A Market Microstructure Explanation of Ex-Day Abnormal Returns

Several authors have previously determined that abnormal returns exist on ex-cash dividend days and ex-stock dividend days. In other words, stocks do not, on average, fall by the dividend amount, or fully adjust to stock distributions on ex-days. This paper proposes that NYSE Rule 118 and AMEX Rule 132 are a determinant of those ex-day abnormal returns.

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Year of publication:	1992
Authors:	Dubofsky, David A.
Published in:	Financial Management. - Financial Management Association - FMA. - Vol. 21.1992, 4
Publisher:	Financial Management Association - FMA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005823856