Price adjustment method and ex-dividend day returns in a different institutional setting

Asimakopoulos, Panagiotis; Tsangarakis, Nickolaos V.; Tsiritakis, Emmanuel D.

doi:10.1016/j.irfa.2015.05.005

Cited by 4 publications

(9 citation statements)

References 53 publications

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“…These outcomes agree with the results of previous research by Asimakopoulos et al, (2015), Henry and Koski (2017), Chowdhury and Sonaer (2015), Dasilas (2009), and Kadapakkam and Martinez (2008). The coefficient of systematic risk is 0.035339, with t-statistics of 6.668342, which is positively significant.…”

Section: Resultssupporting

confidence: 91%

“…But insignificant transaction costs mean that TC may not have any effect on ex-dividend-day abnormal returns and do not play any role in preventing trading activities. This finding is consistent with Asimakopoulos (2015).…”

Section: Resultssupporting

confidence: 90%

“…The short-term trading theory is supported by these outcomes. These results follow the findings of other studies by Qadar et al, (2023), Asimakopoulos et al, (2015), Tamara et al, (2020), and Tauseef and Nishat (2015). Source: Author's calculation Table 2 presents different sub-periods inside the 41-day event window.…”

Section: Resultssupporting

confidence: 86%

“…and Henry et al, (2017), the ratio of the dividend (annual) to cum dividend day stock price is 188 used as the dividend yield. Following Chowdhury & Sonaer (2015), Naranjo et al, (2000), Asimakopoulos et al, (2015), Yahyaee et al, (2007), and Dasilas (2009), the inverse of share price (1/Pc) is used to compute transaction costs. Abnormal returns (AR) are calculated by using the market model following Al-Yahyaee (2007), Dasilas (2009), Chowdhury (2015), Tamara et al, (2020), andGraham et al, (2003).…”

Section: Methodsmentioning

confidence: 99%

“…The idea that a stock price should decline by the amount of the dividend at the ex-dividend date was first questioned by Campbell and Beranek in 1955. According to them, the prices of stocks should decrease by an amount equal to the dividend, but in the real scenario this does not happen. In fact, stock prices tend to fall less than the amount of the dividend (Dupuis, 2019;Asimakopoulos et al, 2015;Tamara et al, 2020). Such price discrepancies may attract many investors and arbitrageurs who exploit such price differences and make quick profits.…”

Section: Introductionmentioning

confidence: 99%

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Dividend capturing on ex- dividend day: A scenario of Pakistan.

Qadar

2023

International Journal of Social Science Entrepreneurship

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This paper has examined dividend-capturing activities and short-term trading of stocks listed on the Pakistan Stock Exchange. For this, a time span of twenty years (2001–2020) for PSX-listed stocks has been selected. Standard event study methodology and regression have been used to analyze the presence of arbitrageurs to capture dividend benefits around ex-dividend day. The abnormal returns of stocks are estimated with the help of a market model. The impact of various exogenous factors is checked through regression. The result of this study confirmed the existence of short-term trading and found evident empirical support for explaining dividend-capturing activities. Positive abnormal returns are recorded before event day, and negative abnormal returns are recorded thereafter. Finally, results from regression revealed that dividend yield and risk are significant and verifiable explanations of stock prices fluctuation on ex-dividend day.

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