Proceedings of 9th Asia-Pacific Business Research Conference
Proceedings of 9th Asia-Pacific Business Research Conference
5 - 6 November 2015, Bayview Hotel, Singapore , ISBN: 978-1-922069-87-0
On The Valuation Effect in Ex-Dividend Day Anomaly:
Evidence from Closed-End Funds
Jyh-Dean Hwang
We show that the discounts (premiums) on closed-end funds(CEFs) will increase after dividend events. The magnitude of increase is positively related to dividend yield and the magnitude of discounts (premiums) before the events. Test resultsindicate that there is valuation effectin returns onCEFs aroundthe ex-dividend days. As the price-to-net asset value ratio of CEFsand
CEFs trading at discount (premium) are analogous to the price-to-book ratio of common stocks and stocks withprice-to-book ratio less (greater) than one, respectively, our findings can be extended to dividend distribution events of common stocks and provide an alternative explanation for theex-dividend stock price anomaly.
JEL Classification: G12, G14
Keywords: valuation effect, ex-dividend anomaly, closed-end funds, meanreversion in CEF discounts.
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Jyh-Dean Hwang, Department of International Business, National Taiwan University, 85
Roosevelt Road Sect. 4, Taipei 106, Taiwan, Email: jdhwang@ntu.edu.tw
