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.

Denna studies syfte är att testa om det finns ett statistiskt samband mellan det nominella aktiepriset och ex-dagseffekten på Nasdaq OMX Stockholm. Ett tydligt samband skulle därmed vara ett ytterligare motiv till företagens beslut om genomförandet av aktiesplit för att revidera aktiens nominella pris. Studiens hypotes lyder därför att det finns ett negativt samband mellan det nominella aktiepriset och ex-dagseffekten, som visats i tidigare studie på den amerikanska börsen NYSE. Studien har genomförts i positivistisk tradition genom statistiska analyser och tester för att klargöra ett eventuellt samband mellan den beroende variabeln ex-dagseffekten och den oberoende variabeln nominella priset. All empirisk data har hämtats från databasen Thomson Reuter Datastream, sammanställts i Excel kalkylblad, analyserats i statistikprogrammet MiniTab och redovisats i två uppsättningar. Studiens resultat visar inget samband mellan det nominella priset och ex-dagseffekten under perioden 2011 till 2015. Nollhypotesen kan inte förkastas och resultaten indikerar försumbar korrelation och förklaringsgrad genom regression. Resultatet är annorlunda från en tidigare studie som konstaterat ett tydligt samband mellan samma variabler på börsen i USA. Det teoretiska bidraget består främst av besvarandet av studiens syfte där det nominella prisets betydelse ter sig annorlunda på den svenska marknaden mot den amerikanska. Det praktiska bidraget från studien ger företagsledare för börsnoterade bolag samt fondbolag och aktörer på den finansiella marknaden en utökad kunskap om rådande förhållanden på marknaden för att förbättra beslutsunderlaget vid eventuella aktiesplittar eller investeringar. Som förslag till fortsatt forskning uppmuntras det att undersöka huruvida det nominella prisets betydelse skiljer sig mellan olika marknader. Förslagsvis kan framtida studier mäta effektiviteten på stockholmsbörsen på dagen för aktiesplit som också i teorin är en mätbar händelse på de finansiella marknaderna under rätt förutsättningar. / The aim of this study is to test for a correlated connection between the nominal stockprice and the price-drop-to-dividend ratio on the Swedish stock market Nasdaq OMX Stockholm. A strong correlated connection would be another motive for company managers to implement a stock split to reduce the nominal stock price. Therefore the hypothesis of the study is that there is a negative correlation between the two variables, just as shown in a recent study on the American stockmarket NYSE. This study has been computed with a positivistic approach through statistical tests and analysis to discover an eventual correlated connection between the dependent variable price-drop-to-dividend ratio and the independent variable nominal price. All empirical data was collected from Thomson Reuter Datastream, compiled in Excel worksheet, analyzed with statistical software MiniTab and presented in two sets of data. The result of this study shows no correlated connection between the nominal stock price and the pricedrop-to-dividend ratio during the period of 2011 to 2015. The null hypothesis can not be rejected and the results of the analysis indicate negligible correlation and coefficient of determination through regression, regardless which sets of data observed. The result is different to a recent study which has shown a significant correlated connection between the same two variables on the American stock market NYSE. The theoretical contribution comprises foremost of answering the aim of the study where the nominal prices impact acts differently on the Swedish stock market compared to the American. Also a presenting of the mean value of price-fall-to-dividend ratio for the period examined is a theoretical contribution. The practical contribution from this study give managers for listed companies along with fund managers and operators on the financial markets an increased knowledge about current influences on the market which improves their ability to make decisions about stock split and future investments. For future studies we suggest to do more research on how the impact of nominal prices differ among markets. Tentatively future research can measure the stockholm market efficiency on the day of stocksplit which according to theory is another measureable event on the financial markets under the right circumstances.

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.

Aktiemarknaden uppfattas som effektiv då aktiepriset faller i paritet med utdelningen på ex-dagen. Tidigare studier ger belägg för att aktiepriset faller med mindre än utdelningen. Att aktiepriset faller med mindre än utdelningsbeloppet på ex-dagen utgör ex-dagseffekten och innebär en avvikande avkastning för aktier kring ex-dagen. Ex-dagseffektens existens har genom historien undersökts och det råder delade meningar kring dess uppkomst och existens. Skattehypotesen, kortsiktiga handelshypotesen, mikrostrukturhypotesen och dispositions-effekten är fyra olika förklaringar till ex-dagseffektens uppkomst som ligger till grund för denna studie. Hypoteserna analyseras i samband med tidigare utförda studier och sedan dras slutsatsen att skattehypotesen är den mest uppmärksammade förklaringen till ex-dagseffekten. / The stock market is perceived as efficient under the presumption that stock prices falls in parity with the dividends on the ex-dividend day. Earlier researches establish that stock prices rather falls with less than the amount of the dividend. The phenomen that the stock prices falls with less than the dividend constitutes the ex-div effect and implicate an abnormal return on the ex-dividend day. The existence of the ex-div effect has been examined through the history and there are shared opinions about its origin and existence. The tax hypothesis, the short-term trading hypothesis, the microstructure hypothesis and the disposition effect are four different explanations of the ex-div effect that forms the basis of this study. The hypotheses are analyzed in conjunction with earlier researches and the conclusion of the study is that the tax hypothesis is the most common explanation for the ex-div effect.