Can Dividend Schedules Predict Abnormal Returns? International Evidence

32 Pages Posted: 29 Jan 2015

See all articles by Andrew Ainsworth

Andrew Ainsworth

University of Wollongong - School of Accounting, Economics & Finance

Maximilian Nicholson

BT Financial Group

Date Written: December 19, 2014

Abstract

This study presents international evidence on the dividend month premium. In the US, Hartzmark and Solomon (2013) find abnormally high returns during the months when stocks are predicted to pay a dividend. We test for this predicted dividend month premium in eleven developed markets, including the US. We find this anomalous result also exists in France, Germany, and Singapore with mixed results in other countries. Cross-country analysis reveals that tax differences do impact the performance of the anomaly, though the dividend month forecasting rule also plays a role in explaining abnormal returns.

Keywords: dividends, market efficiency, tax

JEL Classification: G12, G14, G15

Suggested Citation

Ainsworth, Andrew and Nicholson, Maximilian, Can Dividend Schedules Predict Abnormal Returns? International Evidence (December 19, 2014). 2015 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=2556560 or http://dx.doi.org/10.2139/ssrn.2556560

Andrew Ainsworth (Contact Author)

University of Wollongong - School of Accounting, Economics & Finance ( email )

Northfields Avenue
Wollongong, NSW 2522
Australia

Maximilian Nicholson

BT Financial Group ( email )

Sydney, NSW 2000
Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
135
Abstract Views
930
rank
290,346
PlumX Metrics