Ducret, Romain Eugster, Nicolas Isakov, Dušan Weisskopf, Jean-Philippe 2025 This paper investigates the behavior of stock prices around ex-dividend dates in Europe over the period 2018-2022. In the early months of the COVID-19 pandemic in 2020, a significant fraction of firms cut, suspended, or reduced their dividend payments, leading to a shortage. Using a comprehensive sample of 14,844 dividend payments from 17 countries, we find that the magnitude of abnormal returns around the ex-dividend date is significantly larger during this period compared to normal times as dividend-seeking investors searched for the remaining payers. This pattern is amplified for high-yielding dividend stocks and in countries that temporarily imposed short-selling bans. Our results are consistent with a price-pressure hypothesis and challenge standard interpretations derived from an efficient market framework. application/pdf https://folia.unifr.ch/global/documents/330825 https://folia.unifr.ch/documents/330825/files/WP_SES_540.pdf eng FSES info:eu-repo/semantics/altIdentifier/doi/10.51363/unifr.ewp.2m7jvp info:eu-repo/semantics/altIdentifier/issn/3042-7517 info:eu-repo/semantics/openAccess CC BY-NC dividend capture price pressure ex-dividend date event study info:eu-repo/classification/udc/33 The behavior of stock prices around the ex-day during a dividend shortage http://purl.org/coar/resource_type/c_18ws