IS THERE A DIVIDEND MONTH PREMIUM? EVIDENCE FROM JAPAN
Abstract
Defined by Hartzmark and Solomon (2012), dividend month premium is misvaluation of stocks in the months when companies are predicted to pay dividends. Following Hartzmark and Solomon methodology, this paper examines market reactions to Japanese companies in the dividend months. Portfolios consisting ofcompanies with a predicted dividend and all other companies were formed and regressed under the CAPM, the Fama-French 3 factor and the 4 factor models. In a data sample consisting of 2263 Japanese companies from January 1991 to October 2014, no statistically significant abnormal returns were found in predicted dividend portfolio. Nonetheless, this study recorded significant negative abnormal returns of dividend paying companies with respect to non-dividend payers.
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Review
For citations:
Ta C. IS THERE A DIVIDEND MONTH PREMIUM? EVIDENCE FROM JAPAN. Review of Business and Economics Studies. 2015;3(2):15-20. (In Russ.)
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