The main objective of this dissertation is to analyze the ex-dividend day stock price behaviour on the Athens stock exchange for the period 2005-2011. The Greek capital market is considered an ideal case study because of the imposition of taxes on dividend income in last years and the consequent implications on ex-dividend days. Both the standard event-study methodology and cross-sectional regression analysis are used in order to examine the ex-dividend day phenomenon. The findings show that stock prices drop less than the dividend amount. The examination of abnormal returns around the ex-dividend day shows evidence of buying (selling) pressure created by short-term traders. Moreover, cross-sectional regression analysis discloses that both dividend yield and transaction costs appear to affect ex-dividend day returns significantly.
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