Journal of Financial and Quantitative Analysis · Volume 52, Issue 4, August 2017

股利再投资计划与股利支付日效应

作者：Berkman, Henk (Bank of England)

Koch, Paul D. (University of Melbourne)

摘要：我们发现在股利发放日，超额收益均值显著为正，但此后该值完全反转。20世纪70年代以后，这种股利发放日效应得到不断增强，并且该效应与临时价格压力假说相一致。发放日效应集中在利用股利再投资的股票上，并且股息率越高、股利再投资参与越多以及套利限制越多的情况下，发放日效应越大。同时，跟踪该效应的交易策略的收益与股息收益率和股息价差正相关，与整体流动性负相关。

DRIPs and the Dividend Pay Date Effect.

Berkman, Henk (Bank of England), Koch, Paul D. (University of Melbourne)

ABSTRACT

On the day that dividends are paid, we find a significant positive mean abnormal return that is completely reversed over the following days. This dividend pay date effect has strengthened since the 1970s and is consistent with the temporary price pressure hypothesis. The pay date effect is concentrated among stocks with dividend reinvestment plans (DRIPs) and is larger for stocks with a higher dividend yield, greater DRIP participation, and greater limits to arbitrage. Over time, profits from a trading strategy that exploits this behavior are positively related to the dividend yield and spread and negatively associated with aggregate liquidity.

原文链接: http://eds.a.ebscohost.com/eds/detail/detail?vid=4&sid=929fbd44-c10c-4eb6-9579-efd03331a047%40sessionmgr4007&bdata=JnNpdGU9ZWRzLWxpdmU%3d#db=edb&AN=124642504

翻译：汪国颂