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The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
2012 (English)Report (Other academic)
Abstract [en]

To explain the ex-day stock price behaviour, previous research has mostly focused on dividend yield and expected return. Most of these studies concentrated on US markets and were conducted in a stable economic condition. This paper examines the most liquid common stock (blue-chip) prices behaviour on the ex-day in a period of financial crisis and covers four major capital markets from different geographic locations (the US, the UK, Japan, and China). On the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does not differ from the dividend amount on the ex-dividend day and there is no evidence of abnormal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall less than the dividend amount, which is in contrast to the London Stock Exchange, where the stock prices fall more than the dividend amount. On the Tokyo and London Stock Exchanges, we observe abnormal return and short-term trading around the ex-day.

Place, publisher, year, edition, pages
Umeå: Umeå School of Business and Economics, Umeå University , 2012. , 19 p.
Keyword [en]
ex-dividend day, abnormal return, short-term trading, blue-chip stocks, arbitrage opportunity
National Category
Business Administration
Research subject
Business Studies
Identifiers
URN: urn:nbn:se:umu:diva-53172OAI: oai:DiVA.org:umu-53172DiVA: diva2:509973
Available from: 2012-03-30 Created: 2012-03-14 Last updated: 2013-01-28Bibliographically approved

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http://ssrn.com/abstract=2021915

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CiteExportLink to record
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Citation style
  • apa
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Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
  • html
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  • asciidoc
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