Ex-Dividend Price Behavior of Common Stocks

J.H. Boyd, R. Jagannathan

Research output: Contribution to journalArticlepeer-review


This study examines common stock prices around ex-dividend dates. Such price data usually contain a mixture of observations - some with and some without arbitrageurs and/or dividend capturers active. Our theory predicts that such mixing will result in a nonlinear relation between percentage price drop and dividend yield - not the commonly assumed linear relation. This prediction and another important prediction of theory are supported empirically. In a variety of tests, marginal price drop is not significantly different from the dividend amount. Thus, over the last several decades, one-for-one marginal price drop has been an excellent (average) rule of thumb.
Original languageEnglish
Pages (from-to)711-741
JournalRev. Financ. Stud.
StatePublished - 1994


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