología utilizada es la de “Estudio de eventos”, la cual tiene como objetivo comprobar si se ha generado algún tipo de rentabilidad extraordinaria en algún activo financiero. El principal resultado determinó la existencia de retornos anormales promedio acumulados (CAAR) significativos para un mes y dos semanas previas al Ex-Dividend Day, inclusive éste, corroborando lo expuesto por Eades, Hess and Kim en 1984.

TESIS PARA OPTAR AL GRADO DE MAGÍSTER EN FINANZAS / A lo largo de la historia, se han efectuado numerosos estudios en el campo de los dividendos. El presente trabajo lleva a cabo una investigación sobre los retornos anormales de las principales acciones en Latinoamérica en torno a la fecha límite de suscripción para tener derecho a dividendos por parte de los accionistas, y tiene como objetivo determinar su existencia. Además, busca complementar los estudios expuestos por Castillo y Jakob (2006), y Fuenzalida y Nash (2004), esta vez, analizando específicamente los retornos anormales accionarios previos al Ex-Dividend Day, que es el primer día en la que la acción se transa sin tener derecho a los dividendos. La metodología utilizada es la de “Estudio de eventos”, la cual tiene como objetivo comprobar si se ha generado algún tipo de rentabilidad extraordinaria en algún activo financiero. El principal resultado determinó la existencia de retornos anormales promedio acumulados (CAAR) significativos para un mes y dos semanas previas a la fecha límite, inclusive ésta, corroborando lo expuesto por Eades, Hess and Kim en 1984.

<p>In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006.</p><p>To answer the research question: Do returns on the London Stock Exchange act in accordance with the efficient market hypothesis on the ex-dividend day? We used a deductive approach and test four hypothesis. The study was carried out by comparing the actual value of the raw price ratio, market adjusted price ratio, raw price drop and market adjusted price drop to their theoretical values. The difference was tested for significance using the one sample t-test.</p><p>The results showed that there are significant differences in the observed figures from their theoretical or expected values. The observed raw price ratio is higher than the expected value of 1, implying that the stock price on the ex-dividend day drops by an amount that is lower than the dividend paid. Similarly, the market adjusted raw price ratio is also higher than the expected value of 1. The raw price drop and market adjusted price drop are lower than the dividend yield, indicating again that the stock price drops by an amount that is lower than the dividend paid.</p><p>Our results indicated that the null hypotheses stated are rejected since the drop in the stock prices is not equal to the amount of the dividend on the ex-dividend day.</p>

In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006. To answer the research question: Do returns on the London Stock Exchange act in accordance with the efficient market hypothesis on the ex-dividend day? We used a deductive approach and test four hypothesis. The study was carried out by comparing the actual value of the raw price ratio, market adjusted price ratio, raw price drop and market adjusted price drop to their theoretical values. The difference was tested for significance using the one sample t-test. The results showed that there are significant differences in the observed figures from their theoretical or expected values. The observed raw price ratio is higher than the expected value of 1, implying that the stock price on the ex-dividend day drops by an amount that is lower than the dividend paid. Similarly, the market adjusted raw price ratio is also higher than the expected value of 1. The raw price drop and market adjusted price drop are lower than the dividend yield, indicating again that the stock price drops by an amount that is lower than the dividend paid. Our results indicated that the null hypotheses stated are rejected since the drop in the stock prices is not equal to the amount of the dividend on the ex-dividend day.

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This is a study of the ex-dividend day. The study covers six years (2007-2012) and studies the shares included in the OMXS30 on the Stockholm stock exchange. OMXS30 is a share index of the 30 most actively traded stocks on the exchange. The study comprised a total of 145 observations. The purpose of this study is to investigate if the stock price on the ex-dividend day unfolds as the efficient market hypothesis teach or if there exists room for speculation, and thus earn a return higher than the market.The ex-dividend day effect has been studied previously, both on the Swedish market but also abroad. The results of previous researchers are different but they all have one thing in common, namely that there is a certain ex-dividend day effect.When calculating the ex-dividend day effect, the stock prices had to be adjusted for the normal return that occurs during the ex-dividend day. The normal return is not something that is universally known, but must be estimated by the author. In this study, it was estimated using the OMXS30 index movements relative to each company's beta. After that price drop ratio is calculated. The authors found that the share price on average fell by about 90 % of the dividend amount, with the possibility of an excess return of approximately 0.37 %. This was according to statistical tests significantly different from one, indicating that the ex-dividend day effect exists. By studying each year the authors found significant discrepancies between the years that cannot be explained, the authors themselves could conclude that the price drop ratio exists in symbiosis with the current economic situation.

The main aim of this thesis is to analyze the behavior of stock price on ex-dividend day in London Stock Exchange and New York Stock Exchange and draw a conclusion about the market efficiency based. We collect 200 sample companies dividend, ex-dividend day and cum dividend day stock price to compare with NYSE composite index and FTSE 100 for London Stock Exchange.   To answer the research question and specific purpose of our thesis we developed five null hypothesis based on raw price ratio (RPR), market-adjusted price ratio (MAPR), raw price drop ratio (RPD), market-adjusted price drop ratio (MAPD) and market-adjusted abnormal return (MAAR). We used t-statistic to find the mean differences between observed values and standard values. We also show multiple regression analysis to show the relationship between ex-dividend day stock price and dividend, cum-dividend day stock price.   This thesis documented that same amount of stock price drop in 2008 New York Stock Exchange compare with dividend amount. In this case our null hypothesis accepted. On the other hand in London Stock Exchange shows higher drop of stock price than dividend amount in 2008 against the taxation rate rules of prior study. In 2007 both stock market shows the less drop of stock price than dividend amount. Therefore our null hypothesis rejected. We also documented that London Stock Exchange more volatile than New York Stock Exchange to consider the MAAR, tax rate and standard deviation. So we find significant evidence of market abnormal return which create an opportunity of market inefficiency and arbitrage opportunity for investors.   So, our thesis output shows mixed evidence for London Stock Exchange and New York Stock Exchange.

This study is to examine the phenomenon of stock prices drop around the ex-dividend day in Taiwan. Investors purchasing the security before the ex-dividend date will receive the current dividend, whereas investors purchasing the security on or after this date will not receive the dividend. Consequently, the stock price should fall on the ex-dividend date. In a perfect market, the stock price is expected to fall by the amount of the dividend. I show that share prices do not fall by the full amount of dividend, on average. I focus on falling ratio of stock prices, along with stock return. I also study the factors which may influence stock price behavior and find that the drop of stock price is smaller than the amount of the dividend. That is, the stock price tends to rise on the ex-dividend day. The price drop ratio on the ex-dividend day is higher for firms with greater financial leverage, higher dividend pay out ratio and higher dividend yield. Finally, I also observe that stock return and trading volume increase around the ex-dividend day.

Several studies have observed that stocks tend to drop by an amount that is less than the dividend on the ex-dividend day, the so-called ex-dividend day anomaly. However, there still remains a lack of consensus for a single explanation of this anomaly. Different from other studies, this dissertation attempts to answer the primary research question: How can investors make trading profits from the ex-dividend day anomaly and how much can they earn? With this goal, I examine the economic motivations of equity investors through four main hypotheses identified in the anomaly’s literature: the tax differential hypothesis, the short-term trading hypothesis, the tick size hypothesis, and the leverage hypothesis. While the U.S. ex-dividend anomaly is well studied, I examine a long data window (1975 to 2010) of Thailand data. The unique structure of the Thai stock market allows me to assess all four main hypotheses proposed in the literature simultaneously. Although I extract the sample data from two data sources, I demonstrate that the combined data are consistently sampled. I further construct three trading strategies: “daily return,” “lag one daily return,” and “weekly return” to alleviate the potential effect of irregular data observation. I find that the ex-dividend day anomaly exists in Thailand, is governed by the tax differential and is driven by short-term trading activities. That is, investors trade heavily around the ex-dividend day to reap the benefits of the tax differential. I find mixed results for the predictions of the tick size hypothesis and results that are inconsistent with the predictions of the leverage hypothesis. I conclude that, on the Stock Exchange of Thailand, juristic and foreign investors can profitably buy stocks cum-dividend and sell them ex-dividend while local investors should engage in short sale transactions. On average, investors who employ the daily return strategy have earned significant abnormal return up to 0.15% (45.66% annualized rate) and up to 0.17% (50.99% annualized rate) for the lag one daily return strategy. Investors can also make a trading profit by conducting the weekly return strategy and earn up to 0.59% (35.67% annualized rate), on average.

Abstract   Background: The dividend ex-day effect is the tendency of the stock price drop on the ex-day to be less than the dividend per share. This inclination is contrary to established theory of rational investor behaviour and is, thus, considered an anomaly in capital markets. The phenomenon was first observed more than half a century ago and has puzzled researchers ever since, resulting a myriad of theories trying to explain its cause. Nevertheless, the dividend ex-day effect still stands without a conclusive explanation. In Sweden, few studies have been conducted and none succeeds in explaining the phenomenon. In a recent addition to the many explanatory theories, Efthymiou and Leledakis (2014) propose the disposition effect as the driving factor behind the dividend ex-day effect. Compelling evidence for this notion is provided in an empirical study of the US market, warranting the consideration of a similar investigation in the Swedish market.   Purpose: The purpose of this study is to examine the relationship between the dividend ex-day effect and the disposition effect in the Swedish stock market. Method: This study is conducted using a deductive approach and a quantitative research strategy. Secondary data of OMXS stocks during the 2013-2017 period is gathered from Thomson Reuters Datastream. To fulfil the purpose, one sample t-tests and regression analyses are performed. Conclusion: Statistically significant results confirm that there is a pervasive dividend ex-day effect on the OMXS market. From here, it is found that there is a substantial difference in the price drop between stocks based on their performance: winning stocks display a higher price drop on the ex-day compared to losing stocks. Regression analyses indicate a positive relationship between the dividend ex-day effect and the disposition effect. Some evidence, although not statistically significant, suggest that for a specific stock, the price drop will be greater in times when the stock has had positive returns compared to when it has had negative returns. A remarkable finding in this study is that all tests indicate that the positive relationship between the dividend ex-day effect and the disposition effect appears to be fading out as the holding period of stocks gets longer.