Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock Prices

32 Pages Posted: 14 Apr 2005

See all articles by Shantanu Dutta

Shantanu Dutta

University of Ottawa

Vijay M. Jog

Carleton University - Eric Sprott School of Business

Samir Saadi

School of Management, University of Ottawa

Date Written: December 2004

Abstract

We examine the ex-dividend day price and volume behaviour in the Canadian stock market and show evidence on the co-existence of both the tax and short-term trading effects. By examining the abnormal returns as well as abnormal volumes around ex-day we find strong evidence of short-term trading which is consistent the presence of dividend-capturing activities around the ex-dividend day. By examining the abnormal returns before (after) the ex-dividend day, we also find evidence of the buying (selling) pressure created by short-term traders.

Keywords: ex-dividend, dividend payout

JEL Classification: G10, G35

Suggested Citation

Dutta, Shantanu and Jog, Vijay M. and Saadi, Samir, Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock Prices (December 2004). Available at SSRN: https://ssrn.com/abstract=692942 or http://dx.doi.org/10.2139/ssrn.692942

Shantanu Dutta

University of Ottawa ( email )

55 Laurier Avenue, E.
Ottawa, Ontario K1N 6N5
Canada

Vijay M. Jog (Contact Author)

Carleton University - Eric Sprott School of Business ( email )

1125 Colonel By Drive
Ottawa, Ontario K1S SB6
Canada
613-520-2600 (Phone)
613-520-4427 (Fax)

Samir Saadi

School of Management, University of Ottawa ( email )

136 Jean-Jacques Lussier
Ottawa, Ontario K1N 6N5
Canada

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