SavedAdd your journal

Journals / Journal of Economics Finance and Accounting / 2026 / Volume: 7 Issue: 1

CASH DIVIDEND EX-DAY ANOMALY AND AN INVESTMENT STRATEGY

NAKİT TEMETTÜ DAĞITMA ANOMALİSİ VE BİR YATIRIM STRATEJİSİ

Eyüp Kadıoğlu(Ghent University, Department of Economics)0000-0001-7836-868X
Faruk Bostancı(Independent Researcher)0000-0002-4151-7618
Nurcan Öcal(CAPITAL MARKETS BOARD OF TURKEY)0000-0002-5870-2844
Pages
—
Publication Date
2020-03-30
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Using these investment strategies, it is possible to get 4.47% return over market index return in addition to 100% cash dividend per share over the period of 20 days by utilising ex-dividend day anomaly.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Purpose - This study examines the effect of ex-day of cash dividend on stock returns using data of 2.266 cash dividends of 422 listed companies from Borsa Istanbul for the period 1997-2018.
📊
Key Findings & Data:Methodology - The event study analysis applied for the event windows opened from the t-30 to t+30, and the market-adjusted model was used to calculate abnormal returns.
💡
Conclusion & Impact:Using these investment strategies, it is possible to get 4.47% return over market index return in addition to 100% cash dividend per share over the period of 20 days by utilising ex-dividend day anomaly.
🔬Design:Modeling & Simulation
📍Scope:2018 Verileri
⚙️Variables:Cash dividend · ex dividend day effect · price anomaly

Abstract

Purpose - This study examines the effect of ex-day of cash dividend on stock returns using data of 2.266 cash dividends of 422 listed companies from Borsa Istanbul for the period 1997-2018. Methodology - The event study analysis applied for the event windows opened from the t-30 to t+30, and the market-adjusted model was used to calculate abnormal returns. Findings- It is found that there are positive abnormal returns before ex-day, as prices significantly start to rise at least 22 days before cash dividend ex-day and reach to the its’ highest level on the ex-day and then decrease in the following days. Conclusion- Based on our findings, it is found that price anomaly caused by ex-day of cash dividend can be used as a two-step mutually exclusive investment strategy. In the first step, buying firms’ shares which are decided to distribute dividend per share more than %100, twelve days before ex-day and selling them at the end of ex-dividend day provides on average 2.96% abnormal return addition to cash dividend over the 13 days, in the second step, short selling the same stocks at the end of ex-day and buying back them on seven days after ex-dividend day provides on average 1.51% abnormal return over 7 days. Using these investment strategies, it is possible to get 4.47% return over market index return in addition to 100% cash dividend per share over the period of 20 days by utilising ex-dividend day anomaly.

Özet

Amaç-Bu çalışmada, 1997-2018 döneminde Borsa İstanbul’da işlem gören 422 farklı şirket tarafından gerçekleştirilen 2.266 adet nakit temettü dağıtım sürecinde ilan edilen temettüsüz günün 30 gün öncesi ve sonrasındaki hisse senedi getirileri incelenmiştir. Metodoloji- Analizlerimizde, olay analizi yöntemi, t-30 ile t+30 döneminde açılan olay pencereleri için uygulanmış olup, anormal getirileri bulmak amacıyla uyarlanmış piyasa modelinden faydalanılmıştır. Bulgular-Anormal getirinin temettüsüz gün öncesindeki 22’nci günden başlayarak önemli ölçüde arttığı, artışın temettüsüz günün sonuna kadar devam ettiği ve izleyen günlerde de negatif anormal getirinin oluştuğu bulunmuştur. Sonuç- Çalışmamızdaki bulguların, birbirinden bağımsız iki aşamalı yatırım stratejisi olarak kullanılabileceği sonucuna ulaşılmıştır. Hisse başına %100 oranından daha fazla temettü dağıtacağını açıklayan şirket hisselerinin, ilk aşamada temettüsüz gününün 12 gün öncesinde satın alınması ve temettüsüz günün sonunda satılması durumunda, hisseye verilen nakit kâr payına ek olarak 13 günde ortalama %2,96 anormal getiri elde edildiği ve ikinci aşamada temettüsüz günün sonunda aynı hisse senedinin açığa satılması ve 7 gün sonra geri satın alınması durumunda 7 günde ortalama %1,51 anormal getiri elde edildiği hesaplanmıştır. Dolayısıyla, nakit temettü dağıtım sürecindeki anomaliden yararlanarak hisse başına %100’ün üzerinde nakit temettüye ek olarak 20 günde ortalama %4,47 oranında piyasa endeks getirisinin üzerinde getiri sağlanabilmektedir.

🔖

Cite This Article

Kadıoğlu, E., Bostancı, F., Öcal, N. (2020). CASH DIVIDEND EX-DAY ANOMALY AND AN INVESTMENT STRATEGY. Journal of Economics Finance and Accounting, Volume: 7 Issue: 1. https://doi.org/10.17261/Pressacademia.2020.1177

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (68)

  1. Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders' returns: An empirical analysis. The Journal of Finance, 35(1), 1. doi:10.2307/2327176
  2. Ainsworth, A. B., Fong, K. Y. L., Gallagher, D. R., & Partington, G. (2018). Taxes, order imbalance and abnormal returns around the ex-dividend day. International Review of Finance, 18(3), 379-409. doi:10.1111/irfi.12155
  3. Akhigbe, A., & Madura, J. (1996). Dividend policy and corporate performance. Journal of Business Finance & Accounting, 23(9‐10), 1267-1287. doi:10.1111/1468-5957.00079
  4. Al-Yahyaee, K. H. (2014). Stock dividend ex-day effect and market microstructure in a unique environment. International Economics, 139, 71-79. doi:10.1016/j.inteco.2014.04.002
  5. Armitage, S. (1995). Event study methods and evidence on their performance. Journal of Economic Surveys, 9(1), 25-52. doi:10.1111/j.1467-6419.1995.tb00109.x
  6. Asquith, P., & Mullins, J. D. W. (1983). The impact of initiating dividend payments on shareholders' wealth. The Journal of Business, 56(1), 77–96. doi:10.1086/296187
  7. Aydogan, K., & Muradoglu, G. (1998). Do markets learn from experience?: Price reaction to stock dividends in the turkish market. Applied Financial Economics, 8(1), 41–49. doi:10.1080/096031098333230
  8. Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
  9. Barclay, M. J. (1987). Dividends, taxes, and common stock prices: The ex-dividend day behavior of common stock prices before the income tax. Journal of Financial Economics, 19(1), 31-44. doi:10.1016/0304-405X(87)90027-4
  10. Basdas, U., & Oran, A. (2014). Event studies in turkey. Borsa Istanbul Review, 14(3), 167-188. doi:10.1016/j.bir.2014.03.003
  11. Batchelor, R., & Orakcioglu, I. (2003). Event-related garch: The impact of stock dividends in turkey. Applied Financial Economics, 13(4), 295–307. doi:10.1080/09603100210138547
  12. Boyd, J. H., & Jagannathan, R. (1994). Ex-dividend price behavior of common-stocks. Review of Financial Studies, 7(4), 711-741. doi:10.1093/rfs/7.4.711
  13. Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205-258. doi:10.1016/0304-405X(80)90002-1
  14. Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The econometrics of financial markets (Vol. 2): princeton University press Princeton, NJ.
  15. Charest, G. (1978). Dividend information, stock returns and market efficiency-ii. Journal of Financial Economics, 6(2), 297-330. doi:10.1016/0304-405X(78)90033-8
  16. Chottiner, S., & Young, A. (1971). A test of the aicpa differentiation between stock dividends and stock splits. Journal of accounting research, 367-374. doi:10.2307/248994
  17. Chowdhury, J., & Sonaer, G. (2016). Ex-dividend day abnormal returns for special dividends. Journal of Economics and Finance, 40(4), 631-652. doi:10.1007/s12197-015-9317-7
  18. Dennis, D. K., & McConnell, J. J. (1986). Corporate mergers and security returns. Journal of Financial Economics, 16(2), 143-187. doi:10.1016/0304-405X(86)90059-0
  19. Dhatt, M. S., Kim, Y. H., & Mukherji, S. (1994). Japanese stock price reactions to stock dividend distributions. Pacific-Basin Finance Journal, 2(1), 43-59. doi:10.1016/0927-538X(94)90028-0
  20. Dhatt, M. S., Kim, Y. H., & Mukherji, S. (1996). Is the stock dividend ex-day effect due to market microstructure?: Contrary evidence from korea. Global Finance Journal, 7(1), 89-99. doi:10.1016/S1044-0283(96)90015-0
  21. Dimpfl, T. (2011). The impact of us news on the german stock market—an event study analysis. The Quarterly Review of Economics and Finance, 51(4), 389-398. doi:10.1016/j.qref.2011.07.005
  22. Dolley, J. C. (1933). Characteristics and procedure of common stock split-ups. Harvard Business Review, 11(3), 316-326.
  23. Dubofsky, D. A. (1992). A market microstructure explanation of ex-day abnormal returns. Financial Management, 21(4), 32-43. doi:10.2307/3665839
  24. Dupuis, D. (2019). Ex-dividend day price behavior and liquidity in a tax-free emerging market. Emerging Markets Review, 38, 239-250. doi:10.1016/j.ememar.2019.02.001
  25. Eades, K. M., Hess, P. J., & Kim, E. H. (1984). On interpreting security returns during the ex-dividend period. Journal of Financial Economics, 13(1), 3-34. doi:10.1016/0304-405X(84)90030-8
  26. Elton, E. J., & Gruber, M. J. (1970). Marginal stockholder tax rates and the clientele effect. The Review of Economics and Statistics, 52(1), 68-74. doi:10.2307/1927599
  27. Elton, E. J., Gruber, M. J., & Blake, C. R. (2005). Marginal stockholder tax effects and ex-dividend-day price behavior: Evidence from taxable versus nontaxable closed-end funds. Review of Economics and Statistics, 87(3), 579-586. doi:10.1162/0034653054638337
  28. Fatemi, A., & Bildik, R. (2012). Yes, dividends are disappearing: Worldwide evidence. Journal of Banking & Finance, 36(3), 662-677. doi:10.1016/j.jbankfin.2011.10.008
  29. Foster, T. W., & Vickrey, D. (1978). The information content of stock dividend announcements. The Accounting Review, 53(2), 360-370.
  30. Frank, M., & Jagannathan, R. (1998). Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics, 47(2), 161-188. doi:10.1016/S0304-405X(97)80053-0
  31. Ghadhab, I. (2018). Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. Journal of Multinational Financial Management, 46, 1-10. doi:10.1016/j.mulfin.2018.07.002
  32. Graham, J. R., & Kumar, A. (2006). Do dividend clienteles exist? Evidence on dividend preferences of retail investors. The Journal of Finance, 61(3), 1305-1336. doi:10.1111/j.1540-6261.2006.00873.x
  33. Graham, J. R., Michaely, R., & Roberts, M. R. (2003). Do price discreteness and transactions costs affect stock returns? Comparing ex-dividend pricing before and after decimalization. Journal of Finance, 58(6), 2611-2635. doi:10.1046/j.1540-6261.2003.00617.x
  34. Gregory, A., Matatko, J., & Tonks, I. (1997). Detecting information from directors' trades: Signal definition and variable size effects. Journal of Business Finance & Accounting, 24(3), 309-342. doi:10.1111/1468-5957.00107
  35. Grinblatt, M. S., Masulis, R. W., & Titman, S. (1984). The valuation effects of stock splits and stock dividends. Journal of Financial Economics, 13(4), 461-490. doi:10.1016/0304-405x(84)90011-4
  36. Günalp, B., Kadioglu, E., & Kılıç, S. (2010). Nakit temettü bilgisinin hisse senedi getirisi üzerinde önemli bir etkisi olup olmadığının İmkb’de test edilmesi. Hacettepe Üniversitesi İİbf Dergisi, 28(2), 47–69.
  37. Hartzmark, S. M., & Solomon, D. H. (2019). The dividend disconnect. The Journal of Finance, 74(5), 2153-2199. doi:10.1111/jofi.12785
  38. Hillier, D., & Marshall, A. P. (2002). Are trading bans effective? Exchange regulation and corporate insider transactions around earnings announcements. Journal of Corporate Finance, 8(4), 393-410. doi:10.1016/S0929-1199(01)00046-3
  39. Jakob, K., & Whitby, R. (2017). The impact of nominal stock price on ex-dividend price responses. Review of Quantitative Finance and Accounting, 48(4), 939-953. doi:10.1007/s11156-016-0574-0
  40. Jiang, C.-H., & Huang, Y.-S. (2009). Price clustering at the opening and closing in a call market evidence from the taiwan stock exchange. International Research Journal of Finance and Economics(31), 16–28.
  41. Kadioglu, E., Telçeken, N., & Öcal, N. (2015). Market reaction to dividend announcement: Evidence from turkish stock market. International Business Research, 8(9), 83–94. doi:10.5539/ ibr.v8n9p83
  42. Kalay, A. (1982). The ex-dividend day behavior of stock prices: A re-examination of the clientele effect. The Journal of Finance, 37(4), 1059-1070. doi:10.2307/2327767
  43. Karpoff, J. M., & Walkling, R. A. (1988). Short-term trading around ex-dividend days - additional evidence. Journal of Financial Economics, 21(2), 291-298. doi:10.1016/0304-405x(88)90063-3
  44. Kirbaş, A. (2018). Temettü duyurularının hisse senedi getirilerine olan etkilerinin analizi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 3(2), 133-148. doi:10.30784/epfad.440313
  45. Kočenda, E., & Moravcová, M. (2018). Intraday effect of news on emerging european forex markets: An event study analysis. Economic Systems, 42(4), 597-615. doi:10.1016/j.ecosys.2018.05.003
  46. Koski, J. L. (1996). A microstructure analysis of ex-dividend stock price behavior before and after the 1984 and 1986 tax reform acts. Journal of Business, 69(3), 313-338. doi:10.1086/209693
  47. Lakonishok, J., & Vermaelen, T. (1986). Tax-induced trading around ex-dividend days. Journal of Financial Economics, 16(3), 287-319. doi:10.1016/0304-405X(86)90032-2
  48. Le, N. N. A., Yin, X. K., & Zhao, J. (2019). Effects of investor tax heterogeneity on stock prices and trading behaviour around the ex-dividend day: The case of australia. Accounting and Finance. doi:10.1111/acfi.12520
  49. Marsh, P. (1979). Equity rights issues and the efficiency of the uk stock market. The Journal of Finance, 34(4), 839-862. doi:10.2307/2327051
  50. Marshall, A., McCann, L., & McColgan, P. (2018). The market reaction to debt announcements: Uk evidence surrounding the global financial crisis. The British Accounting Review, 51(1), 92-109. doi:10.1016/j.bar.2018.04.001
  51. Michaely, R., & Vila, J.-L. (1995). Investors' heterogeneity, prices, and volume around the ex-dividend day. The Journal of Financial and Quantitative Analysis, 30(2), 171-198. doi:10.2307/2331116
  52. Michaely, R., & Vila, J. L. (1996). Trading volume with private valuation: Evidence from the ex-dividend day. Review of Financial Studies, 9(2), 471-509. doi:10.1093/rfs/9.2.471
  53. Miletić, M. (2011). Stock price reaction to dividend announcement in croatia. Economic Research-Ekonomska Istraživanja, 24(3), 147-156. doi:10.1080/1331677X.2011.11517473
  54. Mortal, S., Paudel, S., & Silveri, S. (2017). The impact of market structure on ex-dividend day stock price behavior. Financial Management (Wiley-Blackwell), 46(4), 1053-1082. doi:10.1111/fima.12176
  55. Muradoğlu, G., & Aydoğan, K. (2003). Trends in market reactions: Stock dividends and rights offerings at istanbul stock exchange. The European Journal of Finance, 9(1), 41–60. doi:10.1080/13518470110047611
  56. Naranjo, A., Nimalendran, M., & Ryngaert, M. (2000). Time variation of ex-dividend day stock returns and corporate dividend capture: A reexamination. Journal of Finance, 55(5), 2357-2372. doi:10.1111/0022-1082.00290
  57. Oran, A., & Özkan, D. (2001, 2001). Ex-dividend date behaviour without taxes. Paper presented at the Global Business and Technology Association International Conference Proceedings.
  58. Papaioannou, G. J., Travlos, N. G., & Tsangarakis, N. V. (2000). Valuation effects of greek stock dividend distributions. European Financial Management, 6(4), 515-531. doi:10.1111/1468-036X.00137
  59. Paudel, S., Silveri, S., & Wu, M. (2019). Nasdaq ex-day behavior: An out-of-sample test. Review of Financial Economics. doi:10.1002/rfe.1083
  60. Pettit, R. R. (1972). Dividend announcements, security performance, and capital market efficiency. The Journal of Finance, 27(5), 993–1007. doi:10.2307/2978844
  61. Piccoli, P., Chaudhury, M., Souza, A., & da Silva, W. V. (2017). Stock overreaction to extreme market events. The North American Journal of Economics and Finance, 41, 97-111. doi:10.1016/j.najef.2017.04.002
  62. Sivakumar, K., & Waymire, G. (1994). Insider trading following material news events: Evidence from earnings. Financial Management, 23(1), 23-32. doi:10.2307/3666053
  63. Tran, Q. T. (2017). Dividend capture on the ex-dividend day: Evidence from vietnamese stock market. Asian Academy of Management Journal of Accounting and Finance, 13(2), 69-94. doi:10.21315/aamjaf2017.13.2.4
  64. Whitworth, J., & Rao, R. P. (2010). Do tax law changes influence ex-dividend stock price behavior? Evidence from 1926 to 2005. Financial Management, 39(1), 419-445. doi:10.1111/j.1755-053X.2010.01078.x
  65. Woolridge, J. R. (1982). The information content of dividend changes. Journal of Financial Research, 5(3), 191. doi:10.1111/j.1475-6803.1982.tb00298.x
  66. Woolridge, J. R. (1983). Dividend changes and security prices. The Journal of Finance, 38(5), 1607-1615. doi:10.1111/j.1540-6261.1983.tb03844.x
  67. Yildiz, Y., Karan, M. B., & Pirgaip, B. (2017). Market reaction to grouping equities in stock markets: An empirical analysis on borsa istanbul. Borsa Istanbul Review, 17(4), 216-227. doi:10.1016/j.bir.2017.08.001
  68. Yilmaz, M. K., & Gulay, G. (2006). Dividend policies and price-volume reactions to cash dividends on the stock market: Evidence from the istanbul stock exchange. Emerging Markets Finance and Trade, 42(4), 19-49. doi:10.2753/REE1540-496X420402