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Stats › Beursnoteringen, IPO's en corporate actions › Ex-dividend day

Stocks fall by less than the dividend on the ex-day, and by less than they used to

One-eighth tick to May 1997: 0.8929+0.8929One-eighth tickto May 1997One-sixteenth to Aug 2000: 0.8333+0.8333One-sixteenthto Aug 2000Decimal from Jan 2001: 0.7500+0.7500Decimalfrom Jan 2001

Median ratio of the cum-to-ex price drop to the dividend paid, NYSE common stocks paying quarterly taxable cash dividends. A ratio of 1.0 would mean the price falls by exactly the dividend. Using TAQ quote midpoints the close-to-close medians are 0.9000, 0.8152 and 0.7353 across the same three regimes.

A share going ex-dividend should drop by the full amount of the dividend. It drops by about three quarters of it, and the shortfall widened after decimalisation, with the ex-day abnormal return rising from 0.04% to 0.24%.

0.7500Median price drop as a share of the dividend, decimal era
0.8929The same in the one-eighth tick era
0.24%Ex-day abnormal return in the decimal era, median 0.27%
0.04%The same in the one-eighth era, not significantly different from zero

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Below this point there are 5 sections and 2 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.