Effektiviteten på finansmarknaden : En event study på OMXS30 för prisjusteringar på x-dagen

Sammanfattning

The purpose of this study is to examine how stock prices in the Swedish stock market are adjusted from the closing price on the cum-day (the last day to purchase the stock with the right to receive the upcoming dividend) to the closing price on the x-day (the first day the stock is traded without the right to the upcoming dividend), adjusted for the markets movement, in relation to the dividend amount. The study is conducted in a market environment where tax effects for a significant proportion of Swedish private investors have been reduced through Investment Savings Accounts (ISK). Companies included in the OMXS30 constitute the sample of the study, and data for these companies have been collected over a ten-year period (2016-2025). The data consist of dividend amounts, closing prices on the cum-day and the x-day for individual stocks, as well as closing prices for the index. The research adopts a quantitative approach with a deductive research strategy. According to Miller and Modigliani (1961) theory, stock prices are expected to decline by the amount equal to the dividend. The study aims to determine whether the market is efficient around the x-day. Additionally the study examines differences in price movements between high-dividend and low-dividend stocks within the sample. Finally a hypothesis test is conducted to determine whether the results differ significantly from the theoretical price adjustment using a one-sample t-test. The results show that the price drop amounts to 104 percent of the dividend, adjusted for market movements on the x-day. Furthermore the t-test indicates that this does not differ significantly from the theoretical price drop. A comparison with previous research by Elton and Gruber (1970), which found a price drop of approximately 78 percent of the dividend, suggests that the market may have become more efficient today. The findings of this study will be further analyzed and compared with previous research, including studies on the Swedish market as well as the markets of Hong Kong and Germany, where dividends are tax free.