Dividend month premium in the Korean stock market
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 est...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2020-11-01
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| Series: | Seonmul yeongu |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-04-2020-0006/full/pdf?title=dividend-month-premium-in-the-korean-stock-market |
| _version_ | 1811255314774753280 |
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| author | Bonha Koo Joon Chae |
| author_facet | Bonha Koo Joon Chae |
| author_sort | Bonha Koo |
| collection | DOAJ |
| description | 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. In addition, the anomalies with the pre-declaration stock are smaller than the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency. |
| first_indexed | 2024-04-12T17:21:58Z |
| format | Article |
| id | doaj.art-c839c2a0cfef4047985921523d228272 |
| institution | Directory Open Access Journal |
| issn | 1229-988X 2713-6647 |
| language | English |
| last_indexed | 2024-04-12T17:21:58Z |
| publishDate | 2020-11-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Seonmul yeongu |
| spelling | doaj.art-c839c2a0cfef4047985921523d2282722022-12-22T03:23:27ZengEmerald PublishingSeonmul yeongu1229-988X2713-66472020-11-012827710410.1108/JDQS-04-2020-0006647942Dividend month premium in the Korean stock marketBonha Koo0Joon Chae1Dongguk Business School, Dongguk University, Seoul, Republic of KoreaDepartment of Finance, Seoul National University, Seoul, Republic of KoreaThe 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. In addition, the anomalies with the pre-declaration stock are smaller than the post-declaration stock, suggesting the necessity to improve the cash dividend policy of post-declaration for market efficiency.https://www.emerald.com/insight/content/doi/10.1108/JDQS-04-2020-0006/full/pdf?title=dividend-month-premium-in-the-korean-stock-marketmarket efficiencydividenddividend month premiumprice pressure |
| spellingShingle | Bonha Koo Joon Chae Dividend month premium in the Korean stock market Seonmul yeongu market efficiency dividend dividend month premium price pressure |
| title | Dividend month premium in the Korean stock market |
| title_full | Dividend month premium in the Korean stock market |
| title_fullStr | Dividend month premium in the Korean stock market |
| title_full_unstemmed | Dividend month premium in the Korean stock market |
| title_short | Dividend month premium in the Korean stock market |
| title_sort | dividend month premium in the korean stock market |
| topic | market efficiency dividend dividend month premium price pressure |
| url | https://www.emerald.com/insight/content/doi/10.1108/JDQS-04-2020-0006/full/pdf?title=dividend-month-premium-in-the-korean-stock-market |
| work_keys_str_mv | AT bonhakoo dividendmonthpremiuminthekoreanstockmarket AT joonchae dividendmonthpremiuminthekoreanstockmarket |