The ex-dividend day: Action on and off the danish exchange

Umid Akhmedov, Keith Jakob

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


We examine ex-dividend day behavior on the Copenhagen Stock Exchange. We report price-drop ratios of 32% and 18% for close-to-close and close-to-open samples, respectively, well below the ratios observed in the United States. Our findings are generally consistent with limit order adjustment explanations from recent literature. In Denmark, a unique average price trading opportunity makes it possible for investors to capture dividends without directly altering supply or demand in the regular market, and therefore not necessarily driving the price-drop ratios toward one.

Original languageEnglish
Pages (from-to)83-103
Number of pages21
JournalFinancial Review
Issue number1
StatePublished - Feb 2010


  • Average price trading
  • Dividend arbitrage
  • Dividend capture trade
  • Ex-dividend day
  • Illiquid markets


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