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The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence

Isaksson, A., & Islam, M. M. (2013). The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence. Asian Journal of Finance & Accounting, 5(1), 73–88

16 Pages Posted: 15 Mar 2012 Last revised: 24 Mar 2017

Anders Isaksson

Chalmers University of Technology

Md Mohibul Islam

University of Liberal Arts

Date Written: 2012

Abstract

To explain the ex-day stock price behaviour, previous research has mostly focused on dividend yield and expected return. Most of these studies concentrated on US markets and were conducted in a stable economic condition. This paper examines the most liquid common stock (blue-chip) prices behaviour on the ex-day in a period of financial crisis and covers four major capital markets from different geographic locations (the US, the UK, Japan, and China). On the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does not differ from the dividend amount on the ex-dividend day and there is no evidence of abnormal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall less than the dividend amount, which is in contrast to the London Stock Exchange, where the stock prices fall more than the dividend amount. On the Tokyo and London Stock Exchanges, we observe abnormal return and short-term trading around the ex-day.
http://dx.doi.org/10.5296/ajfa.v5i1.1948

Keywords: Ex-dividend day, abnormal return, short-term trading, blue-chip stocks, arbitrage opportunity

JEL Classification: G14, G15, G35

Suggested Citation

Isaksson, Anders and Islam, Md Mohibul, The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence (2012). Isaksson, A., & Islam, M. M. (2013). The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks: International Evidence. Asian Journal of Finance & Accounting, 5(1), 73–88. Available at SSRN: https://ssrn.com/abstract=2021915 or http://dx.doi.org/10.2139/ssrn.2021915

Anders Isaksson (Contact Author)

Chalmers University of Technology ( email )

SE-412 96 Goteborg
Sweden

Md Mohibul Islam

University of Liberal Arts ( email )

House 56, Rd 4/A, Sat Masjid Road
Dhanmondi
Dhaka, 1209
Bangladesh

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