Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/26703

Title: Price adjustment method and ex-dividend day returns in a different institutional setting
Authors: Asimakopoulos, Panagiotis N.
Tsangarakis, Nickolaos V.
Tsiritakis, Emmanuel D.
Keywords: Ex-dividend day
Regulation change
Issue Date: 2015
Publisher: © Elsevier Inc.
Citation: ASIMAKOPOULOS, P.N., TSANGARAKIS, N.V. and TSIRITAKIS, E.D., 2015. Price adjustment method and ex-dividend day returns in a different institutional setting. International Review of Financial Analysis, 41, October 2015, pp. 1 - 12.
Abstract: This study investigates the determinants of the ex-dividend day price behavior in the Athens Stock Exchange (ASE), a unique institutional setting, and examines how a major regulatory change in the price adjustment method affects the extent of the ex-day stock price drop. We find that allowing the market to freely adjust prices, after 2001, the ex-dividend day price improves the pricing efficiency of the market in the sense that the raw price ratio tends to one and abnormal returns tend to zero. We also find that in the absence of taxes on dividends and capital gains and certain microstructure impediments discussed in the literature - i.e., bid-ask spread, market makers, price discreteness, tick size and limit order adjustment mechanism - stock illiquidity is the best candidate for explaining the magnitude of the ex-dividend day price adjustment.
Description: This article was published in the International Review of Financial Analysis [© Elsevier Inc.] and the definitive version is available at: http://dx.doi.org/10.1016/j.irfa.2015.05.005
Version: Accepted for publication
DOI: 10.1016/j.irfa.2015.05.005
URI: https://dspace.lboro.ac.uk/2134/26703
Publisher Link: http://dx.doi.org/10.1016/j.irfa.2015.05.005
ISSN: 1057-5219
Appears in Collections:Published Articles (Business)

Files associated with this item:

File Description SizeFormat
Manuscript Price Adjustment Method and Ex-Dividend Day Returns.pdfAccepted version205.12 kBAdobe PDFView/Open


SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.