Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/330
Title: | The ex-dividend day stock price anomaly: evidence from the Greek stock market |
Authors: | Dasilas, Apostolos |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Finance |
Issue Date: | 2009 |
Source: | Financial Markets and Portfolio Management |
Volume: | 23 |
Issue: | 1 |
First Page: | 59 |
Last Page: | 91 |
Abstract: | 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. |
URI: | https://doi.org/10.1007/s11408-008-0094-6 https://ruomo.lib.uom.gr/handle/7000/330 |
ISSN: | 1934-4554 2373-8529 |
Other Identifiers: | 10.1007/s11408-008-0094-6 |
Appears in Collections: | Department of Applied Informatics |
Files in This Item:
File | Description | Size | Format | |
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THE EX-DIVIDEND DAY STOCK PRICE ANOMALY. EVIDENCE FROM THE GREEK STOCK MARKET. Final.pdf | 520,35 kB | Adobe PDF | View/Open |
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