The Opportunity of Dividend Capture Strategy in Pharmaceutical Industry

Nowadays a lot of scientific studies are devoted to the existence of an anomaly on different markets in one of the key dividend dates - an ex-dividend date. Starting from this date, shares begin to trade without a dividend that was announced for the previous financial year. The price of the stock should fall by exactly the amount of the dividend on that date in theory, while the day before it, it has two components: the market and the dividend itself. However, in the real world, prices behave quite differently: they fall less / more or grow on the contrary. The dividend is declared before the shareholders register is closed, and, accordingly, before the ex-dividend date in most of countries. Thus, investors have an opportunity to build a risk-free short-term investment strategy, which consists not only in receiving a dividend, but also in excess profitability due to a smaller price drop in the ex-dividend date - the strategy of capturing a dividend. This work is devoted to the study of a fundamentally new market, attractive to investors in terms of this strategy - the pharmaceutical market. Based on the results obtained by calculating the key indicator for investors - the coefficient of price drop in the ex-dividend date, it was revealed that the price on the pharmaceutical market falls less than on the dividend amount, or even grows. After applying the methodology of event studies, it was found that it is possible for investors not only to capture the dividend in this market, but also to obtain excess returns (profitability over the market) in two ways: sell shares on the 6th day of the event window or buy shares 11 days before the event and sell them on the 10th day of the window. The analysis was carried out both on all companies that were in the final sample, and on various subsamples of the companies, in order to confirm the influence of various factors on the received results.