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The Ex‐dividend Day: Action On and Off the Danish Exchange

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  • Umid Akhmedov
  • Keith Jakob

Abstract

We examine ex‐dividend day behavior on the Copenhagen Stock Exchange. We report price‐drop ratios of 32% and 18% for close‐to‐close and close‐to‐open samples, respectively, well below the ratios observed in the United States. Our findings are generally consistent with limit order adjustment explanations from recent literature. In Denmark, a unique average price trading opportunity makes it possible for investors to capture dividends without directly altering supply or demand in the regular market, and therefore not necessarily driving the price‐drop ratios toward one.

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  • Umid Akhmedov & Keith Jakob, 2010. "The Ex‐dividend Day: Action On and Off the Danish Exchange," The Financial Review, Eastern Finance Association, vol. 45(1), pages 83-103, February.
    • Handle: RePEc:bla:finrev:v:45:y:2010:i:1:p:83-103
    DOI: 10.1111/j.1540-6288.2009.00238.x
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    Cited by:

    1. Blau, Benjamin M. & Fuller, Kathleen P. & Van Ness, Robert A., 2011. "Short selling around dividend announcements and ex-dividend days," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 628-639, June.
    2. Thiess Buettner & Carolin Holzmann & Felix Kreidl & Hendrik Scholz, 2020. "Withholding-tax non-compliance: the case of cum-ex stock-market transactions," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 27(6), pages 1425-1452, December.
    3. Al-Yahyaee, Khamis Hamed, 2013. "The effect of a reduction in price discreteness on ex-day stock returns in a unique environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 283-294.
    4. Bastian Schulz, 2021. "The Cum-ex Case: A Look at Germany," ACTA VSFS, University of Finance and Administration, vol. 15(1), pages 49-62.

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