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Statistik › Noteringar, IPO:er och bolagshändelser › 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.

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