This dissertation examines the ex-dividend day stock price and trading volume behavior in Romania for the years 2000 to 2012. We follow the standard event study methodology regarding both the price and trading volume behavior to derive an explanation for the anomaly. We also use drop price and raw price ratios and multiple regression analysis. We find that the stock price does not drop by the dividend amount but it increases on the ex-dividend day implying even bigger profit opportunities to investors. By examining the abnormal returns and abnormal volume we find evidence of the short-term trading hypothesis which attributes investors interest to capture the dividends. The results from the regression analysis show that transaction costs relate to the abnormal returns around the ex-dividend day and therefore the short-term trading hypothesis offers an explanation for the stock price anomaly around the ex-dividend day in Romania.
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