The dividend month premium

• 成果类型: Article
• 署名作者: Hartzmark, Samuel M.; Solomon, David H.
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.02.015
• 发表日期: 2013
• 页码: 640-660
• 关键词: Mispricing; Dividends; behavioral finance; PRICE PRESSURE

摘要

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. (c) 2013 Elsevier B.V. All rights reserved.