Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/218181 
Year of Publication: 
1997
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 28 [Issue:] 4 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1997 [Pages:] 169-173
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
Researchers in financial economics conventionally include dividend receipts as returns received on their date of payment. This article argues that this procedure misrepresents the economic timing of shareholder returns. A theoretical discussion of the ex-dividend effect and an empirical investigation of this phenomenon on the Johannesburg Stock Exchange are used to motivate the contention that researchers would be more correct to incorporate dividend receipts in share returns on their 'ex dividend' rather than payment dates. This argument has particular relevance for those financial researchers employing monthly share price data. A failure to make this adjustment generally results in four out of twelve observations of share returns being characterized by measurement errors (the payment date generally being in the month following the ex-dividend date).
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Creative Commons License: 
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Document Type: 
Article

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