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dc.contributor.author
Gkika, Dimitra
en
dc.date.accessioned
2015-05-28T09:21:11Z
dc.date.available
2015-09-27T05:58:36Z
dc.date.issued
2015-05-28
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/96
dc.rights
Default License
dc.title
The ex-dividend day stock price anomaly
en
heal.type
masterThesis
heal.secondaryTitle
Evidence from the Greek stock market
en
heal.keyword
Dissertations, Academic
en
heal.keyword
Stock exchanges
en
heal.keyword
Investment analysis--Case studies
en
heal.keyword
Stocks--prices--Greece
en
heal.keywordURI.LCSH
Ex-dividend day
en
heal.keywordURI.LCSH
dividend
en
heal.keywordURI.LCSH
short term trading hypothesis
en
heal.keywordURI.LCSH
Athens Stock Exchange
en
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
2011-09
heal.bibliographicCitation
Gkika Dimitra, 2012, The ex-dividend day stock price anomaly : evidence from the Greek stock market, Master's Dissertation, International Hellenic University
en
heal.abstract
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.
en
heal.tableOfContents
Chapter One....................................................................................................................1 1. Introduction.................................................................................................................1 Chapter Two....................................................................................................................3 2. Literature Review.......................................................................................................3 2.1 Long-term trading hypothesis.................................................................................3 2.2 Short-term trading hypothesis.................................................................................6 2.3 Microstructure effects.............................................................................................9 2.4 Studies using Greek data.......................................................................................10 Chapter Three...............................................................................................................11 3. The Greek institutional environment......................................................................11 3.1 The Athens Stock Exchange.................................................................................11 3.2 Greek tax Law.......................................................................................................12 Chapter Four.................................................................................................................14 4. Methodology and Data..............................................................................................14 4.1 Ex-dividend stock price behaviour.......................................................................14 4.2 Regression analysis...............................................................................................19 4.3 Data.......................................................................................................................20 Chapter Five..................................................................................................................21 5. Empirical Results......................................................................................................21 5.1 Ex-dividend drop-off ratios...................................................................................21 5.2 Ex-dividend stock price behaviour.......................................................................26 5.3 Regression Analysis Results.................................................................................31 Chapter Six....................................................................................................................33 6. Conclusion..................................................................................................................33 6.1 Concluding Remarks.............................................................................................33 6.2 Suggestions for further research............................................................................34 References......................................................................................................................35
en
heal.advisorName
Artikis
en
heal.committeeMemberName
Artikis
en
heal.committeeMemberName
Livanis
en
heal.committeeMemberName
Leventis
en
heal.academicPublisher
School of Economics & Business Administration MSc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
40
heal.fullTextAvailability
true


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