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Ex-dagseffekten: En litteraturstudie kring ex-dagseffektens uppkomst och existens
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2019 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Ex-dividend day effect (English)
Abstract [sv]

Aktiemarknaden uppfattas som effektiv då aktiepriset faller i paritet med utdelningen på ex-dagen. Tidigare studier ger belägg för att aktiepriset faller med mindre än utdelningen. Att aktiepriset faller med mindre än utdelningsbeloppet på ex-dagen utgör ex-dagseffekten och innebär en avvikande avkastning för aktier kring ex-dagen. Ex-dagseffektens existens har genom historien undersökts och det råder delade meningar kring dess uppkomst och existens. Skattehypotesen, kortsiktiga handelshypotesen, mikrostrukturhypotesen och dispositions-effekten är fyra olika förklaringar till ex-dagseffektens uppkomst som ligger till grund för denna studie. Hypoteserna analyseras i samband med tidigare utförda studier och sedan dras slutsatsen att skattehypotesen är den mest uppmärksammade förklaringen till ex-dagseffekten.

Abstract [en]

The stock market is perceived as efficient under the presumption that stock prices falls in parity with the dividends on the ex-dividend day. Earlier researches establish that stock prices rather falls with less than the amount of the dividend. The phenomen that the stock prices falls with less than the dividend constitutes the ex-div effect and implicate an abnormal return on the ex-dividend day. The existence of the ex-div effect has been examined through the history and there are shared opinions about its origin and existence. The tax hypothesis, the short-term trading hypothesis, the microstructure hypothesis and the disposition effect are four different explanations of the ex-div effect that forms the basis of this study. The hypotheses are analyzed in conjunction with earlier researches and the conclusion of the study is that the tax hypothesis is the most common explanation for the ex-div effect.

Place, publisher, year, edition, pages
2019. , p. 36
Series
TRITA-ABE-MBT ; 19212
Keywords [en]
Ex-div effect, Ex-dividend day, Market efficiency, Abnormal returns
Keywords [sv]
Ex-dagseffekten, Ex-dagen, Marknads-effektivitet, Avvikande avkastning
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-254851OAI: oai:DiVA.org:kth-254851DiVA, id: diva2:1335610
Supervisors
Examiners
Available from: 2019-08-13 Created: 2019-07-05 Last updated: 2019-09-25Bibliographically approved

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CiteExportLink to record
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