Capital Structure and the Ex-Dividend Day Return

被引：1
|
作者：
French, Dan W. [1 ]
Varson, Paula L. [2 ]
Moon, Kenneth P. [3 ]
机构：
[1] Univ Missouri Columbia, Columbia, MO USA
[2] St Marys Univ, San Antonio, TX USA
[3] Univ Northern Colorado, Greeley, CO 80639 USA
来源：
FINANCIAL REVIEW | 2005年 / 40卷 / 03期
关键词：
option pricing; capital structure; financial leverage; dividends; ex-dividend return; dividend capture;
D O I：
10.1111/j.1540-6288.2005.00106.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We apply an option-pricing framework to the ex-dividend behavior of common stocks. The framework explains the observed behavior of positive returns on the ex-dividend day and predicts that ex-dividend day returns will be higher for firms with greater financial leverage. Empirical testing supports the prediction. In contrast to prior studies, we find that dividendcapture activity has no significant impact on ex-dividend behavior, and we offer an explanation based on the importance of tick intervals.
引用
收藏
页码：361 / 379
页数：19
相关论文
共 50 条
12345