The ex-dividend day effect on the Stockholm stock exchange

Abstract

Our thesis documents the ex-dividend day effect on the Stockholm stock exchange for the period 2000 to 2011. In a perfect capital market, when a share goes ex-dividend, the price of the share should fall by the amount of the dividend, ceteris paribus. Using event study methodology we estimate the abnormal return on the ex-dividend day. The estimated abnormal returns are compared with the dividend yield of the included companies. We find no strong statistical or economical evidence that supports the existence of the ex-dividend day effect on the Stockholm stock exchange. We also control for abnormal returns during the days surrounding the ex-dividend day, and we cannot conclude that the market is inefficient.