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Educational Programme
Final Grade
Year of Graduation
Artur Dobrynin
Search for Anomalies in the Behavior of Dividend Stocks
(Bachelor’s programme)
This is a work which is aimed to search for anomalies in equity markets, specifically in dividend stock price behavior. The main focus will be made on the electric utilities market in Russia. The general goal is to find the deviations of Price-Drop-Ratios and understand the possible characteristics of the companies with such fact. In the end, there were found some meaningful coefficients that can describe some peculiarities of influence of some factors on PDR and Price Ratio.

There were several main aims for this work:

1. Synthesize previous works connected with this problem, formulate general idea about the phenomenon of ex-dividend date

2. Generate statistics on the Russian market, the electricity industry for dividend events and companies that pay dividends.

3. Analyze the Russian market, make descriptive statistics on the shares of electric power companies.

4. Generate the main hypotheses and verify them in the process of research

5. Describe the results

Main results obtained in the work:

1. A descriptive analysis of companies from the electric power industry in Russia was conducted, cases were found when the PDR differed from 1, both in the large and in the smaller side.

2. Significant factors related to the company's immediate performance and dividend history were found - financial leverage of the company, stable dividend payment, free float share.

3. As a result, the hypothesis that there was no difference between the trading volume in the ex-dividend date and the average daily trading volume in the Russian energy market was not rejected.

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