English, Article, Journal or magazine article edition: The Weekend-Dividend Effect in the Spanish Market. Javier Gardeazabal; Marta Regulez

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Bookmark: http://trove.nla.gov.au/version/183349
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Weekend-Dividend Effect in the Spanish Market.
Author
  • Javier Gardeazabal
  • Marta Regulez
Physical Description
  • preprint
Notes
  • In this paper we develop an econometric test of a corollary of the irrelevance of the dividend policy principle, namely, that the rescheduling of dividends does not affect the market valuation of the firm. In particular, the market value of the firm should not change if the firm reschedules dividends from one day to another day. This proposition is tested by regressing daily stock returns on a weekend dummy, a dividend dummy and their interaction. The first two variables should capture the weekend and dividend effects. The interaction term should be insignificant if rescheduling of dividends does not affect the market valuation of stocks. Formal econometric evidence finds no indication of a significant weekend effect, though, at the individual level, some stocks yield abnormal returns on ex-dividend days and when dividends are scheduled on days after weekends or holidays. Firms could partially make up the price drop on ex-dividend days by scheduling dividend payments after a weekend or a holiday. However, the evidence suggests that firms do not use such policy.
  • RePEc:ehu:dfaeii:200218
Language
  • English
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