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Seasonality in ex dividend day returns

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  • Rakesh Bali

Abstract

It is documented that for both high- and low-yield stocks, ex day raw returns are systematically higher in January than for the other months of the year. Although such patterns are not predicted by any known tax-clienteles model, they are consistent with the price discreteness and spread models in the spirit of Bali and Hite (Journal of Financial Economics, 47, 127-59, 1998) and Bali (Journal of Economics and Finance, 27, 190-210, 2003). For high-yield stocks in January, the returns are about one-fourth those for low-yield stocks, and for the remaining months they are significantly negative. The rents that arbitrageurs earn for supplying liquidity are higher for low-yield stocks and are significantly higher in January.

Suggested Citation

  • Rakesh Bali, 2003. "Seasonality in ex dividend day returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 929-932.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:14:p:929-932
    DOI: 10.1080/1350485032000159022
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    References listed on IDEAS

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    1. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
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    4. Rakesh Bali, 2003. "Variation in ex day dividend pricing: Myth or reality?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 190-210, June.
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    Cited by:

    1. Bali, Rakesh & Francis, Jack Clark, 2016. "Ex day effects of the 2003 dividend tax cut," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 11-22.

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