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.
| Document Type: | Bachelor Thesis |
|---|---|
| Author: | Manuel Häringer |
| Advisor: | Uwe Hack |
| 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): |  Urheberrechtlich geschützt |