The Dividend Month Premium

55 Pages Posted: 19 Sep 2011 Last revised: 28 Jun 2014

See all articles by Samuel M. Hartzmark

Samuel M. Hartzmark

University of Chicago - Booth School of Business

David H. Solomon

Boston College - Carroll School of Management

Date Written: October 1, 2012


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.

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

JEL Classification: G12, G14, G35

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: or

Samuel M. Hartzmark

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

David H. Solomon (Contact Author)

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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