The ex-dividend day stock price anomaly: evidence from the Greek stock market

Δασίλας, Απόστολος

doi:10.1007/s11408-008-0094-6

Cited by 12 publications

(35 citation statements)

References 64 publications

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“…The coefficient of the dividend yield variable is positive (0.6176) and statistically significant at the 1% level of significance (t-statistic= 13.0690), suggesting that companies that have high-dividend yield stocks (which are most likely to attract potential arbitrageurs) have their shares negotiated at higher prices on the ex-dividend day. This positive relationship is a sign of short-term trading hypothesis and is consistent with predictions of other studies (e.g., Frank and Jagannathan (1998), Kadapakkam and Martinez (2008) and Dasilas (2009)) and rejects the tax hypothesis.…”

Section: Cross-sectional Testsupporting

confidence: 91%

Price adjustment method and ex-dividend day returns in a different institutional setting

Asimakopoulos

Tsangarakis

Tsiritakis

2015

International Review of Financial Analysis

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Section: Cross-sectional Testsupporting

confidence: 91%

Price adjustment method and ex-dividend day returns in a different institutional setting

Asimakopoulos

Tsangarakis

Tsiritakis

2015

International Review of Financial Analysis

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“…This signal is in the form of information about what management has done to realize the owner's wishes. The explanation above is in line with Dasilas et al [9] that shows that dividend policy positively affects firm value. In this research, only Malaysia and Phillipina confirm the dividend policy positively impact the firms' value.…”

Section: The Descriptive Statisticsupporting

confidence: 89%

Dividend Policy, Firms’ Characteristics and the Impact on the Southeast Asian Firms’ Value

Surwanti¹,

Pamungkas²

2021

Proceedings of the 4th International Conference on Sustainable Innovation 2020-Accounting and Management (ICoSIAMS 2020)

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This research aims to analyze the factors determining the dividend policy of the Southeast Asian non-financial corporate sectors. In this research, the dividend policy of firms in Southeast Asia follows more closely the predictions of Modigliani-Miller theory, that dividend policy does not give impact to the firms' value, but the firms' characteristics include investment decision that supports to the firms' value. This research is verification research that aims to explain the causal relationship between the variables through hypothesis testing. The samples were taken by specifying multiple criteria. The criteria required in this research are: First, these companies are included in the non-financial industries. Second, the companies have been listed on the Capital Market in the selected countries in Southeast Asian Capital Market between 2000-2015. Third, from 2000 to 2015, the companies distributed the cash dividend. The study used panel data of companies listed in the capital market in selected countries in Southeast Asia. This study analyzes the dividend policy of non-financial companies in selected countries in Southeast Asia. This study showed that In Indonesia, the dividend payment was determined by the company's size, while in the Philippines, it was determined by the condition of the company's liquidity. Companies in five countries consistently showed that size was a significant factor affecting firm value. This finding implied that investors would be better off investing in large companies because the value tended to increase and, of course, would impact the welfare of shareholders. This study confirmed that the dividend payment showed a positive impact on the firm value in Malaysia and Philipina. Companies in the Philippines showed that dividends significantly affected firm value. Meanwhile, dividends were significantly influenced by company liquidity. Based on this study's results in the Philippines, dividend policy mediated the effect of liquidity on firm value.

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“…for the 95% (100%) sample, the mean AR on the ex-day is 1.18% (1.15%) for the 95% (100%) sample and their hypothetical values are rejected at 1% significance level. These findings agree with previous empirical research on the ex-day behaviour of Greek listed firms done by Milonas and Travlos (2001) for the 1994-1999 period and Dasilas (2009) for the 2000-2004 period. These results significantly contradict the hypothesized PDR (≥ 1) according to the tax hypothesis (Elton and Gruber (1970)).…”

Section: Table 5-5: Descriptive Statisticssupporting

confidence: 92%

Alternative explanations of the price behavior on the ex-dividend day of common stocks listed in U.S. and greek exchanges

Efthymiou¹,

Ευθυμίου²

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First and foremost, I would like to express my sincere gratitude to my thesis advisor, Assistant Professor Georgios N. Leledakis, whose dedication to promoting the highest quality research truly inspired me to work hard and stretch my creativity to the limit. I am also thankful to the other two members of my supervisory committee, Asssociate Professor Athanasios Episcopos and Professor Dimitrios Georgoutsos, who have shown sincere interest in my research and made valuable comments.I have also had a great opportunity to undertake my doctoral studies in a truly inspiring environment, the faculty of Accounting and Finance at

show abstract

The ex-dividend day stock price anomaly: evidence from the Greek stock market

Abstract: Ex-dividend day, Short-term trading hypothesis, Athens Stock Exchange, Tax clienteles, G12, G3,

Cited by 12 publications

References 64 publications

Price adjustment method and ex-dividend day returns in a different institutional setting

Price adjustment method and ex-dividend day returns in a different institutional setting

Dividend Policy, Firms’ Characteristics and the Impact on the Southeast Asian Firms’ Value

Alternative explanations of the price behavior on the ex-dividend day of common stocks listed in U.S. and greek exchanges

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