Jag undersöker aktiekurser i samband med utdelning i syfte att få reda på om aktiepriserna har fallit mindre i Sverige jämfört med Finland samt om aktiepriserna i dessa länder påverkats av kortsiktiga investerare. Studien omfattar data från små börsbolag i Stockholms- och Helsingforsbörserna under åren 2002-2004. Jag använder den så kallade ex-dividend-dag-metoden för att mäta det relativa aktieprisfallet samt regressionsmodellen för att studera kortsiktiga investerares påverkan på aktiepriserna under utdelningsperioden. Resultaten visar att det relativa aktieprisfallet var högre bland de finska aktierna under studiens tidsram, vilket sannolikt berodde på frånvaron av utdelningsskatten i Finland. De kortsiktiga investerarna verkar inte påverka den svenska aktiemarknaden och endast svagt stöd fås för deras påverkan på de finska aktiepriserna.

Chapter 1 examines the effect of property-type diversification in equity real estate investment trusts (REITs) from 1995 to 2006. A strong positive relationship is documented between property-type diversification and return on assets, return on equity, and Tobin’s Q. The diversification benefit comes from both the ability to select better performing property types in “hot” markets and the limited exposure to poorly performing property types in “cold” markets. Diversified REITs produce higher cash flows relative to equity as a result of a broader opportunity set; moreover, return on assets increases with the degree of diversification, which suggests significant shielding to property-type specific risk. Additionally, results indicate that diversified REITs operate and trade above their contemporaneous predicted values, which are calculated using imputed multipliers from specialized REITs. The evidence shows that the market is operating efficiently and has incorporated this information; diversified REITs Q ratios are significantly greater than specialized REITs. Chapter 2 uses a large sample of municipal bond closed-end funds to examine how tax liability affects seasonal trading. Optimal tax trading dictates that net tax liability be calculated after all trades. Investors’ net tax liability is held in a holding account of his or her choosing. This study investigates what happens when there is tax liability in excess of Safe Harbor, and tax holding accounts are liquidated to cover the payments. We find that there exists a pattern of negative returns and increased volume in the month of March that is unexplained by changes in yield. iii Chapter 3 examines the ex-dividend day effect for municipal bond closed-end. The proposed explanations for this phenomenon are tax effects, short-term trading and/or market microstructure effects. In this study I use a unique set of dividend distributions to provide additional evidence that ex-dividend behavior is related to taxation as well as short-term trading. The sample I use is comprised of dividends in nontaxable closed-end funds, which ordinarily are not subject to Federal Income Tax. However, there is an occasional distribution that is subject to capital gains or ordinary income tax. This provides a unique environment in which to study the ex-dividend price behavior of a fund while eliminating the need for comparisons across funds.

This paper analyses options/warrants price behavior around an ex-dividend day of underlying shares. Both equity options as financial instruments traded on options exchanges, and warrants/certificates as OTC financial instruments are analyzed. First, the paper analyzes the ex-dividend day share price drop. Findings of this part are further used to analyze the impact of unexpected share price decline on options prices. Further, the paper focuses on volumes of traded options contracts and changes in options prices around the ex-dividend day. The paper focuses on European shares and related options and warrants. The options data was collected from the options exchange EUREX and also from several OTC sources -- Vontobel, Lang & Schwarz, Erste, and xMarkets by Deutsche Börse. The main aim of the paper is to identify market inefficiencies in trading in and valuation of equity options. There are two main conclusions that around the ex-dividend day there is a significantly increased trading activity and the call options depreciate whereas put options appreciate between the cum-dividend and the ex-dividend day. This shows insufficient implementation of the share price drops into options valuation models of options dealers or investors / speculators. Further an impact of unexpected share price behavior was analyzed but no particular pattern has been identified. The impact of the unexpected share price drop (either too high or too low) has ambiguous implications on the options prices. Finally, ways how to utilize on knowledge of inefficient trading in options around the ex-dividend day were suggested. The suggestions were done both from the perspective of an investor / speculator and of an options dealer.

This diploma thesis deals with analysis of the stock price behavior around ex-dividend day, focusing on the European capital market. The theoretic part is aimed at summarizing of hypotheses and effects affecting the amount of the stock price in comparison with an amount of dividend during last 50 years. In the practical part, there is firstly described a methodology of testing, later the 3 main hypotheses are determined, that are finally tested on a sample of 220 European companies listed on twelve stock exchanges, including the Prague stock exchange. The aim will be to determine the validity of hypotheses on the sample as a whole as well as on some selected stock exchanges in the period between 2006 and 2010, the influence of the payment of dividend on share price, but also the potential impact of financial crisis. Furthermore, the possibility of arbitrage opportunities will be evaluated, which could be incurred on some stock exchanges or individual shares, as well as stability, efficiency and predictability of individual capital markets.

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.

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.

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.

本研究蒐集民國71年至民國81年共11年間新上市公司其首度發放股利的股票作為樣本，試圖以首度發放股利的樣本進行股利研究，而藉此樣本選擇技巧可找出不受市場預期影響的「純綷事件」樣本，由此可觀察出較完全的股利效果。 　　本研究採用事件研究法，並以市場模式及調整市場模式作為均衡預期報酬模式，以避免單一模式可能造成的「定性錯誤」，進而討論以下三個問題： 　　1.股票股利及現金股利的股利效果是否有差異。 　　2.多頭市場時期及空頭市場時期的股利效果是否有差異。 　　3.第一類股及第二類股的股利效果是否有差異。 　　本研究在進行實證分析之後得到下列幾項結論： 　　1.以新上市公司且首度發放股利的股票作為樣本，較之其他研究有較高的異常報酬。 　　2.股票股利較之現金股利有較高的異常報酬，可推論台灣股市投資人偏好股票股利。 　　3.空頭時期股利發放的異常報酬高於報酬高於多頭時期。 　　4.第一類股較之第二類股有較高的異常報酬，且股價較穩定。

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.

From 2008, employee stock bonus must debt expense according to national law and policy. How to get balance between employees and shareholders without eroding benefits becomes the most difficult challenge to many enterprises. The employee stock bonus has been implemented in Taiwan for a long time. This system does play a significant role in high-tech industry and make a great contribution to Taiwan¡¦s economics. However, since a series of business scandals starting with Enron case in 2001, this unique system has been broadly discussed and caused serious debates. One of the most controversial arguments claims that employee stock bonus will weaken the stock price and hurt equity. The study is based on pooled time-series data during 1998-2007 from the IC industry corporations trading on the Taiwan Stock Exchange Corporation and Over-The-Counter market. The purpose is to examine the impact of employee stock bonus on Taiwan stock market by analyzing the variation in Cumulative Average Abnormal Revenue (CAR). The empirical results are summarized as follows: 1.With the factor of employee stock bonus, the ex-dividend effects still existed in IC industry of Taiwan stock market. The negative CAR was particular in evidence on the three days prior to the ex-date. There were no obvious trends of ex-dividend effects during this decade. Both employee stock bonus and dividends were declined year by year which represented that corporation had adjusted their policy with a downward tendency. 2.Before the ex-date, the group of moderate employee stock bonus was beneficial to the CAR and created better performance of stock price with the least dilution effect. On the contrary, the group of low employee stock bonus came out the worst performance. After the ex-date, the group of high employee stock bonus exhibited the best ex-dividend effects and sustained the performance longer. But the group of low employee stock bonus still performed poorly with the most negative CAR. Base on above findings, employee stock bonus not really hurt the stock price but benefit equity if corporations use this system adequately. High employee stock bonuses maybe deliver a positive signal which implicates a bright future.