Ex-utbytte på Oslo Børs - Bestemmer aksjeutbytte ex-rights prisen?
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Miller and Modigliani’s Dividend irrelevance theory claims that investors are indifferent to the dividend policy of a company, assuming perfect capital markets. This implies that the exdividend day stock price should depreciate by the equivalent amount as the dividend. This master thesis is an empirical study of the ex-dividend day stock prices of companies listed on the Oslo Stock Exchange. We investigate the ex-dividend day stock prices in an event study to see if there are abnormal returns and if abnormal returns are explained by the dividend. Our findings indicate that the stock prices depreciate less than the dividend, even when adjusted for market returns. We also tried controlling for trade volume and market capitalization, still ending up with the dividend-yield accounting for only 90 % of the abnormal return on the ex-dividend day. This deviates from the Dividend irrelevance theory, but aligns well with previous research. Campbell and Beranek (1955) and Elton and Gruber (1970) find that the price to dividend drop ratio (PDDR) is less than one and statistically significant at 0,9 and 0,78, respectively. On the other hand, Boyd and Jagannathan (1994) reject the hypothesis that the PDDR is different from one. Furthermore, we find that the dividend-yield predicts the stock price depreciation more accurately as the dividend-yield increases.