Do Dividend Distributions Affect Stock Returns?

38 Pages Posted: 9 Feb 2016 Last revised: 8 Jan 2018

See all articles by Joakim Kvamvold

Joakim Kvamvold

Folketrygdfondet

Snorre Lindset

Norwegian University of Science and Technology (NTNU)

Date Written: January 8, 2017

Abstract

We examine price impacts from dividend flows. Event study estimates show that stocks experience abnormal returns on the dividend distribution day. Results also show a spillover effect to non-dividend-paying stocks that are likely to be part of the same benchmark portfolio as the dividend-paying stocks. Regression results indicate that the effect is dependent on the ownership share by professional investors. The temporary nature of the effect on returns is in line with the literature’s demanddriven price pressure hypothesis.

Keywords: dividend distributions, reinvestment, price impact, institutional investors, mutual funds

JEL Classification: G11, G12, G14, G23

Suggested Citation

Kvamvold, Joakim and Lindset, Snorre, Do Dividend Distributions Affect Stock Returns? (January 8, 2017). Journal of Financial Research, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2729284 or http://dx.doi.org/10.2139/ssrn.2729284

Joakim Kvamvold (Contact Author)

Folketrygdfondet ( email )

Haakon VII’s gate 2
Postboks 1845 Vika
Oslo, 0123
Norway

Snorre Lindset

Norwegian University of Science and Technology (NTNU) ( email )

Høgskoleringen
Trondheim NO-7491, 7491
Norway
+4773591395 (Phone)

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