The ex-dividend-day behavior of stock prices and volume: The case of pharmaceutical dividend aristocrats

Author Affiliation

Qaiser Munir is Professor and Director, Centre for Business & Economics Research (CBER) at Institute of Business Administration (IBA), Karachi

Faculty / School

Faculty of Business Administration (FBA)


Department of Economics

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Document Type


Source Publication

The Singapore Economic Review


Econometrics | Economics | Finance


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.

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HJRS - X Category, Scopus, Web of Science - Science Citation Index Expanded (SCI)

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Impact Factor: 0.807

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