Statistik › Börsennotierungen, IPOs und Kapitalmaßnahmen › The dividend footprint
Trading volume rose 38% the day before the dividend date and the anomaly disappeared after the rule changed
Implied percentage effects from log volume coefficients of 1.408, 0.324 and 0.256, on 103,386 observations across 806 dividend events and 155 firms. The exchange coefficient for the day before is significant below the one per cent level with a cluster robust standard error of 0.11; the two day effect is significant at 10 per cent. Identification comes from comparing 2009 to 2011 with 2012 to 2015.
German exchange volume on the day before the distribution date ran about 38 per cent above normal, and over the counter volume about four times normal, in the years the scheme operated. Placebo tests on other days return nothing.
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