Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Stock Price Development on the Ex-Dividend Date |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 24 |
| Date | 2015 |
| Zusammenfassung | In a world with rationally behaving market players and with neither taxes nor transactions costs, stock prices should drop by the amount of the dividend adjusted for market movements on the ex-dividend date. Often prices develop positively, sideways or negatively on the ex-dividend date. This paper gives different explanatory approaches for this phenomenon and discusses them. Different important previous studies are reviewed and commented. Among others, the impact of taxes, transactions costs, agency costs, and the clientele effect are discussed. The stock price development on the ex-dividend date of stocks at the New York Stock Exchange (NYSE) distributing dividends from the 1st of October 2013 to the 30th of September 2014 is analysed. Furthermore, apart from the analysis of the whole data set, a distinction is made between securities held by Smart Money investors, the different News- and Twitter Sentiments, and the Put-Call Ratio. The results are in line with the no-arbitrage condition of stock prices. Although the average excess return over all stocks during all periods is positive (0,07%), this number can be seen as a comprehensible figure for transaction costs. On average stocks held by Smart Money investors perform better and as well the News Sentiment seems to be a good indicator for better perfuming stocks on the ex-dividend day. All in all, there is no pattern identifiable and assuming a random walk, it is not predictable which stocks will generate an excess return on the next ex-dividend day. |
| Export |
BibTeX
|