The price behavior and the optunitity of arbitrage of the ex- dividend date

• Main Authors: Huang, Shih-Ching, 黃士青
• Other Authors: Wang Tai-Chang
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/32151011712190274878

碩士 === 國立臺灣大學 === 會計學系 === 85 === Abstract The purpose of this thesis is to understand the stock price and volume behavior on ex-dividend date for the distribution of cash dividend and stock dividend. Besides, we also discuss the way it works and the existence of arbitrage opportunity. In our study, we find the abnormal return is positive and significant on ex-dividend date. The result can not be completely explained by the "Tax Clientele Effect" since imply tax rate is too high. Because of the high trading cost, the short-term trading hypothesis can*t explain the behavior in the stock market either. By examining the trading volume before the ex-dividend date, we fine no evidence to corroborate. On the ex-dividend date of stock dividend, we also find evidence of the existence of abnormal stock return. After deducting all trading costs, there still are arbitrage opportunities. This is similar to what happens while testing the short-term trading hypothesis. Furthermore, the trading volume we observe is also consistent with short-term trading hypothesis. After all, we suggest that the investors should hold stock through the ex-dividend date of stock dividend, which is rather profitable. And if the stockholder wants to sell his stock around ex-dividend day , "sale after the ex-dividend day" would be a good choice.