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The behavior of stock prices around the ex-day during a dividend shortage

Author

Listed:
  • Ducret, Romain

    (University of Fribourg, Switzerland)

  • Eugster, Nicolas
  • Isakov, Dusan

    (University of Fribourg, Switzerland)

  • Weisskopf, Jean-Philippe

    (EHL Hospitality Business School)

Abstract

This paper investigates the behavior of stock prices around ex-dividend dates in Europe over the period 2018-2022. In the early months of the COVID-19 pandemic in 2020, a significant fraction of firms cut, suspended, or reduced their dividend payments, leading to a shortage. Using a comprehensive sample of 14,844 dividend payments from 17 countries, we find that the magnitude of abnormal returns around the ex-dividend date is significantly larger during this period compared to normal times as dividend-seeking investors searched for the remaining payers. This pattern is amplified for high-yielding dividend stocks and in countries that temporarily imposed short-selling bans. Our results are consistent with a price-pressure hypothesis and challenge standard interpretations derived from an efficient market framework.

Suggested Citation

  • Ducret, Romain & Eugster, Nicolas & Isakov, Dusan & Weisskopf, Jean-Philippe, 2025. "The behavior of stock prices around the ex-day during a dividend shortage," FSES Working Papers 540, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    • Handle: RePEc:fri:fribow:fribow00540
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    More about this item

    Keywords

    dividend capture; price pressure; ex-dividend date; event study;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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