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A Market Microstructure Explanation of Ex-Day Abnormal Returns

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  • David A. Dubofsky

Abstract

Several authors have previously determined that abnormal returns exist on ex-cash dividend days and ex-stock dividend days. In other words, stocks do not, on average, fall by the dividend amount, or fully adjust to stock distributions on ex-days. This paper proposes that NYSE Rule 118 and AMEX Rule 132 are a determinant of those ex-day abnormal returns.

Suggested Citation

  • David A. Dubofsky, 1992. "A Market Microstructure Explanation of Ex-Day Abnormal Returns," Financial Management, Financial Management Association, vol. 21(4), Winter.
    • Handle: RePEc:fma:fmanag:dubofsky92
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