The Ex-Day Phenomenon and Share Price Performance on Emerging Markets

Abstract

We study share price performance at the ex-dividend date and its relation to trading volume and a set of factors corresponding to different explanatory theories. Among the investigated factors that may have impact on the ex-dividend date share price are dividend yield, capital gains tax rate and dividends tax rate, transaction costs, market microstructure characteristics, market stock risk, and the disposition effect. The research was conducted using the panel data of companies from the BRIC zone for the period of 2005-2015. According to the obtained results, dividend capturing and disposition effect theories are likely to have explanatory power for the ex-day phenomenon for our sample. Tax theory and dividend clientele theory have not found empirical support.