The Ex-Dividend Day Stock Price Behavior in the Athens Stock Exchange

Abstract

This paper analyzes the ex-dividend day stock price behavior in the Athens Stock Exchange (ASE) over the period 1994-1999. This market is chosen because neither dividends nor capital gains are taxed and the ASE is not associated with the microstructure effects analyzed in prior studies. Our findings show that on the ex-dividend day, stock prices fall by less than the dividend paid. These findings cannot be attributed to tax effects. Although our evidence might be attributed to microstructure effects, we argue that the particular microstructure effects identified by prior studies may not be the determinant factors.