Ex-dividend returns: The Mexican puzzle

Palani-Rajan Kadapakkam and Valeria Martinez

Journal of Banking & Finance, 2008, vol. 32, issue 11, 2453-2461

Abstract: We study ex-dividend returns in Mexico, where an imputation system entitles individual investors to a net dividend tax credit. Based on taxation, we expect ex-day abnormal returns to be negative or at most zero in Mexico. However, they are significantly positive. Because ex-day returns are positive even for stocks restricted to Mexican nationals, they are not attributable to foreign stockholders' tax considerations. None of the market microstructure-based hypothesis in the literature can explain these positive ex-day returns. Ex-day returns in Mexico are a puzzle.

Keywords: Ex-dividend; day; returns; Mexico (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:32:y:2008:i:11:p:2453-2461

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