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首页> 外文期刊>The Singapore economic review >THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS
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THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS

机译：股票价格和股票的前分红行为：药品股息贵族的案例

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摘要

This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the -1 day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue 3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $1 billion, except for 2016.
机译：本文提出了全球金融危机2008年五年后公共制药公司股息捕捞战略盈利因素的广泛分析。我们调查了事件研究的异常回报和交易量，以及价格变化的影响各种因素影响下的前股市日期。我们的调查结果表明，活动窗口的-1天和事件的日常在未在登记册之前宣布股息的公司的活动日常出现异常交易量。我们在大多数市场的前股份日确认负面股票产量。我们进一步确认税务假设，解释了股价的行为，并注意到不透露未来付款（日本和韩国）和新兴市场的公司的股票价格的具体行为。积极的平均累积异常回报仅为R＆D /总收入份额<3％的公司而言。对于价值超过3％的公司来说，返回是消极的。在2016年出口日期的药物股票市场行为中的异常在我们的论文中记录了一项。在不考虑到一般市场行为的情况下，统计上显着的价格增加，并考虑到市场的市场和个人预期回报。除2016年外，累计异常回报率大于企业价值超过10亿美元的制药公司更大。

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