O comportamento da cotação da ação no dia do ex-dividendo

Abstract

This study had the aim to investigate the stock price behavior on the ex-dividend day. To analyze the existence of an anomaly in the stock price on the ex-dividend day it was used a sample from the United Kingdom and another from Portugal, during the 2006-2014 period. To explain this anomaly were tested several hypotheses such as tax-clientele, short-term trading and market microstructure – bid-ask spread, defended by Elton and Gruben (1970), Kalay (1982) and Frank and Jagannathan (1998), respectively. It was analysed the hypothesis for an investor to obtain positive gross returns through a strategy that consists in buying stocks on the cum-dividend day and selling shares on the ex-dividend day. The results suggest that the ex-dividend day’s stock price drops less than the dividend amount. Also, it was found that there are abnormal returns positively correlated to the dividend yield and transaction costs. It was confirmed the presence of abnormal volume positively correlated with the dividend yield, but negatively correlated to transaction costs. These results support the short-term trading hypothesis. Additionally, positive gross returns were verified in short-term investment strategies.

Date of Award	6 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Paulo Alves (Supervisor)