A Market Microstructure Explanation of Ex-Day Abnormal Returns

David A. Dubofsky

Financial Management, 1992, vol. 21, issue 4

Abstract: Several authors have previously determined that abnormal returns exist on ex-cash dividend days and ex-stock dividend days. In other words, stocks do not, on average, fall by the dividend amount, or fully adjust to stock distributions on ex-days. This paper proposes that NYSE Rule 118 and AMEX Rule 132 are a determinant of those ex-day abnormal returns.

Date: 1992
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