Stock price behavior around ex-dividend days is closely related to the market structure. Beyond the taxation argument, this study draws analytical attention to the dividend-collecting cost, which is defined as the combination of the physical economic expense and the psychological inconvenience. With the new factor taken into consideration, the ex-day phenomenon can be formulated in a theoretical model. Using the data from emerging markets in East Asia for the period 1991-1999, I study the ex-dividend behavior from the market structure dimension. The results indicate that the explicit and implicit dividend-related costs in East Asia vary across markets with the proxy derived in this paper as a measurement. The evidence shows that more developed markets have smaller costs. Excess returns...[ Read more ]

Stock price behavior around ex-dividend days is closely related to the market structure. Beyond the taxation argument, this study draws analytical attention to the dividend-collecting cost, which is defined as the combination of the physical economic expense and the psychological inconvenience. With the new factor taken into consideration, the ex-day phenomenon can be formulated in a theoretical model. Using the data from emerging markets in East Asia for the period 1991-1999, I study the ex-dividend behavior from the market structure dimension. The results indicate that the explicit and implicit dividend-related costs in East Asia vary across markets with the proxy derived in this paper as a measurement. The evidence shows that more developed markets have smaller costs. Excess returns are limited and not significant. The group affiliation effect does exist and risk premium on ex-day trading is not very important in the region. If any, it primarily comes from firm specific risk. The 1997 financial crisis in this region also has some effects on ex-dividend trading.