The ex-dividend day effect on the Stockholm stock exchange

dc.contributor.author	Sundberg, Henric
dc.contributor.author	Halvorsen, Martin
dc.date.accessioned	2012-07-25T10:00:39Z
dc.date.available	2012-07-25T10:00:39Z
dc.date.issued	2012-07-25
dc.identifier.uri	http://hdl.handle.net/2077/29997
dc.description	MSc in Finance	sv
dc.description.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.	sv
dc.language.iso	eng	sv
dc.relation.ispartofseries	Master Degree Project	sv
dc.relation.ispartofseries	2012:96	sv
dc.title	The ex-dividend day effect on the Stockholm stock exchange	sv
dc.type	Text
dc.setspec.uppsok	SocialBehaviourLaw
dc.type.uppsok	H2
dc.contributor.department	University of Gothenburg/Graduate School	eng
dc.contributor.department	Göteborgs universitet/Graduate School	swe
dc.type.degree	Master 2-years