The Ex-dividend effect during a crisis - An analysis of the Swedish stock market

Abstract

The previous years have been turbulent for the financial sector. Major banks and financial institutions have filed for bankruptcy and some were taken over by governments. Europe has seen a deepening of the crisis and now whole countries are at the brink of ruin. With this financial turmoil in mind we wanted to see how the market efficiency was affected and in specific how the ex-dividend effect had been during these years. Had there been an ex-dividend effect? We sought our answers in Sweden examining all stocks listed on OMX Stockholm Large Cap. We found that there had been an average abnormal return of 0,64% on the ex-dividend day. Since our data was leptokurtic and skewed we chose to use the median as our measure for central tendency, which in our investigation was 0,23%. We cannot draw the conclusion that the recent financial crisis has affected the abnormal returns on the ex-dividend day.