Is the predictability of dividend payments fully reflected in stock prices? European evidence

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Ungeheuer, Michael
dc.contributor.author Niinimäki, Simo
dc.date.accessioned 2019-02-17T17:03:08Z
dc.date.available 2019-02-17T17:03:08Z
dc.date.issued 2018
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/36490
dc.description.abstract This paper presents European level evidence on the dividend month premium asset pricing anomaly which was discovered from the U.S. stock markets by Hartzmark and Solomon (2013). Stocks with predicted ex-dividend day in this month earn significant abnormal returns compared to all other stocks. After regressing portfolios monthly excess returns with Fama-French five-factor model and momentum factor, I find statistical significant results from Finland, Sweden and United Kingdom. Results are indicating that risk-based explanations are unlikely to be correct. The dividend month premium is consistent with dividend clientele theory. en
dc.format.extent 22
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Is the predictability of dividend payments fully reflected in stock prices? European evidence en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword dividend en
dc.subject.keyword asset pricing anomaly en
dc.subject.keyword price pressure en
dc.subject.keyword ex-dividend day en
dc.identifier.urn URN:NBN:fi:aalto-201902171652
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus en


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