한국증권시장에서 배당락일의 주가조정에 관한 실증연구
(An) Empirical Study on the Ex-Divided Day Behavior of Stock Prices in Korean Stock Market
한국증권시장 배당락일 주가조정 주식시장;
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This study examined which factors effected on an ex-dividend day behavior. In other studies, the ex-dividend behavior was occurred by the tax effect theory, the quick turn theory, and anomaly. Based on these theories, from 1995 to 2001, the listed companies which did cash dividends in Korea were analyzed and the followings are the summary of analysis. After looking at the theory of tax effect, when the ex-dividend is done the day before balancing the accounts, it supports the theory of tax effect. In other cases, the average of the stock price down show the difference from the rate of stock price down in theory. The result of analyzing the quick turn theof shows that from 2 days till one day before the ex-dividend day the stock transition which aims at short term marginal profit occurs actively. This occurs frequently when the taxation rate is small like separte tax return, so it shows that tax affect the transaction. The targets of the transaction are the stocks with high value and large or medium capitalization stocks. The study of the anomaly shows two cases: + excessive profit rate and -excessive profit rate after ex-dividend day. In both cases, just days before of ex-dividend (-5 day to -1 day) the excessive profit rate is positive (+) and that on the day of ex-dividend the excessive profit rate is negative (-). The reason for the excessive profit rate before and after the ex-dividend day may be end-of-the-fiscal-year effect and January effect. For the other case, it is assumed because of the quick turn effect based on the information of the dividend.