När ett företag ger utdelning till sina aktieägare bör priset på en aktie sjunka med ett värde motsvarande utdelningsbeloppet, givet att marknaden är effektiv. Tidigare studier har visat att så inte är fallet i realiteten, en effekt som kallas ex-dagseffekten. Denna uppsats undersöker ex-dagseffektens förekomst i Sverige över tid. En eventstudie har genomförts för att se om det finns en avvikande avkastning på ex-dagen. Resultatet visar att det finns en avvikande avkastning på ex-dagen under åren 1961-2017. Utifrån denna undersökning kan vi med statistisk säkerhet säga att det har funnits en ex-dagseffekt. Tidigare studier argumenterar att det kan bero på skillnader i beskattning av kapitalvinst och utdelning alternativt en ökad handelsvolym. Däremot gav inte studien några signifikanta resultat om ex-dagseffekten beror på skatteeffekter eller aktieomsättning.

I denna uppsats har vi undersökt möjligheten till övervinster i samband med utdelningar för svenska företag på OMX Stockholm Large Cap och Small Cap mellan åren 2006 och 2010. Genom en statistisk jämförelse mellan aktiekursens förändring i samband med utdelningen undersöker vi marknadens effektivitet. Resultaten tyder på att Large Cap är en effektiv marknad i samband med utdelningar, medan Small Cap visar tecken på ineffektivitet. Resultaten stödjer delvis tidigare studier, som säger att marknaden är effektiv. Vår studie skiljer oss från tidigare forskning eftersom vi undersöker Large Cap och Small Cap som separata marknader istället för hela börsen. Vi undersöker dessutom huruvida utdelningens storlek haft betydelse för marknads­effektiviteten. Resultaten pekar mot att marknaden är mer effektiv vid högre utdelning, men störningar utanför modellen kan ha skapat dessa resultat.

<p>Question:</p><p>"Does the market possess perfect information as the efficient market hypothesis says?"</p><p>"Is there any significant relationship between the abnormal stock return on the ex – day and the dividend?" Purpose: The purpose of this study is to enlighten and find understanding about stock return versus dividend on the ex – day and try to figure out if abnormal returns occur on the portfolio during dividends.</p><p>Methodology:</p><p>The study was based in a quantitative nature and was derived with an event study and a hypothesis testing. The authors investigated the thirty most traded shares on the Stockholm stock exchange during a period of five years (2005 – 2009). They were analyzed during a total of nine days; the estimation window was set to sixty days. Theory: Leading theories in this field of study have been picked to enlighten and analysis the questions of the study. Theories used: Efficient market hypothesis, agent theory and the events of dividends.</p><p>Empiricism / Results:</p><p>The authors made an event study and hypothesis tested the information. From the data they could see a small abnormal return on every day except the day after the ex – day. However, they could not prove a significant relationship between the stocks return and the dividend.</p><p>Conclusion / Discussion:</p><p>The efficient market hypothesis was strengthened in the conclusion where all new information is reflected in the stock price because the null hypothesis was accepted in all nine cases. The authors also concluded that although they have a differentiated result compared to other studies, it could be a result of the recession. Another conclusion was that the relationship between shareholders and the management has been improved because of a better spread of information.  </p>

Question: "Does the market possess perfect information as the efficient market hypothesis says?" "Is there any significant relationship between the abnormal stock return on the ex – day and the dividend?" Purpose: The purpose of this study is to enlighten and find understanding about stock return versus dividend on the ex – day and try to figure out if abnormal returns occur on the portfolio during dividends. Methodology: The study was based in a quantitative nature and was derived with an event study and a hypothesis testing. The authors investigated the thirty most traded shares on the Stockholm stock exchange during a period of five years (2005 – 2009). They were analyzed during a total of nine days; the estimation window was set to sixty days. Theory: Leading theories in this field of study have been picked to enlighten and analysis the questions of the study. Theories used: Efficient market hypothesis, agent theory and the events of dividends. Empiricism / Results: The authors made an event study and hypothesis tested the information. From the data they could see a small abnormal return on every day except the day after the ex – day. However, they could not prove a significant relationship between the stocks return and the dividend. Conclusion / Discussion: The efficient market hypothesis was strengthened in the conclusion where all new information is reflected in the stock price because the null hypothesis was accepted in all nine cases. The authors also concluded that although they have a differentiated result compared to other studies, it could be a result of the recession. Another conclusion was that the relationship between shareholders and the management has been improved because of a better spread of information.

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.