The Ex-Dividend Day Anomaly in the Spanish Stock Market

13 Pages Posted: 10 Mar 2012 Last revised: 31 Oct 2012

See all articles by Josep Garcia-Blandon

Josep Garcia-Blandon

IQS School of Management (Universitat Ramon Llull)

Monica Martinez-Blasco

IQS School of Management-Universitat Ramon Llull

Date Written: March 8, 2012

Abstract

The purpose of this paper was to investigate the behavior of stock returns and trading volumes around ex-dividend dates in the Spanish stock market, using event study methodology. Clear consensus is evident in the literature about the fact that stock prices fall by less than the dividend paid on ex-dividend days. This behavior indicates a preference for capital gains over dividends, generally explained in terms of tax advantages. Contrary to the existing consensus, the results of this study did not reflect significant abnormal returns on ex-dividend days. The finding is consistent with the fact that nowadays Spain taxes dividends and capital gains at the same rate. In addition, abnormally high trading volumes are apparent around ex-dividend dates, especially for high-yield stocks.

Keywords: Ex-dividend days, abnormal returns, abnormal volumes, event studies

JEL Classification: G10, G35

Suggested Citation

Garcia-Blandon, Josep and Martinez-Blasco, Monica, The Ex-Dividend Day Anomaly in the Spanish Stock Market (March 8, 2012). Journal of CENTRUM Cathedra: The Business and Economics Research Journal, Vol. 5, Issue 1, pp. 102-114, 2012, Available at SSRN: https://ssrn.com/abstract=2018412

Josep Garcia-Blandon (Contact Author)

IQS School of Management (Universitat Ramon Llull) ( email )

Via Augusta 390
Barcelona, Barcelona 08017
Spain

Monica Martinez-Blasco

IQS School of Management-Universitat Ramon Llull ( email )

Via Augusta 390
Barcelona, Barcelona 08017
Spain

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