Abstract

http://ssrn.com/abstract=1930620
 
 

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The Dividend Month Premium


Samuel M. Hartzmark


University of Chicago - Booth School of Business

David H. Solomon


University of Southern California - Marshall School of Business

October 1, 2012

Journal of Financial Economics (JFE), Vol. 109, No. 3, 2013

Abstract:     
We document an asset-pricing anomaly whereby companies have positive abnormal returns in months when a dividend is predicted. Abnormal returns in predicted dividend months are high relative to other companies, and relative to dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value premium, but less volatile. The premium is consistent with price pressure from dividend-seeking investors. Measures of liquidity and demand for dividends are associated with larger price increases in the period before the ex-day (when there is no news about the dividend), and larger reversals afterwards.

Number of Pages in PDF File: 55

Keywords: Dividends, Mispricing, Market Efficiency, Price Pressure, Return Predictability

JEL Classification: G12, G14, G35

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Date posted: September 19, 2011 ; Last revised: June 28, 2014

Suggested Citation

Hartzmark, Samuel M. and Solomon, David H., The Dividend Month Premium (October 1, 2012). Journal of Financial Economics (JFE), Vol. 109, No. 3, 2013. Available at SSRN: http://ssrn.com/abstract=1930620 or http://dx.doi.org/10.2139/ssrn.1930620

Contact Information

Samuel M. Hartzmark
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

Chicago Booth School of Business Logo

David H. Solomon (Contact Author)
University of Southern California - Marshall School of Business ( email )
Los Angeles, CA 90089
United States
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