Abstract
This paper has examined the ex-dividend day effect on the Danish stock market in the period from 2008-2018. The paper aims to identify the level of price change on the day the stock goes ex-dividend as well as examine the cause of the ex-dividend day effect in a Danish setting. The paper is focused around the major and existing theories explaining the effect, to test how these apply to the Danish market. However, other aspects are included in the analysis based on prior findings in Danish and other smaller studies and the analysis also holds a new aspect of stock momentum and its impact on the price change on the ex-day. In the paper it is shown that the ex-dividend day effect is relevant on the Danish market, where the stock price on average only compensate for 78,22% of the dividend per share. Only limited evidence is found for two of the major theories to apply in a Danish setting, these being the tax-induced clientele effect and the theory of short-term traders impact on the ex-dividend day effect. In this study other factors are shown to impact the effect, among these are stock liquidity and abnormal return on the cum-day. Further a positive development in the price change is identified, which implies that the ex-dividend day effect is decreasing over time on the Danish market. Lastly, a relation between a nine-month stock momentum and the price change is identified, which adds a new potential explanation to ex-dividend day effect
| Educations | MSc in Finance and Accounting, (Graduate Programme) Final Thesis |
|---|---|
| Language | Danish |
| Publication date | 2020 |
| Number of pages | 92 |