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Title [Korean] Dividend Month Premium in the Korean Stock Market
Title Dividend Month Premium in the Korean Stock Market
Author Bonha Koo , Joon Chae
Source 한국파생상품학회(구 한국선물학회) , 선물연구 | 28권 2호 263 ~ 296, 총 34 pages
Year 2020
Keywords Dividend, Dividend Month Premium, Price Pressure, Market Efficiency
Abstract [Korean]
Abstract The dividend month premium is the phenomenon that firms have abnormal returns in predicted dividend month. This study aims to examine the dividend month premium in the Korean stock market, using common stocks listed on the KOSPI and KOSDAQ from January 1999 to December 2016. Abnormal returns are estimated using the following asset price models: capital asset pricing model, Fama-French three-factor model and the Fama-French-Carhart four-factor model. This study finds positive abnormal returns in predicted dividend months, and even for the within-firm portfolio that buys stocks in the predicted dividend months and sells the same stocks in other months. The price impact and the subsequent reversals are greater with lower liquidity and higher dividend yield, implying that the price pressure from dividend-seeking investors affects this dividend month premium. Also, the risk-adjusted returns with the pre-declaration stock are smaller compared to the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency.


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