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Is There A Dividend Month Premium? Evidence From Japan

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  • C. Ta

    (University of St. Gallen)

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. По определению Hartzmark и Solomon (2012), премия дивидендного месяца - это ошибочное ценообразование акций в месяцах, в которых ожидается выплата дивидендов. Следуя методологии Hartzmark and Solomon, данная статья исследует рыночную реакцию на японские компании в дивидендных месяцах. Портфели, состоящие из акций компаний с ожидаемым дивидендом и остальных компаний, были сформированы и регрессированы в соответствии с двух-(CAPM), трех-(Fama-French), четырехфакторной (Carhart) моделями. В выборке из 2263 японских компаний в период с января 1991 года по октябрь2014 года не были найдены статистически важные аномальные доходности в портфеле ожидаемых дивидендов. Тем не менее в данном исследовании были замечены статистически важные негативные аномальные доходности дивидендных компаний по отношению к недивидендным компаниям.

Suggested Citation

  • C. Ta, 2015. "Is There A Dividend Month Premium? Evidence From Japan," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(2), pages 15-20.
    • Handle: RePEc:scn:00rbes:y:2015:i:2:p:15-20
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    References listed on IDEAS

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