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dc.contributor.author
Panetsidou, Styliani
en
dc.date.accessioned
2015-06-10T11:52:06Z
dc.date.available
2015-09-27T05:57:01Z
dc.date.issued
2015-06-10
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/262
dc.rights
Default License
dc.title
Ex-dividend day behavior in Romania
en
heal.type
masterThesis
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2013-11
heal.bibliographicCitation
Panetsidou Styliani, 2013, Ex-dividend day behavior in Romania, Master's Dissertation, International Hellenic University
en
heal.abstract
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.
en
heal.tableOfContents
1. Introduction .............................................................................................................................................. 4 2. Literature Review ................................................................................................................................... 6 3. The Romanian Institutional environment ..................................................................................... 14 3.1 Romanian Stock Exchange .............................................................................................................................. 14 3.2 The Romanian legal environment, taxation and dividends ............................................................... 15 4. Research Design ....................................................................................................................................... 17 4.1 Stock price Behavior on ex-dividend days ................................................................................................ 17 4.2 Ex-dividend trading volume behavior ........................................................................................................ 20 4.3 Regression Analysis ........................................................................................................................................... 21 5. Data ............................................................................................................................................................... 22 6. Empirical Findings .................................................................................................................................. 23 6.1 Ex-dividend raw and drop price ratios ...................................................................................................... 23 6.2 Ex-dividend stock price behavior ................................................................................................................. 25 6.3 Ex-dividend trading volume behavior ........................................................................................................ 27 6.4 Multivariate regression analysis results ................................................................................................... 29 7. Conclusion and suggestions ................................................................................................................ 31 7.1 Conclusion .............................................................................................................................................................. 31 7.2 Research biases and suggestions for further research ........................................................................ 32 Bibliography ................................................................................................................................................... 33
en
heal.advisorName
Dasilas, Apostolos
en
heal.committeeMemberName
Leventis, Stergios
en
heal.committeeMemberName
Dasilas, Apostolos
en
heal.committeeMemberName
Artikis, Panagiotis
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
36
heal.fullTextAvailability
true


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