Aktieutdelningars kurspåverkan - Existerar överavkastning vid utdelningar?
AktieutdelningEx-dagenEx-dagseffektMarknadseffektivitet,Abnormal returnsDividendEx-dividend dayMarket efficiency,
This study aims at examining if abnormal returns have existed on theSwedish stock market surrounding the ex-dividend period between the years2002 and 2006. The ex-dividend period that is studied is the ex-dividend dayplus the following five days. The stocks that have been studied are the thirtymost traded stocks which together constitute the index OMXS30.Furthermore, the study investigates if the size of the dividend has an effecton the size of the abnormal returns.Previously performed studies on both the Swedish stock market and foreignstock markets have shown that abnormal returns exist during the ex-dividendperiod. However, the results from these studies are not unambiguous, why itis interesting to follow up these studies with a new study.The method used for investigating the existence of abnormal returns aroundthe ex-dividend period has taken its starting point in the previouslyperformed studies. However, some changes have been made in order tocalculate for differences in risk between different stocks (using beta) whichhas been neglected in the previous studies.The results of our study are that abnormal returns have existed for four outof six days in the ex-dividend period when calculating a mean value over allfive years. However, when controlling the results with statistical tests, onlythe ex-dividend day and the ex-dividend day + 2 can be proved to haveabnormal returns with somewhat high confidence. The results also showedthat the size of the dividend had no influence in creating abnormal returns.The conclusions of the study are that for two of the days in the ex-dividendperiod abnormal returns exist that can not be explained to be only by chance.It was concluded that, between the years 2002 and 2006, abnormal returnsexisted for the ex-dividend day with 0,30% and the second day following theex-dividend day with 0,27%.