Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287579 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 22 [Issue:] 4 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2021 [Pages:] 253-266
Publisher: 
Palgrave Macmillan UK, London
Abstract: 
Dividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement-date and ex-dividend date are the main driver for the so-called dividend month premium, which are positive abnormal returns in months in which corporations are predicted to issue dividend payments. In our empirical analysis of the German stock market, we find a robust dividend month premium, which is particularly high for stocks with positive dividend surprise. Knowing the dates of dividend announcements and payments enable portfolio managers to exploit the dividend month premium. Also taking into account tracking error and transaction costs, we show that simple portfolio-enhancing strategies lead to highly significant abnormal returns.
Subjects: 
Dividends
Dividend month premium
Dividend surprise
Cumulative abnormal returns
Outperformance
Exploitation
Portfolio management
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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