| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 723.09 KB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
Este estudo teve como objetivo a investigação do comportamento da cotação da ação no dia do ex-dividendo. Recorrendo a uma amostra do Reino Unido e uma de Portugal, no período 2006-2014, analisou-se a existência de uma anomalia na cotação da ação no dia do ex-dividendo. Para a explicação da ocorrência da anomalia, testaram-se as hipóteses tax-clientele, short-term trading e market microstructure – bid-ask spread, defendidas por Elton e Gruben (1970), Kalay (1982) e Frank e Jagannathan (1998), respetivamente. Analisou-se a hipótese de um investidor obter retornos brutos positivos através de uma estratégia de compra de ações no cum-dividend day e venda de ações no dia do ex-dividendo. Os resultados sugerem que a queda da cotação no dia do ex-dividendo é inferior ao montante do dividendo. Constatou-se, também, a existência de retornos extraordinários positivamente relacionados com a yield do dividendo e com os custos de transação. Confirmou-se a presença de volume extraordinário positivamente relacionado com a yield do dividendo e negativamente relacionado com os custos de transação. Estes resultados suportam a hipótese short-term trading. Adicionalmente, verificaram-se retornos brutos positivos na estratégia de compra e venda de curto prazo.
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.
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.
Description
Keywords
Dia do ex-dividendo Negociação de curto-prazo Anomalia Retorno extraordinário Volume extraordinário Ex-dividend day Short-term trading Anomaly Abnormal return Abnormal volume