HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège

Stock price behavior and the possibility of abnormal gain around the ex-dividend day

Nahar, Meharun ULiège
Promotor(s) : Babaei, Hamid ULiège
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink :
Title : Stock price behavior and the possibility of abnormal gain around the ex-dividend day
Author : Nahar, Meharun ULiège
Date of defense  : 4-Sep-2023/8-Sep-2023
Advisor(s) : Babaei, Hamid ULiège
Committee's member(s) : Plunus, Séverine 
Language : English
Keywords : [en] Efficient market
[en] Ex-dividend day
[en] the behavior of stock price
[en] Abnormal gain
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège


[en] The Efficient Market Hypothesis (EMH) and the behavior of stock prices have largely been discussed in financial literature. The thesis aims to analyze the behavior of stock prices and abnormal returns specifically on ex-dividend day within the Japan Exchange Group (JPX). To answer the research question and achieve our objectives, we use the event study method and sample data encompasses 89 companies listed on JPX, focusing on their ex-dividend stock prices, cash dividends, and cum dividend day stock prices and answer the question based on hypotheses test (raw price drop ratio, market adjusted price ratio, raw price drop ratio, market adjusted price drop ratio, Average abnormal return, and Cumulative Average Abnormal Return). This thesis documented that the stock price drops are not the same as the dividend amount of Japan Exchange Group (JPX). This study also finds significant evidence of a market abnormal return around ex-dividend day. Furthermore, we investigate the cross-sectional regressions to examine the relationship between multiple variables (dividend yield, transaction cost, and risk) that influence the ex-day abnormal gain. We find that a high tax imposed on dividend yield leads to reducing some part of the abnormal gain on the ex-day and also eliminates short-term trading, but not completely, as we also observe a positive relation between ex-dividend day abnormal gain and transaction cost.



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  • Nahar, Meharun ULiège Université de Liège > Master sc. gest., à fin.


Committee's member(s)

  • Plunus, Séverine
  • Total number of views 29
  • Total number of downloads 6

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