Dividend Anomalies: A Comparative Analysis of Sweden and the U.S.

Sammanfattning

This paper examines stock price dynamics in the Swedish stock market during dividend months, mirroring the methodological approaches by Hartzmark and Solonmon (2013). The main objective of this paper is to examine whether Swedish firms exhibit higher positive abnormal return in months with anticipated dividends, testing the presence of a phenomenon referred to as "Dividend month premium". Using Swedish stock market data from 2009 to 2019, we employ Fama French Carhartt factor regression as our primary framework complemented by daily return analysis around dividend events. Our empirical results support that Swedish firms generate positive abnormal returns around the dividend month, further challenging the traditional risk based explanation. However, the magnitude and consistency of the effect is notably weaker and concentrated than those documented in the U.S. This diminished effect appears to stem from the Swedish institutional settings which play a significant role on how Swedish investors react to dividend events.