Journal of Financial Economics Vol. 109 No. 3 2013
The dividend month premium
Abstract
We find an asset pricing anomaly whereby companies have positive abnormal returns in months when they are predicted to issue a dividend. Abnormal returns in predicted dividend months are high relative to other companies and relative to dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value premium, but less volatile. The premium is consistent with price pressure from dividend-seeking investors. Measures of liquidity and demand for dividends are associated with larger price increases in the period before the ex-day (when there is no news about the dividend) and larger reversals afterward.
- DOI
- 10.1016/j.jfineco.2013.02.015
- Volume
- 109
- Issue
- 3
- Pages
- 640-660
- Language
- en
- Sources
- crossref bibtex:phds-export.bib openalex