Re-examining the dividend drop ratios with dividend capture trading

Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review


We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the validity of competing explanations. Using intraday prices adjusted for non-trading, we provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further findings indicate that stocks trading ex-dividend, on average, underperform the market over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
Original languageEnglish
Title of host publicationProceedings of the seventeenth annual conference of the multinational finance society
EditorsX. Freixas, T. Malliaris, P. Theodossiou
PublisherMultinational Finance Society
Number of pages24
ISBN (Print)1545-6323
Publication statusPublished - 2010
EventAnnual Conference of the Multinational Finance Society - Barcelona, Spain
Duration: 27 Jun 201030 Jun 2010
Conference number: 17th


ConferenceAnnual Conference of the Multinational Finance Society
Abbreviated titleMFS
Internet address


Dive into the research topics of 'Re-examining the dividend drop ratios with dividend capture trading'. Together they form a unique fingerprint.

Cite this