经济与管理研究2016，Vol.37Issue(8)：60-69,10.DOI:10.13502/j.cnki.issn1000-7636.2016.08.007
除息日异常现象与市净率效应--基于封闭式基金的实证
Ex-Dividend Day Anomaly and Price-to-Book Effect:Evidence from Closed-End Funds
摘要
Abstract
This paper examines if there is price-to-book effect in ex-dividend day anomaly based on closed-end funds, demonstrates that the price-to-book ratio of stocks will change after cash dividend events,derives from three testable hypotheses and uses cash dividend events of closed-end funds traded in the US equity market.Test results are consistent with the hypotheses,indicating that there is a price-to-book effect in stock returns on the ex-dividend days.This might be the first study showing that there is price-to-book effect in stock price anomaly on ex-dividend days.Findings of this paper provides an alternative explanation for the ex-dividend day anomaly.关键词
除息日异常现象/封闭式基金/市价净值率效应/股利率Key words
ex-dividend day anomaly/closed-end funds/price-to-book effect/dividend yield分类
管理科学引用本文复制引用
黄志典..除息日异常现象与市净率效应--基于封闭式基金的实证[J].经济与管理研究,2016,37(8):60-69,10.
