Attention effect on the ex date: Evidence from Taiwan. Shing-yang Hu and Yun-lan Tseng. Motivation. Ex-dividend day phenomenon Stock returns are significantly positive Campbell and Beranek (1955); Durand and May (1960). Observed in many countries
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, t = -50,…,-6.
Et-1(rit) = a Et-1(Ait)
Et-1(rit) = b1 DISTi + b2 TURNi + b3 M/Bi + b4 SSHi
Et-1(Ait) = c1 DISTi + c2 TURNi + c3 M/Bi + c4 SSHi
E[DISTi(ri– aAi)] = E[TURNi(ri– aAi)] = E[M/Bi(ri– aAi)] = E[SSHi(ri– aAi)] = 0.