Analyzing Factors Influencing Stock Prices on Ex-Dividend Day: Insights into Dividend Yield, Investor Behavior, and Market Sentiment
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Published:
Mar 30, 2024
Keywords:
Ex-dividend day, Stock prices, Dividend yield, Investor behavior, Market sentiment
Section
Articles
Statistics Article
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Abstract
This research investigates the factors influencing stock prices on ex-dividend day, offering insights into market dynamics and investor behavior. Through empirical analysis and comparison with theoretical expectations, the study examines the impact of dividend characteristics, trading volume, market sentiment, tax considerations, and company-specific factors on stock price movements surrounding the ex-dividend date. The findings highlight the significance of dividend size and yield, trading volume, and market sentiment in driving stock price adjustments on ex-dividend day. Additionally, the study explores the role of tax considerations and company-specific factors in shaping stock price dynamics, shedding light on the multifaceted nature of ex-dividend day trading. The implications of research findings for investors, financial markets, and future research are discussed, emphasizing the importance of informed decision-making, market efficiency, and continued exploration of market behavior on ex-dividend day.
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How to Cite
Rio Dhika, & Rina Dewi. (2024). Analyzing Factors Influencing Stock Prices on Ex-Dividend Day: Insights into Dividend Yield, Investor Behavior, and Market Sentiment. Indonesia Accounting Research Journal, 11(3), 150–162. Retrieved from https://journals.iarn.or.id/index.php/Accounting/article/view/253
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Al-Malkawi, H.-A. N., Rafferty, M., & Pillai, R. (2010). Dividend policy: A review of theories and empirical evidence. International Bulletin of Business Administration, 9(1), 171–200.
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2013). Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245–275.
Chang, E. C., Lin, T.-C., Luo, Y., & Ren, J. (2019). Ex-day returns of stock distributions: An anchoring explanation. Management Science, 65(3), 1076–1095.
Charest, G. (1978). Dividend information, stock returns and market efficiency-II. Journal of Financial Economics, 6(2–3), 297–330.
Clayman, M. R., Fridson, M. S., & Troughton, G. H. (2012). Corporate finance: A practical approach (Vol. 42). John Wiley & Sons.
Daniel, K., Hirshleifer, D., & Teoh, S. H. (2002). Investor psychology in capital markets: Evidence and policy implications. Journal of Monetary Economics, 49(1), 139–209.
Frino, A., Gallagher, D., Neubert, A., & Oetomo, T. (2004). Index design and implications for index tracking: Evidence from S&P 500 Index Funds. Journal of Portfolio Management, 30(2), 89–95.
Hasan, F. (2019). An investigation of the dividend-signalling theory from the perspective of behavioural finance: evidence from the UK.
Horton, A. A., Walton, A., Spurgeon, D. J., Lahive, E., & Svendsen, C. (2017). Microplastics in freshwater and terrestrial environments: Evaluating the current understanding to identify the knowledge gaps and future research priorities. Science of the Total Environment, 586, 127–141.
Hu, S., & Tseng, Y. (2006). Who Wants to Trade Around Ex‐Dividend Days? Financial Management, 35(4), 95–119.
Islam, M. A., & Chowdhury, B. (2011). The behavior of stock price on ex-dividend day: A study on New York Stock Exchange and London Stock Exchange.
Kalay, A. (1982). The ex‐dividend day behavior of stock prices: a re‐examination of the clientele effect. The Journal of Finance, 37(4), 1059–1070.
Kato, K., & Loewenstein, U. (1995). The ex-dividend-day behavior of stock prices: The case of Japan. The Review of Financial Studies, 8(3), 817–847.
Milburn, J. A. (2008). The relationship between fair value, market value, and efficient markets. Accounting Perspectives, 7(4), 293–316.
Mortal, S., Paudel, S., & Silveri, S. (2017). The impact of market structure on ex‐dividend day stock price behavior. Financial Management, 46(4), 1053–1082.
Pettit, J. (2007). Strategic corporate finance. Wiley Online Library.
Rantapuska, E. (2008). Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market. Journal of Financial Economics, 88(2), 355–374.
Roy, A. (2015). Dividend policy, ownership structure and corporate governance: An empirical analysis of Indian firms. Indian Journal of Corporate Governance, 8(1), 1–33.
Shafi, M. (2014). Determinants influencing individual investor behavior in stock market: a cross country research survey.
Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance. Oup Oxford.
Tan, H. (2020). The Determinants of Dividend Policy in Chinese Listed Firms: The Role of Supervisory Boards, Investor Sentiment and Stock Liquidity. Coventry University.
Walker, S., & Partington, G. (1999). The value of dividends: evidence from cum‐dividend trading in the ex‐dividend period. Accounting & Finance, 39(3), 275–296.
Walter, J. E. (1956). Dividend policies and common stock prices. The Journal of Finance, 11(1), 29–41.
Whitworth, J. L. (2005). Ex-dividend stock price behavior: Evidence from a century of tax law changes. Oklahoma State University.
Zahan, A., & Rana, M. S. (2020). Stock price reaction to dividend announcement: An empirical study on Dhaka stock exchange (DSE). Journal of Management, Economics, and Industrial Organization, 4(2), 1–27.
Zuguang, H., & Ahmed, M. U. (2010). Dividend announcement effect on stock return: an event study on Shanghai stock exchange. 2010 Second WRI Global Congress on Intelligent Systems, 2, 320–324.
Al-Malkawi, H.-A. N., Rafferty, M., & Pillai, R. (2010). Dividend policy: A review of theories and empirical evidence. International Bulletin of Business Administration, 9(1), 171–200.
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2013). Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245–275.
Chang, E. C., Lin, T.-C., Luo, Y., & Ren, J. (2019). Ex-day returns of stock distributions: An anchoring explanation. Management Science, 65(3), 1076–1095.
Charest, G. (1978). Dividend information, stock returns and market efficiency-II. Journal of Financial Economics, 6(2–3), 297–330.
Clayman, M. R., Fridson, M. S., & Troughton, G. H. (2012). Corporate finance: A practical approach (Vol. 42). John Wiley & Sons.
Daniel, K., Hirshleifer, D., & Teoh, S. H. (2002). Investor psychology in capital markets: Evidence and policy implications. Journal of Monetary Economics, 49(1), 139–209.
Frino, A., Gallagher, D., Neubert, A., & Oetomo, T. (2004). Index design and implications for index tracking: Evidence from S&P 500 Index Funds. Journal of Portfolio Management, 30(2), 89–95.
Hasan, F. (2019). An investigation of the dividend-signalling theory from the perspective of behavioural finance: evidence from the UK.
Horton, A. A., Walton, A., Spurgeon, D. J., Lahive, E., & Svendsen, C. (2017). Microplastics in freshwater and terrestrial environments: Evaluating the current understanding to identify the knowledge gaps and future research priorities. Science of the Total Environment, 586, 127–141.
Hu, S., & Tseng, Y. (2006). Who Wants to Trade Around Ex‐Dividend Days? Financial Management, 35(4), 95–119.
Islam, M. A., & Chowdhury, B. (2011). The behavior of stock price on ex-dividend day: A study on New York Stock Exchange and London Stock Exchange.
Kalay, A. (1982). The ex‐dividend day behavior of stock prices: a re‐examination of the clientele effect. The Journal of Finance, 37(4), 1059–1070.
Kato, K., & Loewenstein, U. (1995). The ex-dividend-day behavior of stock prices: The case of Japan. The Review of Financial Studies, 8(3), 817–847.
Milburn, J. A. (2008). The relationship between fair value, market value, and efficient markets. Accounting Perspectives, 7(4), 293–316.
Mortal, S., Paudel, S., & Silveri, S. (2017). The impact of market structure on ex‐dividend day stock price behavior. Financial Management, 46(4), 1053–1082.
Pettit, J. (2007). Strategic corporate finance. Wiley Online Library.
Rantapuska, E. (2008). Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market. Journal of Financial Economics, 88(2), 355–374.
Roy, A. (2015). Dividend policy, ownership structure and corporate governance: An empirical analysis of Indian firms. Indian Journal of Corporate Governance, 8(1), 1–33.
Shafi, M. (2014). Determinants influencing individual investor behavior in stock market: a cross country research survey.
Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance. Oup Oxford.
Tan, H. (2020). The Determinants of Dividend Policy in Chinese Listed Firms: The Role of Supervisory Boards, Investor Sentiment and Stock Liquidity. Coventry University.
Walker, S., & Partington, G. (1999). The value of dividends: evidence from cum‐dividend trading in the ex‐dividend period. Accounting & Finance, 39(3), 275–296.
Walter, J. E. (1956). Dividend policies and common stock prices. The Journal of Finance, 11(1), 29–41.
Whitworth, J. L. (2005). Ex-dividend stock price behavior: Evidence from a century of tax law changes. Oklahoma State University.
Zahan, A., & Rana, M. S. (2020). Stock price reaction to dividend announcement: An empirical study on Dhaka stock exchange (DSE). Journal of Management, Economics, and Industrial Organization, 4(2), 1–27.
Zuguang, H., & Ahmed, M. U. (2010). Dividend announcement effect on stock return: an event study on Shanghai stock exchange. 2010 Second WRI Global Congress on Intelligent Systems, 2, 320–324.
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