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Institutional Ownership and Ex-Dividend Day Behaviour: Evidence from Sweden
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This study examines the influence of ownership on ex-dividend prices and trading behaviours. Using institutional ownership as a proxy for ownership heterogeneity, allows us to investigate if tax differences, dividend preferences, transaction costs differences and risk affect the price and trading volume around the ex-dividend day. Heterogeneity is a concave function of institutional ownership and the relations between institutional ownership and abnormal returns and volumes around the ex-dividend day are therefore expected to be non-linear. We test the expected relations with an event study and regression analysis, and find that abnormal returns are a concave function of institutional ownership on the cum-dividend day, while on the ex-dividend day a convex relationship is found. No support is found for the expected concave function between abnormal volume and institutional ownership, and neither do we find support for a dividend clientele effect. Therefore, we suggest that a combination of short- and long-term traders are setting the equilibrium price, where the degree of influence short-term traders have is dependent on ownership heterogeneity.

Place, publisher, year, edition, pages
2016. , 40 p.
Keyword [en]
Ex-dividend, Cum-dividend, Dividend, Ownership heterogeneity, Institutional ownership, Abnormal return, Abnormal volume, Drop-off-ratio, Price anomaly
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-297631OAI: oai:DiVA.org:uu-297631DiVA: diva2:942628
Educational program
Master Programme in Business and Management
Supervisors
Available from: 2016-06-29 Created: 2016-06-26 Last updated: 2016-06-29Bibliographically approved

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Segerlund & ter Welle, 2016(879 kB)57 downloads
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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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