The ex-dividend day behaviour of Finnish restricted and unrestricted shares

We analyse the ex-dividend day behaviour of two classes of shares whose trading is potentially dominated by investors under different tax regimes because of foreign ownership restrictions. Our results provide evidence in favour of the hypothesis that long-term investors are the marginal investors that determine the stock prices around the ex-dividend day, and against the hypothesis that short-term trading is the driving force behind equilibrium ex-dividend ratios.