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Stock dividend ex-day effect and market microstructure in a unique environment

Author

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  • Khamis Hamed Al-Yahyaee

Abstract

This paper examines the stock dividend ex-day effect on the Muscat Securities Market (MSM), which is of interest because several of the market microstructure explanations for the ex-day effect can be ruled out. We find that there are positive abnormal returns on Omani stock dividend ex-days. We also find that firms distributing stock dividends have higher stock prices than firms that are in the same industries but do not distribute stock dividends. In addition, we find that the positive abnormal returns are positively related to stock price increases in the pre-announcement period and to stock dividend percentages. This evidence suggests that stock dividends in Oman might be used to reduce stock prices.

Suggested Citation

  • Khamis Hamed Al-Yahyaee, 2014. "Stock dividend ex-day effect and market microstructure in a unique environment," International Economics, CEPII research center, issue 139, pages 71-79.
  • Handle: RePEc:cii:cepiie:2014-q3-139-4
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    File URL: http://www.sciencedirect.com/science/article/pii/S2110701714000183
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    Cited by:

    1. Quoc Trung Tran, 2017. "Dividend Capture on the Ex-Dividend Day: Evidence from Vietnamese Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 13(2), pages 69-94.

    More about this item

    Keywords

    Stock dividends; Bid-ask effect; Market microstructure;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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