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Investigating Short-Term Trading Returns Around The Ex Dividend Date: A Test for Market Efficiency

Edin, Simon LU and Korver, Gylian LU (2017) NEKN02 20171
Department of Economics
Abstract
This study tests the efficiency of the Swedish and the Dutch stock markets by analyzing the performance of two dividend strategies – dividend capturing and dividend timing. To test these strategies and what factors influence them, the researchers collect a sample of 95 different firms, about half from each country and a total of over 8 000 dividend observation. A cross sectional regression is run for serval short term holding periods and repeated for the years 2012-2016.

The results show that market efficiency does not hold on the country level as the return between the strategies differs, but it does seem to be maintained on an international scale. The thesis shows that the dividend yield and the home country’s tax system have the... (More)
This study tests the efficiency of the Swedish and the Dutch stock markets by analyzing the performance of two dividend strategies – dividend capturing and dividend timing. To test these strategies and what factors influence them, the researchers collect a sample of 95 different firms, about half from each country and a total of over 8 000 dividend observation. A cross sectional regression is run for serval short term holding periods and repeated for the years 2012-2016.

The results show that market efficiency does not hold on the country level as the return between the strategies differs, but it does seem to be maintained on an international scale. The thesis shows that the dividend yield and the home country’s tax system have the greatest impact on a difference between the two strategies. This result is consistent over time. Evidence is also found for increased trading around the ex-dividend date.

This study contributes to the literature, by testing market efficiency in regards to dividends for the Swedish and the Dutch stock markets. It provides further guidance for investors on what to look for when trying to decide between a dividend capturing and a dividend timing strategy as well as it tries to explain what impacts dividend returns. (Less)
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author
Edin, Simon LU and Korver, Gylian LU
supervisor
organization
course
NEKN02 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
Market Efficiency, Dividend Timing, Dividend Capturing, Abnormal Returns, Short-Term Trading
language
English
id
8909792
date added to LUP
2017-06-13 15:18:45
date last changed
2017-06-13 15:18:45
@misc{8909792,
  abstract     = {This study tests the efficiency of the Swedish and the Dutch stock markets by analyzing the performance of two dividend strategies – dividend capturing and dividend timing. To test these strategies and what factors influence them, the researchers collect a sample of 95 different firms, about half from each country and a total of over 8 000 dividend observation. A cross sectional regression is run for serval short term holding periods and repeated for the years 2012-2016. 

The results show that market efficiency does not hold on the country level as the return between the strategies differs, but it does seem to be maintained on an international scale. The thesis shows that the dividend yield and the home country’s tax system have the greatest impact on a difference between the two strategies. This result is consistent over time. Evidence is also found for increased trading around the ex-dividend date. 

This study contributes to the literature, by testing market efficiency in regards to dividends for the Swedish and the Dutch stock markets. It provides further guidance for investors on what to look for when trying to decide between a dividend capturing and a dividend timing strategy as well as it tries to explain what impacts dividend returns.},
  author       = {Edin, Simon and Korver, Gylian},
  keyword      = {Market Efficiency,Dividend Timing,Dividend Capturing,Abnormal Returns,Short-Term Trading},
  language     = {eng},
  note         = {Student Paper},
  title        = {Investigating Short-Term Trading Returns Around The Ex Dividend Date: A Test for Market Efficiency},
  year         = {2017},
}