The Clientele Effect in the Brazilian Market: Are Investors Irrational?
This work tests the dividend clientele effect in the Brazilian stock market between 1989 and 1993, a period during which there no dividends taxes varied between zero and 25% according to shareholders group. From a sample of 693 events studied, 47% showed first ex-dividend day stock price higher than...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Brazilian Society of Finance
2003-12-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1129 |
| Summary: | This work tests the dividend clientele effect in the Brazilian stock market between 1989 and 1993, a period during which there no dividends taxes varied between zero and 25% according to shareholders group. From a sample of 693 events studied, 47% showed first ex-dividend day stock price higher than in the previous day. These findings were against theoretical predictions and investors attitudes may be considered irrational because they were paying more for ex-dividend shares than for cum-dividend ones. Sample segmentation by year showed no difference. Financial institutions and first group stock yield had lower abnormal returns than other. Positive abnormal returns of 1,4% in the first ex-dividend day was found, 0,1% significant. Five days abnormal returns following last cum-dividends day study showed that stock prices increased and returned to the original price few days later. |
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| ISSN: | 1679-0731 1984-5146 |