Exploiting the dividend month premium: evidence from Germany
نویسندگان
چکیده
Abstract Dividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement-date ex-dividend date main driver for so-called dividend month premium, which positive abnormal months corporations predicted to issue payments. In our empirical analysis of German stock market, we find robust is particularly high stocks with surprise. Knowing dates announcements enable portfolio managers exploit premium. Also taking into account tracking error transaction costs, show that simple portfolio-enhancing strategies lead highly significant returns.
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ژورنال
عنوان ژورنال: Journal of Asset Management
سال: 2021
ISSN: ['1479-179X', '1470-8272']
DOI: https://doi.org/10.1057/s41260-021-00215-3