Ex-dividend day stock behavior

• Main Authors: Hsiu-yen Chen, 陳秀燕
• Other Authors: An-lin Chen
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/83544546605351999894

碩士 === 國立中山大學 === 企業管理學系研究所 === 93 === This study is to examine the phenomenon of stock prices drop around the ex-dividend day in Taiwan. Investors purchasing the security before the ex-dividend date will receive the current dividend, whereas investors purchasing the security on or after this date will not receive the dividend. Consequently, the stock price should fall on the ex-dividend date. In a perfect market, the stock price is expected to fall by the amount of the dividend. I show that share prices do not fall by the full amount of dividend, on average. I focus on falling ratio of stock prices, along with stock return. I also study the factors which may influence stock price behavior and find that the drop of stock price is smaller than the amount of the dividend. That is, the stock price tends to rise on the ex-dividend day. The price drop ratio on the ex-dividend day is higher for firms with greater financial leverage, higher dividend pay out ratio and higher dividend yield. Finally, I also observe that stock return and trading volume increase around the ex-dividend day.