Do Dividend Distributions Affect Stock Returns?
38 Pages Posted: 9 Feb 2016 Last revised: 8 Jan 2018
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: Suggested Citation