文档介绍：Ex-Dividend Price Behavior
mon Stocks
John H. Boyd
Federal Reserve Bank of Minneapolis and University
of Minnesota
Ravi Jagannathan
Federal Reserve Bank of Minneapolis and University
of Minnesota
This study mon stock prices around
ex-dividend dates. Such price data usually contain
a mixture of observations—some wlth and some
without arbitrageurs and/or dividend capturers
active. Our theory predicts that such mixing will
result in a nonlinear relation between percentage
price drop and dividend yield—not monly
assumed linear relation. This prediction and
another important prediction of theory are sup-
ported empirically. In a variety of tests, marginal
price drop is not significantly different from the
dividend amount. Thus, over the last several
decades, one-for-one marginal price drop has been
an excellent (average) rule of thumb.
The behavior of stock prices around ex-dividend dates
is of interest to finance scholars for several reasons. It
This research has benefited from discussions with Laurie Bagwell, Ivan Brick,
Steve Brown, Kent Daniel, Larry Fisher, Phil Dybvig, Pat Hess, Roni Michaely,
Jim Poterba, Judy Rayburn, Myron Scholes, participants in the finance work-
shops at the University of British Columbia, Rutgers University, and the
University of Virginia. Our special thanks go to V. V. Chari for his helpful
comments. We also thank Joel Krueger putational assistance. Ravi
Jagannathan acknowledges partial financial support from the McKnight Fund
of the Carbon School of Management, the University of Minnesota, and the
Finance Department, the Graduate School of Business, Columbia University.
We have benefited from ments of an anonymous referee and the
editor, Chester Spatt. The views expressed herein are those of the authors
and not necessarily those of the Federal Reserve Bank of Minneapolis or the
Federal Reserve System. Address correspondence to John H. Boyd and Ravi
Jagannathan, Research Department, Federal Reserve Bank