Quoc , Trung Tran
(2017)
Dividend Capture On The Ex-dividend Day:
Evidence From Vietnamese Stock Market.
Asian Academy of Management Journal of Accounting and Finance, 13 (2).
pp. 1-26.
ISSN 1823-4992
Abstract
Vietnamese stock market is a promising laboratory to investigate the ex-day behaviour
of stock price due to its special features: Firstly, the market uses periodic call auction
mechanism for determining both opening and closing prices and there is no market
maker. Secondly, tick size is much smaller than dividend amount. These imply that market
microstructure theories are not applicable explanations. Thirdly, unlike many markets’
taxation of capital gains and dividends, there is no considerably preferential treatment of
capital gains to dividends. Finally, short-selling is prohibited. Comparing the observed
values of price drop to dividend ratio and their expected values under the impact of tax
policy, we fnd that tax treatment fails to explain the anomaly in the research framework.
The research fndings show that abnormal returns are signifcantly positive and negative
in the pre- and the post ex-dividend day periods, respectively. Moreover, regression results
and relevant analysis show supporting evidence for dividend capture theory.
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