The behavior of stock prices around the ex-day during a dividend shortage
BP2-STS
- Ducret, Romain ORCID University of Fribourg
- Eugster, Nicolas ORCID The University of Queensland, UQ Business School, St Lucia
- Isakov, Dušan ORCID University of Fribourg
- Weisskopf, Jean-Philippe ORCID EHL Hospitality Business School, HES-SO Haute école spécialisée de Suisse Occidentale
- 2025
English
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.
- Collections
- Faculty
- Faculté des sciences économiques et sociales et du management
- Language
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- English
- Classification
- Economics
- Series statement
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- Working Papers SES ; 540
- License
- License undefined
- Identifiers
- Persistent URL
- https://folia.unifr.ch/unifr/documents/330825
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