sh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Ex - dagseffekt: En studie kring avkastning på ex - dagen för utdelning
Södertörn University College, School of Business Studies.
Södertörn University College, School of Business Studies.
2010 (Swedish)Independent thesis Basic level (degree of Bachelor), 15 credits / 22,5 HE creditsStudent thesisAlternative title
The Ex – day effect : A study about stock returns on the ex – day of dividend with the efficient market hypothesis in consideration (English)
Abstract [en]

Question:

"Does the market possess perfect information as the efficient market hypothesis says?"

"Is there any significant relationship between the abnormal stock return on the ex – day and the dividend?" Purpose: The purpose of this study is to enlighten and find understanding about stock return versus dividend on the ex – day and try to figure out if abnormal returns occur on the portfolio during dividends.

Methodology:

The study was based in a quantitative nature and was derived with an event study and a hypothesis testing. The authors investigated the thirty most traded shares on the Stockholm stock exchange during a period of five years (2005 – 2009). They were analyzed during a total of nine days; the estimation window was set to sixty days. Theory: Leading theories in this field of study have been picked to enlighten and analysis the questions of the study. Theories used: Efficient market hypothesis, agent theory and the events of dividends.

Empiricism / Results:

The authors made an event study and hypothesis tested the information. From the data they could see a small abnormal return on every day except the day after the ex – day. However, they could not prove a significant relationship between the stocks return and the dividend.

Conclusion / Discussion:

The efficient market hypothesis was strengthened in the conclusion where all new information is reflected in the stock price because the null hypothesis was accepted in all nine cases. The authors also concluded that although they have a differentiated result compared to other studies, it could be a result of the recession. Another conclusion was that the relationship between shareholders and the management has been improved because of a better spread of information.  

Place, publisher, year, edition, pages
2010. , 38 p.
Keyword [en]
Ex – day, event study, abnormal return, efficient market hypothesis, agent theory.
Keyword [sv]
Ex – dag, eventstudie, abnormal avkastning, effektiva marknadshypotesen, agentteori.
Identifiers
URN: urn:nbn:se:sh:diva-3743OAI: oai:DiVA.org:sh-3743DiVA: diva2:337551
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2010-08-09 Created: 2010-08-06 Last updated: 2010-08-16Bibliographically approved

Open Access in DiVA

fulltext(943 kB)451 downloads
File information
File name FULLTEXT01.pdfFile size 943 kBChecksum SHA-512
2414c4280774b00b763788efc4e3994ad704ab0192f0dfdc06a96831ce40fa84bb5a86215bfc09f214400869c13542906126cce3ecf925ede1f3f5ffccadceee
Type fulltextMimetype application/pdf

By organisation
School of Business Studies

Search outside of DiVA

GoogleGoogle Scholar
Total: 451 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 421 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf