What does this page show? Analyses price behaviour around the ex-dividend date: pre-ex-date drift (dividend capture premium), the price drop on the ex-date and the subsequent recovery. The event window shows the average pattern across all historical dividend dates.

Dividend Effect

Price behaviour around the ex-dividend date

Methodology

Data Source: Price data from the SeasonAlpha database (Supabase, updated daily). Ex-dividend dates and amounts from Yahoo Finance.

t0 = Ex-Dividend Date. On this day the stock already trades without the dividend (ex-dividend). In efficient markets the price drop on the ex-date approximately equals the dividend amount.

Normalization: All historical event windows are normalised to the closing price on the ex-date (t0 = 0%) and averaged. Events with incomplete windows (too close to the start or end of the data) are excluded.

Dividend Capture: The strategy buys shortly before the ex-date and sells afterwards. The pre-ex drift and post-ex recovery determine profitability net of transaction costs.