The ex-dividend day stock price anomaly: evidence from the Greek stock market

Springer Science and Business Media LLC - Tập 23 - Trang 59-91 - 2009
Apostolos Dasilas1
1Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece

Tóm tắt

This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004. We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.

Tài liệu tham khảo

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