Ex-Dividend Day Returns when Dividend and Capital Gains are Taxed at the Same Rate

Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the microstructure of financial markets. Although the most widely accepted explanation for this fact relies on taxes, the ex-dividend day anomaly has been reported even in countries where neither dividends nor capital gains are taxed. The 2006 tax reform in Spain established the same tax rate for dividends and capital gains. This paper investigates stock returns on ex-dividend days in the Spanish stock market after the 2006 tax reform using a random coefficient model. Contrary to previous research, we do not observe an ex-dividend day anomaly. Unlike previous investigations, which are mostly concerned with suggesting explanations as to why this anomaly has occurred, we are in the somewhat strange position of discussing why this anomaly has not occurred. Our findings are robust across companies and stock dividend yields, thus supporting a tax--based explanation for the ex-dividend day anomaly.

O comportamento do preço das acções em ex-dividend: uma análise empírica do mercado português

Mestrado em Contabilidade e Análise Financeira

Interação entre mercados : um estudo do 1º dia ex-dividend das ações de empresas brasileiras e de suas respectivas ADRs

O presente trabalho analisou o comportamento das ações de empresas brasileiras e de suas respectivas ADRs listadas em bolsa, em períodos próximos ao 1° dia ex-dividend. Através da análise dos retornos, pode-se perceber que as ações locais tiveram um desempenho médio superior ao das ADRs nos dias anteriores à data do evento. Esse fato sugere que os investidores estão preferindo comprar ações às ADRs, nesse período, em função de serem menos tributados quanto ao pagamento de dividendos no mercado brasileiro. Essa tendência se inverte na data do evento, quando as ADRs obtiveram um retorno bem superior ao das ações locais. A análise dos preços demonstrou que as ADRs são negociadas, em média, com um prêmio em relação as suas respectivas ações. A diferença de preços entre os papéis diminui próximo à data do evento e aumenta no dia ex-dividend, confirmando o que havia sido observado na análise dos retornos puros. O teste dos retornos anormais demonstrou que ambos os ativos apresentaram retornos anormais positivos no dia do evento, com significância estatística ao nível de 10%. Ficou evidenciado também que as ADRs tiveram um comportamento bem mais distante do esperado do que as ações locais.

Irtoamispäivän kurssilaskusuhteet, epänormaalit tuotot sekä epänormaalit kaupankäyntivolyymit vuosina 2005-2013

Tutkielman tavoitteena on tutkia osingon irtoamispäivän tapahtumia OMX Helsinki 25:n yrityksillä vuosina 2005–2013. Vallitsevan käsityksen mukaan osakkeen hinta laskee irtoamispäivänä osingon verran +/- markkinoiden yleisestä hintamuutoksesta johtuva nousu/lasku. Käsitystä on pyritty murtamaan vuosien saatossa neljän eri teorian avulla, jotka ovat veroasiakaskuntateoria, lyhytaikaisen vaihdon hypoteesi, dynaaminen malli sekä mikrorakenneteoria. Osingon irtoamispäivää tarkastellaan kolmen eri tutkimuksen avulla ja saatuja tuloksia verrataan teoriaan sekä aikaisempiin löydöksiin. Tutkimusosuudet ovat kurssilaskusuhteet, epänormaalit tuotot sekä epänormaalit kaupankäyntivolyymit. Kurssilaskusuhdetta tarkastellaan vertaamalla cum-päivän ja irtoamispäivän osakkeiden hintojen erotusta maksetun osingon määrään. Epänormaaleja tuottoja ja epänormaaleja kaupankäyntivolyymejä tarkastellaan tapahtumatutkimus-menetelmällä viisi päivää ennen ja viisi päivää jälkeen osingon irtoamisen. Kurssilaskusuhteet olivat eri tavoilla laskettuina 77 – 94 %. Irtoamispäivän ympärillä oli havaittavissa 1,5 %:n negatiivisia epänormaaleja tuottoja. Epänormaalit kaupankäyntivolyymit kasvoivat tasaisesti lähestyttäessä irtoamispäivää ja olivat voimakkaimmillaan irtoamispäivänä. Irtoamispäivän jälkeen kaupankäyntivolyymit palautuivat hiljalleen normaalille tasolle. Tulokset vastaavat aikaisempia löydöksiä kurssilaskusuhteita ja epänormaaleja volyymejä tarkasteltaessa, mutta eroavat epänormaaleissa tuotoissa.

The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend

This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.

A influência dos impostos sobre o pagamento de dividendos no preço das ações : um estudo do mercado brasileiro

Este estudo testou a existência do efeito clientela no cenário brasileiro, verificando se o preço das ações que pagaram dividendos durante os anos de 1996 a 1998 comportou-se conforme o modelo de Elton e Gruber (1970). Além disso, verificou a existência de alguma anormalidade no retomo das ações no primeiro dia ex-dividend. Em relação ao modelo de Elton e Gruber, dos 620 eventos analisados, em apenas quatro casos, o valor da ação no 10 dia após o pagamento do dividendo situou-se dentro do intervalo teórico esperado. Trinta por cento dos eventos apresentaram um resultado surpreendente, em que o preço da ação no primeiro dia ex-dividend foi maior do que na data em que a ação tinha direito de receber dividendos. Essas constatações contrariam as expectativas do modelo, e esse comportamento pode ser considerado irracional, já que se estaria pagando mais por uma ação sem direito a dividendos, do que quando esta tinha direito a recebê-lo. O cálculo dos retornos anormais evidenciou um retomo anormal médio positivo no primeiro dia exdividend de 5,2% para a amostra total e de 2,4% para a amostra sem outliers. Além disso, constataram-se retornos anormais significativos a 5% e 1% em outros dias da janela do evento, o que demonstra o comportamento anormal do mercado desses papéis nesse período. O retomo anormal cumulativo (CAR) apresentou um retomo residual de 5% no 50 dia ex-dividend para a amostra total e 2% após a exclusão dos outliers, o que significa que as empresas que distribuíram dividendos obtiveram um retomo anormal no preço de suas ações durante a janela do evento. Verificou-se, ainda, uma relação diretamente proporcional entre o yield da ação e os resultados anormais encontrados em ambas as hipóteses. Isso se deve à redução de incerteza e à minimização do risco do investidor. As empresas que optaram por pagar altos dividendos em valores absolutos e yields elevados para as suas ações apresentaram retornos anormais médios superiores aos demais. Enfim, os resultados encontrados não identificaram evidências de efeito clientela no mercado acionário brasileiro. Pode-se dizer que a formação de preços das ações que distribuem dividendos no Brasil está bem mais relacionada à minimização da incerteza do investidor do que influenciada pela interferência tributária nos mesmos.

Estimativa da radiação solar global em estufa de polietileno a partir do brilho solar

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A discourse upon the life, character and services, of James Madison, late ex-President of the United States, delivered before the "Hamilton Literary Association" of the city of Brooklyn, (the Common Council and citizens being invited) on the twenty-eighth day of July, 1836.

Mode of access: Internet.

Effect of 4% titanium tetrafluoride solution on dental erosion by a soft drink: An in situ/ex vivo study

Objective: This in situ/ex vivo study assessed the effect of titanium tetrafluoride (TiF4) on permanent human enamel subjected to erosion. Design: Ten volunteers took part in this study performed in two phases. In the first phase (ERO), they wore acrylic palatal appliances containing two enamel blocks, divided into two rows: TiF4 (F) and no-TiF4 (no-F). During the 1st day, the formation of a salivary pellicle was allowed. In the 2nd day, the TiF4 solution was applied on one row (ERO + F), whereas on the other row no treatment was performed (ERO + no-F). From 3rd until 7th day, the blocks were subjected to erosion, 4x per day. In the 2nd phase (no-ERO), the volunteers wore acrylic palatal appliances containing one enamel block, during 2 days, to assess the effect of TiF4 only (no-ERO + F). Enamel alterations were determined using profilometry (wear), microhardness (%SMHC) tests, scanning electron microscope and microprobe analysis. The %SMHC and wear were tested using ANOVA and Tukey`s post hoc tests (p < 0.05). Results: The mean of %SMHC and wear ( mu m) values ( +/- S.D.) were, respectively: ERO + F -73.32 +/- 5.16(A)/2.40 +/- 0.60(a); ERO + no-F -83.49 +/- 4.59B/1.17 +/- 0.48(b) and no-ERO + F -67.92 +/- 6.16(A)/0.21:E 0.09(c). In microscope analysis, the no-F group showed enamel with honeycomb appearance. For F groups, it was observed a surface coating with microcracks. The microprobe analysis revealed the presence of the following elements (%) in groups ERO + F, ERO + no-F and no-ERO + F, respectively: Ca (69.9, 72.5, 66.25); P (25.9, 26.5, 26.06); Ti (3.0, 0, 5.93). Conclusions: The TiF4 was unable to reduce dental erosion. (c) 2007 Elsevier Ltd. All rights reserved.

Effects of Erosive, Cariogenic or Combined Erosive/Cariogenic Challenges on Human Enamel An in situ/ex vivo Study

Individuals with cariogenic diet can also consume erosive beverages. Thus, it seems necessary to investigate a possible caries/erosion interaction. To test in situ/ex vivo a combination of these challenges, 11 subjects wore intraoral appliances containing four enamel blocks randomly assigned. In the first 2-week phase, the appliances were immersed in a cola drink 3 times/day. Two blocks were free of plaque (erosion only: EO) and two blocks were covered with plaque (erosion + plaque: EP). In the second 2-week phase, four new blocks were all covered with plaque and subjected to a sucrose solution 8 times/day. Among the four new blocks, two were also subjected to the cola drink 3 times/day (erosion + caries: EC) while the other two were not (caries only: CO). Thus, in EO, the specimens were fixed at the intraoral appliance level. In EP, EC and CO they were fixed 1.0 mm under the appliance level and covered with plastic meshes for dental plaque accumulation. Changes in wear and hardness were measured. Data were tested using ANOVA and Tukey`s test (p < 0.05). Mean values of wear (mu m) and change in hardness (kp/mm(2)) were: EO 4.82/310; EP 0.14/48; EC 0.34/245; CO 0.42/309. With respect to surface softening, EP and EC differed significantly from each other and from EO and CO, which did not differ significantly. EO presented significantly higher wear than the other groups. The data suggest that the presence of dental plaque can decrease the acid attack of an erosive drink and the association of erosive and cariogenic challenges showed less enamel alterations when compared to erosive or cariogenic challenges only. Copyright (C) 2008 S. Karger AG, Basel

Short-term in situ/ex vivo study of the anticariogenic potential of a resin-modified glass-ionomer cement associated with adhesive systems

Objective: As resin-modified glass-ionomer cement (RMGIC) is an adhesive material, its association to dentin bonding agents (DBAs) was previously proposed. This study investigated the adjunctive behavior of an RMGIC with etch-and-rinse bonding systems under in situ/ex vivo cariogenic challenge. Method and Materials: Bovine enamel blocks (3 3 2 mm) were randomly assigned to group VP, Vitremer + its own primer (3M ESPE); group VSB, Vitremer + Single Bond (3M ESPE); and group VPB, Vitremer + Prime & Bond 2.1 (Dentsply). Two blocks of each group were randomly placed in an acrylic palatal appliance, so each appliance included six blocks. Volunteers (n = 10) wore these appliances according to given instructions to promote a sucrose challenge eight times/day for 15 days. After this period, the blocks were removed from the devices and cleaned, and demineralization was assessed through longitudinal microhardness analysis (Knoop indenter, 25 g/5 s). Data were submitted to three-way ANOVA and Tukey test (P < .05). Results: No treatment was able to completely avoid demineralization. All materials showed a statistically significant difference in mineral loss when the microhardness on the outer enamel was compared with deeper regions (P < .05). Conclusion: Association of the tested RMGICs with etch-and-rinse DBAs did not seem to be more beneficial against caries than the conventional treatment with RMGIC. (Quintessence Int 2010; 41: e192-e199)

Influence of Dental Plaque on Human Enamel Erosion: In Situ/Ex Vivo Study

Purpose: The objective of the present in situ study was to evaluate the influence of dental plaque on human enamel erosion. Materials and Methods: Thirteen volunteers wore acrylic palatal devices with four enamel specimens that were prepared from freshly extracted impacted human third permanent molars (4 x 4 mm), randomly selected and distributed into two vertical rows, corresponding to the following groups: GI, erosion of dental plaque-free samples, and GII, erosion of dental plaque-covered samples. For the formation of dental plaque, the specimens were placed 1 mm below the level of the appliance and covered with a plastic mesh to allow the accumulation of dental plaque. The palatal device was continuously worn by the volunteers for 14 consecutive days and then immersed in a soft drink (Coca-Cola (R), 150 ml) for 5 min, three times a day. Half of the surfaces of specimens were coated with nail varnish for profilometry tests. The study variables included the depth of enamel surface wear (profilometer, vertical ranges in pm) and the percentage of superficial microhardness change (%SMHC). Data were analysed using the t test (P < 0.05). Results: The %SMHC and depth of enamel surface wear were significantly higher for GI (-87.82% +/- 3.66 and 4.70 mu m +/- 1.65) than for GII (-13.79% +/- 4.22 and 0.14 mu m +/- 0.03). Conclusions: It was concluded that the dental plaque formed in situ was able to protect the enamel surface against erosion by a cola soft drink, thus reducing the depth of enamel surface wear and the %SMHC.