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The Dividend Month Premium - Evidence from Germany

  • This thesis examines the existence and magnitude of the Dividend Month Premium in the German stock market over the period 1999 to 2021. The findings indicate that there appear to be significant positive abnormal returns in the lead-up to the ex-dividend date, which are reversed thereafter. This mispricing around a predictable event arises as a contradiction of the efficient market hypothesis and is driven by price pressure from dividend-seeking investors who are not exposed to additional risk compared to non-dividend periods. The asset pricing anomaly intensifies in times of economic uncertainty and is related to the level of dividend yield and liquidity. However, if firms decide to omit their dividend payments, the return premium disappears.

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Metadaten
Author:Manuel Häringer
Advisor:Uwe Hack
Document Type:Bachelor Thesis
Language:English
Year of Completion:2023
Granting Institution:Hochschule Furtwangen
Release Date:2023/02/27
Tag:Asset pricing anomaly; Dividends; Efficient Markets; Price pressure
Page Number:98
Degree Program:IBW - Internationale Betriebswirtschaft
Functional area:Finance & Accounting
Licence (German):License LogoUrheberrechtlich geschützt