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The Ex-dividend Day: Action On and Off the Danish Exchange


  • Umid Akhmedov
  • Keith Jakob


We examine ex-dividend day behavior on the Copenhagen Stock Exchange. We report price-drop ratios of 32% and 18% for close-to-close and close-to-open samples, respectively, well below the ratios observed in the United States. Our findings are generally consistent with limit order adjustment explanations from recent literature. In Denmark, a unique average price trading opportunity makes it possible for investors to capture dividends without directly altering supply or demand in the regular market, and therefore not necessarily driving the price-drop ratios toward one. Copyright (c) 2010, The Eastern Finance Association.

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  • Umid Akhmedov & Keith Jakob, 2010. "The Ex-dividend Day: Action On and Off the Danish Exchange," The Financial Review, Eastern Finance Association, vol. 45(1), pages 83-103, February.
  • Handle: RePEc:bla:finrev:v:45:y:2010:i:1:p:83-103

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    References listed on IDEAS

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    Cited by:

    1. Al-Yahyaee, Khamis Hamed, 2013. "The effect of a reduction in price discreteness on ex-day stock returns in a unique environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 283-294.
    2. Blau, Benjamin M. & Fuller, Kathleen P. & Van Ness, Robert A., 2011. "Short selling around dividend announcements and ex-dividend days," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 628-639, June.

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