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The Ex‐dividend Day: Action On and Off the Danish Exchange
Author(s) -
Akhmedov Umid,
Jakob Keith
Publication year - 2010
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2009.00238.x
Subject(s) - dividend , economics , danish , stock exchange , monetary economics , financial economics , econometrics , order (exchange) , stock (firearms) , finance , mechanical engineering , linguistics , philosophy , engineering
We examine ex‐dividend day behavior on the Copenhagen Stock Exchange. We report price‐drop ratios of 32% and 18% for close‐to‐close and close‐to‐open samples, respectively, well below the ratios observed in the United States. Our findings are generally consistent with limit order adjustment explanations from recent literature. In Denmark, a unique average price trading opportunity makes it possible for investors to capture dividends without directly altering supply or demand in the regular market, and therefore not necessarily driving the price‐drop ratios toward one.