Determinants of the ex-dividend day anomaly : the case of the London Stock Exchange

• Author(s): Santos, Eduardo Miguel Marcelino de Bragança
• Date: 2017
• Persistent ID: http://hdl.handle.net/10400.14/23553
• Origin: Veritati - Repositório Institucional da Universidade Católica Portuguesa
• Subject(s): Dividend determinants; Ex-dividend day; Anomaly; Dividend policy; Domínio/Área Científica::Ciências Sociais::Economia e Gestão
• Document Type: Master thesis
• Language: English
• Advisor(s): Alves, Paulo Alexandre Pimenta
• Contributor(s): Veritati - Repositório Institucional da Universidade Católica Portuguesa

Description

This paper aims to investigate which are the determinants of the ex-dividend day anomaly, should it exist, and how they affect its outcome. To study the characteristics of these determinants, a sample from the UK market was chosen for the period of 2007-2016. To explain the impact produced by these explanatory factors on ex-dividend day behaviour, a regression model was tested based on a similar methodology used by Barclay (1987), Boyd and Jagannathan (1994), Bell and Jenkinson (2002), amongst others. The regression model suggests that, market capitalization, total assets growth rate and closely held shares are determinants of the ex-dividend day anomaly, having a positive relation with price-drop-to-dividend ratio. On the other hand price volatility and liquidity have a negative relationship with PDDR, being also significant explanatory factors of the ex-dividend day anomaly.