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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Yana Voloshchuk
The Behavior of Stock Price on Ex-dividend Day of BRICS Energy Companies
2018
The main opportunity for building a short-term investment strategy based on dividend shares, is provided by the ex-dividend day. This investment strategy is called “cash dividend capture” and consists of operations for buying and selling shares near the ex-dividend day trading, which generates an increased profitability for the investor, and it is supposed by economists as one of the market anomalies. This study is aimed at identifying quantitative and qualitative parameters determining the profitability of the strategy of dividend capture based on data of BRICS energy companies. For the period of 2010-2017, in this work there are examined the price behavior and the volume of trading of shares of dividend paying companies near the ex-div date, are shown the specifics of developing countries and some characteristics of the researched companies. In addition, in the work there is constructed a multifactorial regression model with dummy variables, where the resulting variable is the price drop ratio (DOR). Based on obtained results, conclusions are presented the effect of the selected explanatory factors on profitability of the strategy for capturing dividends.

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