Abstract

http://ssrn.com/abstract=1930620
 
 

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The Dividend Month Premium


Samuel M. Hartzmark


University of Southern California - Marshall School of Business - Finance and Business Economics Department

David H. Solomon


University of Southern California - Marshall School of Business

October 2012


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: November 20, 2012

Suggested Citation

Hartzmark, Samuel M. and Solomon, David H., The Dividend Month Premium (October 2012). Available at SSRN: http://ssrn.com/abstract=1930620 or http://dx.doi.org/10.2139/ssrn.1930620

Contact Information

Samuel M. Hartzmark
University of Southern California - Marshall School of Business - Finance and Business Economics Department ( email )
Marshall School of Business
Los Angeles, CA 90089
United States
David H. Solomon (Contact Author)
University of Southern California - Marshall School of Business ( email )
Los Angeles, CA 90089
United States
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