Eades, Kenneth M; Hess, Patrick J; Kim, E Han - In: Journal of Finance 49 (1994) 5, pp. 1617-38
Ex-dividend day returns vary over time. The ex-day returns of high-yield stocks are persistently positive for some time periods and negative for others; in contrast, ex-day returns of low-yield stocks are always positive and less variable. The authors are unable to explain the variation with...